The rule in plain words
Take these three added up, all for derivatives:
- Securitisation special purpose entities
- Other activities
- Asset management
The result cannot be more than these three added up:
- Derivatives, carrying amount (under trading financial liabilities)
- Derivatives, carrying amount (under financial liabilities held for trading)
- Derivatives – hedge accounting, carrying amount
The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
F_30.02: Derivatives, Securitisation Special Purpose Entities + F_30.02: Derivatives, Other activities + F_30.02: Derivatives, Asset management <= F_01.02: Trading financial liabilities, derivatives + F_01.02: Financial liabilities held for trading, derivatives + F_01.02: Derivatives – Hedge accounting
What to do if your filing fails it
- 01Open the templates 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 30.02 and F 01.02 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
Balance sheet statement: liabilities (F 01.02)
Rows
- 0020Derivatives
- 0062Derivatives
- 0150Derivatives – Hedge accounting
Column
- 0010Carrying amount
Breakdown of interests in unconsolidated structured entities by nature of the activities (F 30.02)
Row
- 0090Derivatives
Columns
- 0010Securitisation Special Purpose Entities
- 0020Asset management
- 0030Other activities
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({F_30.02,r0090,c0010,},{F_30.02,r0090,c0030,},{F_30.02,r0090,c0020,}) <= sum({F_01.02,r0062,c0010,},{F_01.02,r0020,c0010,},{F_01.02,r0150,c0010,})Other rules on F 01.02
- Deposits: securitisation special purpose entities plus other activities plus asset management cannot be more than the sum of five rows (v1008_m)Warning
- Debt securities issued: securitisation special purpose entities plus other activities plus asset management cannot be more than the sum of five rows (v1009_m)Warning
- An upper-limit check across related parties and balance sheet statement: liabilities (F 31.01, v1027_m)Warning
- Total liabilities, carrying amount must equal the sum of its two parts (v0979_h)Warning
- Liabilities included in disposal groups classified as held for sale, carrying amount must equal the sum of its two parts (v0978_h)Warning
- Other liabilities, carrying amount must equal the sum of its two parts (v0977_h)Warning
- Share capital repayable on demand, carrying amount must equal the sum of its two parts (v0976_h)Warning
- Tax liabilities, carrying amount must equal the sum of its two parts (v0975_h)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.