Question ID:
2022_6617
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - FINREP (incl. FB&NPE)
Article:
n.a.
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Article/Paragraph:
Annex V.Part 2.146
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Template F11.4
Question:

How to report in template F11.4  a partially hedged loan portfolio?

Background on the question:

Regarding the template F 11.04 'Hedged Items in Fair Value Hedges', in column 0010 (carrying amount) and row 0090 (interest rate): In the case of having a partially hedged loan portfolio, should the entire portfolio be considered as a hedged item in the carrying amount or only the hedged part of the loan portfolio?

Date of submission:
26/10/2022
Status:
Question under review
Answer prepared by:
Answer prepared by the EBA.
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