The rule in plain words
Interest rate must equal these four added up:
- OTC options
- OTC other
- Organized market options
- Organized market other
EBA checks it for three columns: assets, liabilities and total hedging. That makes three checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.
Assets: Interest rate = OTC options + OTC other + Organized market options + Organized market other
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark F 11.01 as reported.
- 06This is a blocking check. A filing that fails it is normally rejected, so fix it before you submit.
The cells it reads
Derivatives - hedge accounting: Breakdown by type of risk and type of hedge (F 11.01)
Rows
- 0240Interest rate
- 0250OTC options
- 0260OTC other
- 0270Organized market options
- 0280Organized market other
Columns
- 0010Assets
- 0020Liabilities
- 0030Total hedging
A worked example
The first of its checks, with simple numbers.
Interest rate must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{F_11.01,r0240,c0010,} = {F_11.01,r0250,c0010,} + {F_11.01,r0260,c0010,} + {F_11.01,r0270,c0010,} + {F_11.01,r0280,c0010,}The next two:
{F_11.01,r0240,c0020,} = {F_11.01,r0250,c0020,} + {F_11.01,r0260,c0020,} + {F_11.01,r0270,c0020,} + {F_11.01,r0280,c0020,}{F_11.01,r0240,c0030,} = {F_11.01,r0250,c0030,} + {F_11.01,r0260,c0030,} + {F_11.01,r0270,c0030,} + {F_11.01,r0280,c0030,}Other rules on F 11.01
- Equity must equal the sum of its four parts (row 0290, v0864_m)Blocking
- Carrying amount: foreign exchange must equal the sum of its four parts (v0865_m)Blocking
- Notional amount: foreign exchange must equal the sum of its four parts (v0860_m)Warning
- Equity must equal the sum of its four parts (row 0060, v0859_m)Warning
- Cash flow hedges must equal the sum of its six parts (v0867_m)Blocking
- Interest rate must equal the sum of its four parts (row 0010, v0858_m)Warning
- Sold cannot be more than total hedging (v0857_m)Warning
- The sum of three rows cannot be more than derivatives-hedge accounting (v0869_m)Blocking
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.