The rule in plain words
None of the values it checks in derivatives: hedge accounting can be negative.
EBA checks it for three columns: assets, liabilities and total hedging. And for 53 rows, from interest rate (0010) to OTC - rest (0530). That makes 159 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: Other >= 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
- 0030OTC other
- 0040Organized market options
- 0050Organized market other
- 0060Equity
- 0070OTC options
- 0080OTC other
- 0090Organized market options
- 0100Organized market other
- 0110Foreign exchange
- 0120OTC options
- 0130OTC other
- 0140Organized market options
- 0150Organized market other
- 0160Credit
- 0170Credit default swap
- 0180Credit spread option
- 0190Total return swap
- 0200Other
- 0210Commodity
- 0220Other
- 0230Fair value hedges
- 0240Interest rate
- 0250OTC options
- 0260OTC other
- 0270Organized market options
- 0280Organized market other
- 0290Equity
- 0300OTC options
- 0310OTC other
- 0320Organized market options
- 0330Organized market other
- 0340Foreign exchange
- 0350OTC options
- 0360OTC other
- 0370Organized market options
- 0380Organized market other
- 0390Credit
- 0400Credit default swap
And 13 more.
Columns
- 0010Assets
- 0020Liabilities
- 0030Total hedging
A worked example
The first of its checks, with simple numbers.
Other, total hedging 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,r0450,c0030,} >= 0The next five:
{F_11.01,r0530,c0010,} >= 0{F_11.01,r0420,c0020,} >= 0{F_11.01,r0080,c0020,} >= 0{F_11.01,r0250,c0010,} >= 0{F_11.01,r0290,c0020,} >= 0And 153 more, the same formula for the other cells it covers.
Other rules on F 11.01
- Sold cannot be negative (v3932_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.