Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Derivatives, hedge accounting cannot be less than the sum of three rows (EBA rule v1708_m)

A warning in the financial reporting return (FINREP 9), on template F 11.02, derivatives - hedge accounting under national GAAP: Breakdown by type of risk.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Derivatives - hedge accounting cannot be less than these three added up:

  • OTC - credit institutions
  • OTC - other financial corporations
  • OTC - rest

EBA checks it for eight columns: assets, assets carried at amortised cost / LOCOM, liabilities, liabilities carried at amortised cost / LOCOM, total hedging, derivatives carried at amortised cost / LOCOM, positive value and negative value. That makes eight checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Liabilities: Derivatives - Hedge Accounting >= OTC - credit institutions + OTC - other financial corporations + OTC - rest

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 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.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark F 11.02 as reported.
  5. 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

Derivatives - hedge accounting under national GAAP: Breakdown by type of risk (F 11.02)

Rows

  • 0230Derivatives - Hedge Accounting
  • 0240OTC - credit institutions
  • 0250OTC - other financial corporations
  • 0260OTC - rest

Columns

  • 0005Assets
  • 0006of which: assets carried at amortised cost / LOCOM
  • 0007Liabilities
  • 0008of which: liabilities carried at amortised cost / LOCOM
  • 0010Total hedging
  • 0011of which: derivatives carried at amortised cost / LOCOM
  • 0030Positive value
  • 0040Negative value

A worked example

The first of its checks, with simple numbers.

Illustrative values
OTC - credit institutions1,200
OTC - other financial corporations800
OTC - rest450
Together2,450
What the rule then expects

Derivatives - hedge accounting must then be at least 2,450.

2,450Passes
2,350Fails

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 writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{F_11.02,r0230,c0007,} >= sum({F_11.02,r0240,c0007,},{F_11.02,r0250,c0007,},{F_11.02,r0260,c0007,})

The next five:

{F_11.02,r0230,c0040,} >= sum({F_11.02,r0250,c0040,},{F_11.02,r0240,c0040,},{F_11.02,r0260,c0040,}){F_11.02,r0230,c0008,} >= sum({F_11.02,r0250,c0008,},{F_11.02,r0260,c0008,},{F_11.02,r0240,c0008,}){F_11.02,r0230,c0005,} >= sum({F_11.02,r0260,c0005,},{F_11.02,r0240,c0005,},{F_11.02,r0250,c0005,}){F_11.02,r0230,c0010,} >= sum({F_11.02,r0250,c0010,},{F_11.02,r0260,c0010,},{F_11.02,r0240,c0010,}){F_11.02,r0230,c0030,} >= sum({F_11.02,r0260,c0030,},{F_11.02,r0240,c0030,},{F_11.02,r0250,c0030,})

And 2 more, the same formula for the other cells it covers.

Every FINREP 9 rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.