The rule in plain words
Sold cannot be negative.
EBA checks it for 38 rows, from interest rate (0010) to derivatives-hedge accounting (0500). That makes 38 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: sold: Organized market 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 11.01 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: Breakdown by type of risk and type of hedge (F 11.01)
Rows
- 0010Interest rate
- 0020OTC options
- 0040Organized market options
- 0060Equity
- 0070OTC options
- 0090Organized market options
- 0110Foreign exchange
- 0120OTC options
- 0140Organized market options
- 0160Credit
- 0170Credit default swap
- 0180Credit spread option
- 0190Total return swap
- 0200Other
- 0210Commodity
- 0220Other
- 0230Fair value hedges
- 0240Interest rate
- 0250OTC options
- 0270Organized market options
- 0290Equity
- 0300OTC options
- 0320Organized market options
- 0340Foreign exchange
- 0350OTC options
- 0370Organized market options
- 0390Credit
- 0400Credit default swap
- 0410Credit spread option
- 0420Total return swap
- 0430Other
- 0440Commodity
- 0450Other
- 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
Column
- 0040Of which: sold
A worked example
The first of its checks, with simple numbers.
Organized market options, sold 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_11.01,r0270,c0040,} >= 0The next five:
{F_11.01,r0060,c0040,} >= 0{F_11.01,r0440,c0040,} >= 0{F_11.01,r0370,c0040,} >= 0{F_11.01,r0090,c0040,} >= 0{F_11.01,r0020,c0040,} >= 0And 32 more, the same formula for the other cells it covers.
Other rules on F 11.01
- None of the 159 values it checks in derivatives: hedge accounting can be negative (v3933_s)Warning
- Derivatives-hedge accounting must equal the sum of its five parts (v2278_m)Warning
- 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
- Fair value hedges must equal the sum of its six parts (v6142_h)Warning
- Cash flow hedges must equal the sum of its six parts (v6143_h)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.