Table 8.0. Derivatives - Hedge accounting |
Carrying amount |
Notional amount |
Assets |
Liabilities |
Total Hedging |
of which: sold |
ITS part 3.26 |
ITS part 3.26 |
ITS part 3.27-28 |
ITS part 3.29 |
010 |
020 |
030 |
040 |
Interest rate |
ITS part 3.24 (a) |
010 |
|
|
|
|
|
OTC options |
ITS part 3.24 (a) |
020 |
|
|
|
|
OTC other |
ITS part 3.24 (a) |
030 |
|
|
|
|
Organized market options |
ITS part 3.24 (a) |
040 |
|
|
|
|
Organized market other |
ITS part 3.24 (a) |
050 |
|
|
|
|
Equity |
ITS part 3.24 (b) |
060 |
|
|
|
|
|
OTC options |
ITS part 3.24 (b) |
070 |
|
|
|
|
OTC other |
ITS part 3.24 (b) |
080 |
|
|
|
|
Organized market options |
ITS part 3.24 (b) |
090 |
|
|
|
|
Organized market other |
ITS part 3.24 (b) |
100 |
|
|
|
|
Foreign exchange |
ITS part 3.24 (c) |
110 |
|
|
|
|
|
OTC options |
ITS part 3.24 (c) |
120 |
|
|
|
|
OTC other |
ITS part 3.24 (c) |
130 |
|
|
|
|
Organized market options |
ITS part 3.24 (c) |
140 |
|
|
|
|
Organized market other |
ITS part 3.24 (c) |
150 |
|
|
|
|
Credit |
ITS part 3.24 (d) |
160 |
|
|
|
|
|
Credit default swap |
ITS part 3.24 (d) |
170 |
|
|
|
|
Credit spread option |
ITS part 3.24 (d) |
180 |
|
|
|
|
Total return swap |
ITS part 3.24 (d) |
190 |
|
|
|
|
Other |
ITS part 3.24 (d) |
200 |
|
|
|
|
Commodity |
ITS part 3.24 (e) |
210 |
|
|
|
|
Other |
ITS part 3.24 (f) |
220 |
|
|
|
|
FAIR VALUE HEDGES |
IFRS 7.22(b); IAS 39.86(a) |
230 |
|
|
|
|
Interest rate |
ITS part 3.24 (a) |
240 |
|
|
|
|
|
OTC options |
ITS part 3.24 (a) |
250 |
|
|
|
|
OTC other |
ITS part 3.24 (a) |
260 |
|
|
|
|
Organized market options |
ITS part 3.24 (a) |
270 |
|
|
|
|
Organized market other |
ITS part 3.24 (a) |
280 |
|
|
|
|
Equity |
ITS part 3.24 (b) |
290 |
|
|
|
|
|
OTC options |
ITS part 3.24 (b) |
300 |
|
|
|
|
OTC other |
ITS part 3.24 (b) |
310 |
|
|
|
|
Organized market options |
ITS part 3.24 (b) |
320 |
|
|
|
|
Organized market other |
ITS part 3.24 (b) |
330 |
|
|
|
|
Foreign exchange |
ITS part 3.24 (c) |
340 |
|
|
|
|
|
OTC options |
ITS part 3.24 (c) |
350 |
|
|
|
|
OTC other |
ITS part 3.24 (c) |
360 |
|
|
|
|
Organized market options |
ITS part 3.24 (c) |
370 |
|
|
|
|
Organized market other |
ITS part 3.24 (c) |
380 |
|
|
|
|
Credit |
ITS part 3.24 (d) |
390 |
|
|
|
|
|
Credit default swap |
ITS part 3.24 (d) |
400 |
|
|
|
|
Credit spread option |
ITS part 3.24 (d) |
410 |
|
|
|
|
Total return swap |
ITS part 3.24 (d) |
420 |
|
|
|
|
Other |
ITS part 3.24 (d) |
430 |
|
|
|
|
Commodity |
ITS part 3.24 (e) |
440 |
|
|
|
|
Other |
ITS part 3.24 (f) |
450 |
|
|
|
|
CASH FLOW HEDGES |
IFRS 7.22(b); IAS 39.86(b) |
460 |
|
|
|
|
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |
IFRS 7.22(b); IAS 39.86(c) |
470 |
|
|
|
|
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |
IAS 39.89A, IE 1-31 |
480 |
|
|
|
|
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |
IAS 39 IG F6 1-3 |
490 |
|
|
|
|
DERIVATIVES-HEDGE ACCOUNTING |
IFRS 7.22 (b); IAS 39.9 |
500 |
|
|
|
|
of which: OTC - credit institutions |
ITS part 1.20 (c), part 3.32 |
510 |
|
|
|
|
of which: OTC - other financial corporations |
ITS part 1.20 (d), part 3.32 |
520 |
|
|
|
|
of which: OTC - rest |
ITS part 3.31 (c), 32 |
530 |
|
|
|
|
|