The rule in plain words
OTC - rest cannot be more than derivatives - hedge accounting.
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 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: liabilities carried at amortised cost / LOCOM: 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 11.02 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
Derivatives - hedge accounting under national GAAP: Breakdown by type of risk (F 11.02)
Rows
- 0230Derivatives - Hedge Accounting
- 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.
Derivatives - hedge accounting must then be at least 1,200.
A file that reports 1,200 passes. One that reports 1,100 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_11.02,r0260,c0008,} <= {F_11.02,r0230,c0008,}The next five:
{F_11.02,r0260,c0030,} <= {F_11.02,r0230,c0030,}{F_11.02,r0260,c0011,} <= {F_11.02,r0230,c0011,}{F_11.02,r0260,c0005,} <= {F_11.02,r0230,c0005,}{F_11.02,r0260,c0007,} <= {F_11.02,r0230,c0007,}{F_11.02,r0260,c0010,} <= {F_11.02,r0230,c0010,}And 2 more, the same formula for the other cells it covers.
Other rules on F 11.02
- OTC, other financial corporations cannot be more than derivatives, hedge accounting (v1709_m)Warning
- Derivatives, hedge accounting cannot be less than the sum of three rows (v1708_m)Warning
- Foreign exchange must equal the sum of its four parts (v1707_m)Warning
- Equity must equal the sum of its four parts (v1706_m)Warning
- Interest rate must equal the sum of its four parts (v1705_m)Warning
- Credit must equal the sum of its four parts (v1957_m)Warning
- Credit cannot be less than credit default swap (v1958_m)Warning
- None of the 46 values it checks in derivatives: hedge accounting can be negative (v3934_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.