The rule in plain words
These three added up cannot be more than derivatives-hedge accounting:
- OTC - credit institutions
- OTC - other financial corporations
- OTC - rest
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: OTC - credit institutions + OTC - other financial corporations + OTC - rest <= Derivatives-Hedge accounting
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark F 11.01 as reported.
- 05This 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
- 0500Derivatives-Hedge accounting
- 0510OTC - credit institutions
- 0520OTC - other financial corporations
- 0530OTC - rest
Columns
- 0010Assets
- 0020Liabilities
- 0030Total hedging
A worked example
The first of its checks, with simple numbers.
Derivatives-hedge accounting must then be at least 2,450.
A file that reports 2,450 passes. One that reports 2,350 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,r0510,c0010,} + {F_11.01,r0520,c0010,} + {F_11.01,r0530,c0010,} <= {F_11.01,r0500,c0010,}The next two:
{F_11.01,r0510,c0020,} + {F_11.01,r0520,c0020,} + {F_11.01,r0530,c0020,} <= {F_11.01,r0500,c0020,}{F_11.01,r0510,c0030,} + {F_11.01,r0520,c0030,} + {F_11.01,r0530,c0030,} <= {F_11.01,r0500,c0030,}Other rules on F 11.01
- Cash flow hedges must equal the sum of its six parts (v0867_m)Blocking
- Carrying amount: foreign exchange must equal the sum of its four parts (v0865_m)Blocking
- Equity must equal the sum of its four parts (row 0290, v0864_m)Blocking
- Interest rate must equal the sum of its four parts (row 0240, v0863_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
- 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
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.