The rule in plain words
Derivatives cannot be less than credit institutions plus other financial corporations.
EBA checks it for three columns: gross carrying amount, gross carrying amount held for trading or trading, and financial assets subject to impairment, including cash balances at central banks and other demand deposits. 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.
Of which: financial assets subject to impairment, including cash balances at central banks and other demand deposits: Derivatives >= Of which: credit institutions + Of which: other financial corporations
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 smaller 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 20.04 as reported.
- 05This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.
The cells it reads
Geographical breakdown of assets by residence of the counterparty (F 20.04)
Rows
- 0010Derivatives
- 0020Of which: credit institutions
- 0030Of which: other financial corporations
Columns
- 0010Gross carrying amount
- 0011Of which: held for trading or trading
- 0012Of which: financial assets subject to impairment, including cash balances at central banks and other demand deposits
A worked example
The first of its checks, with simple numbers.
Derivatives must then be at least 2,000.
A file that reports 2,000 passes. One that reports 1,900 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_20.04,r0010,c0012,} >= {F_20.04,r0020,c0012,} + {F_20.04,r0030,c0012,}The next two:
{F_20.04,r0010,c0011,} >= {F_20.04,r0020,c0011,} + {F_20.04,r0030,c0011,}{F_20.04,r0010,c0010,} >= {F_20.04,r0020,c0010,} + {F_20.04,r0030,c0010,}Other rules on F 20.04
- Equity instruments cannot be less than the sum of three rows (v0986_m)Warning
- Debt securities must equal the sum of its five parts (v0987_m)Warning
- Forborne gross carrying amount cannot be more than gross carrying amount (v3136_m)Warning
- Non-performing gross carrying amount cannot be more than gross carrying amount (v3137_m)Warning
- Households cannot be less than loans collateralized by residential immovable property (v3150_m)Warning
- Non-financial corporations cannot be less than loans collateralized by commercial immovable property (v3151_m)Warning
- Households cannot be less than credit for consumption (v3152_m)Warning
- None of the 54 values it checks in geographical breakdown of assets can be negative (v4434_s)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.