The rule in plain words
None of the values it checks in derivatives: trading and economic hedges can be negative.
EBA checks it for five columns: financial assets held for trading and trading, financial liabilities held for trading and trading, positive value, negative value, and total trading. And for 33 rows, from interest rate (0010) to OTC - rest (0320). That makes 165 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.
Negative value: OTC options >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark F 10.00 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: trading and economic hedges (F 10.00)
Rows
- 0010Interest rate
- 0020of which: economic hedges
- 0030OTC options
- 0040OTC other
- 0050Organized market options
- 0060Organized market other
- 0070Equity
- 0080of which: economic hedges
- 0090OTC options
- 0100OTC other
- 0110Organized market options
- 0120Organized market other
- 0130Foreign exchange and gold
- 0140of which: economic hedges
- 0150OTC options
- 0160OTC other
- 0170Organized market options
- 0180Organized market other
- 0190Credit
- 0195of which: economic hedges with use of the fair value option
- 0201of which: other economic hedges
- 0210Credit default swap
- 0220Credit spread option
- 0230Total return swap
- 0240Other
- 0250Commodity
- 0260of which: economic hedges
- 0270Other
- 0280of which: economic hedges
- 0290Derivatives
- 0300OTC - credit institutions
- 0310OTC - other financial corporations
- 0320OTC - rest
Columns
- 0010Financial assets Held for trading and trading
- 0020Financial liabilities Held for trading and trading
- 0022Positive value
- 0025Negative value
- 0030Total Trading
A worked example
The first of its checks, with simple numbers.
OTC options, negative value must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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_10.00,r0030,c0025,} >= 0The next five:
{F_10.00,r0310,c0020,} >= 0{F_10.00,r0030,c0030,} >= 0{F_10.00,r0210,c0020,} >= 0{F_10.00,r0010,c0020,} >= 0{F_10.00,r0070,c0025,} >= 0And 159 more, the same formula for the other cells it covers.
Other rules on F 10.00
- Sold cannot be negative (v3930_s)Warning
- Carrying amount: credit must equal the sum of its four parts (v5045_m)Warning
- Other economic hedges cannot be more than credit (v5046_m)Warning
- Derivatives: financial assets held for trading and trading must equal gross carrying amount held for trading or trading (all sheets added up) (v5352_m)Warning
- Credit cannot be less than credit default swap (v1951_m)Warning
- Financial assets held for trading and trading: credit must equal the sum of its four parts (v1950_m)Warning
- Derivatives must equal the sum of its six parts (v6140_h)Warning
- An upper-limit check across related parties and two other templates (F 31.01, F 11.01, F 11.02, v1037_m)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.