Question ID
2021_6276
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
428i, 428p
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex 13
Type of submitter
Other
Subject matter
Fair value changes of hedged interest rate items (hedge accounting) in the C 80.00/C 81.00 NSFR templates
Question

Should institutions report fair value changes of hedged interest rate items on NSFR templates C 80.00 and C 81.00? And if so, should it be separately from the positions hedged as is the case on FINREP, or should this value be added to the hedged positions?

Background on the question

According to Art.  428 i) and 428 p) of Regulation (EU) 876/2019 (CRR2) Institutions should report the accounting value of assets and liabilities for the C 80.00/C 81.00 reports of NSFR, but there is no mention of whether to report the fair value changes of hedged interest rate items (hedge accounting).

On FINREP, the fair value changes of hedged interest rate items, are considered separately from the items hedged on reports F 1.1 (row 250)/F 1.2 (row 160).

Since it is considered on FINREP reports (F1.1 and F1.2), it would be needed clear provisions of the instructions for NSFR C 80.00 / C 81.00 on considering the fair value changes of hedged interest rate items, and how to report them.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained in Part 1, paragraph 6 of Annex XIII to Regulation (EU) No 2021/451 (ITS on Supervisory Reporting).

Status
Rejected question