The rule in plain words
Credit must equal these four added up:
- Credit default swap
- Credit spread option
- Other
- Total return swap
EBA checks it for four columns: assets, liabilities, total hedging and sold. That makes four 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.
Total hedging: Credit = Credit default swap + Credit spread option + Other + Total return swap
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark F 11.02 as reported.
- 06This 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
- 0160Credit
- 0170Credit default swap
- 0180Credit spread option
- 0190Total return swap
- 0200Other
Columns
- 0005Assets
- 0007Liabilities
- 0010Total hedging
- 0020Of which: sold
A worked example
The first of its checks, with simple numbers.
Credit must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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,r0160,c0010,} = {F_11.02,r0170,c0010,} + {F_11.02,r0180,c0010,} + {F_11.02,r0200,c0010,} + {F_11.02,r0190,c0010,}The next three:
{F_11.02,r0160,c0007,} = {F_11.02,r0170,c0007,} + {F_11.02,r0180,c0007,} + {F_11.02,r0200,c0007,} + {F_11.02,r0190,c0007,}{F_11.02,r0160,c0005,} = {F_11.02,r0170,c0005,} + {F_11.02,r0180,c0005,} + {F_11.02,r0200,c0005,} + {F_11.02,r0190,c0005,}{F_11.02,r0160,c0020,} = {F_11.02,r0170,c0020,} + {F_11.02,r0180,c0020,} + {F_11.02,r0200,c0020,} + {F_11.02,r0190,c0020,}Other rules on F 11.02
- Credit cannot be less than credit default swap (v1958_m)Warning
- OTC, rest cannot be more than derivatives, hedge accounting (v1710_m)Warning
- 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
- 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.