Annex V · Part 2 › 10 Derivatives and hedge accounting (10 and 11) › 10.3 Derivatives classified as ‘economic hedges’
10.3 Derivatives classified as ‘economic hedges’
4 paragraphs · official text, verbatim
Derivatives that are held for hedging purposes but which do not meet the criteria to be effective hedging instruments in accordance with IFRS 9, with IAS 39 where IAS 39 is applied for hedge accounting purposes or with the accounting framework under national GAAP based on BAD, shall be reported in template 10 as ‘economic hedges’. This shall apply also to all of the following cases:
(a) derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value;
(b) credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;
(c) derivatives that are classified as ‘held for trading’ in accordance with Appendix A to IFRS 9 or classified as trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in point (86) of Article 4(1) CRR.
‘Economic hedges’ shall not include derivatives for proprietary trading.
Derivatives that meet the definition of ‘economic hedges’ shall be reported separately in template 10 for each type of risk.
Credit derivatives used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7, shall be reported in a dedicated row in template 10 within credit risk. Other economic hedges of credit risk for which the reporting entity does not apply IFRS 9.6.7 shall be reported separately.