The rule in plain words
Derivatives-hedge accounting must equal these five added up:
- Cash flow hedges
- Fair value hedges
- Hedge of net investments in a foreign operation
- Portfolio cash flow hedges of interest rate risk
- Portfolio fair value hedges of interest rate risk
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.
Assets: Derivatives-Hedge accounting = Cash flow hedges + Fair value hedges + Hedge of net investments in a foreign operation + Portfolio cash flow hedges of interest rate risk + Portfolio fair value hedges of interest rate risk
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 11.01 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: Breakdown by type of risk and type of hedge (F 11.01)
Rows
- 0230Fair value hedges
- 0460Cash flow hedges
- 0470Hedge of net investments in a foreign operation
- 0480Portfolio fair value hedges of interest rate risk
- 0490Portfolio cash flow hedges of interest rate risk
- 0500Derivatives-Hedge accounting
Columns
- 0010Assets
- 0020Liabilities
- 0030Total hedging
- 0040Of which: sold
A worked example
The first of its checks, with simple numbers.
Derivatives-hedge accounting must then be 2,900.
A file that reports 2,900 passes. One that reports 3,000 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_11.01,r0500,c0010,} = {F_11.01,r0460,c0010,} + {F_11.01,r0230,c0010,} + {F_11.01,r0470,c0010,} + {F_11.01,r0490,c0010,} + {F_11.01,r0480,c0010,}The next three:
{F_11.01,r0500,c0020,} = {F_11.01,r0460,c0020,} + {F_11.01,r0230,c0020,} + {F_11.01,r0470,c0020,} + {F_11.01,r0490,c0020,} + {F_11.01,r0480,c0020,}{F_11.01,r0500,c0040,} = {F_11.01,r0460,c0040,} + {F_11.01,r0230,c0040,} + {F_11.01,r0470,c0040,} + {F_11.01,r0490,c0040,} + {F_11.01,r0480,c0040,}{F_11.01,r0500,c0030,} = {F_11.01,r0460,c0030,} + {F_11.01,r0230,c0030,} + {F_11.01,r0470,c0030,} + {F_11.01,r0490,c0030,} + {F_11.01,r0480,c0030,}Other rules on F 11.01
- Carrying amount: credit cannot be less than credit default swap (v1955_m)Warning
- Credit must equal the sum of its four parts (row 0390, v1954_m)Warning
- Notional amount: credit cannot be less than credit default swap (v1953_m)Warning
- Credit must equal the sum of its four parts (row 0160, v1952_m)Warning
- The sum of three rows cannot be more than derivatives-hedge accounting (v0869_m)Blocking
- Cash flow hedges must equal the sum of its six parts (v0867_m)Blocking
- Carrying amount: foreign exchange must equal the sum of its four parts (v0865_m)Blocking
- Equity must equal the sum of its four parts (row 0290, v0864_m)Blocking
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.