The rule in plain words
None of the values it checks in hedged items in fair value hedges can be negative.
EBA checks it for two columns: carrying amount, and assets or liabilities included in hedge of a net position (before netting). And for 21 rows, from financial assets measured at fair value through other comprehensive income (0010) to other (0210). That makes 42 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 or liabilities included in hedge of a net position (before netting): Financial liabilities measured at amortised costs >= 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 11.04 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
Hedged items in fair value hedges (F 11.04)
Rows
- 0010Financial assets measured at fair value through other comprehensive income
- 0020Interest rate
- 0030Equity
- 0040Foreign exchange and gold
- 0050Credit
- 0060Commodity
- 0070Other
- 0080Financial assets measured at amortised cost
- 0090Interest rate
- 0100Equity
- 0110Foreign exchange and gold
- 0120Credit
- 0130Commodity
- 0140Other
- 0150Financial liabilities measured at amortised costs
- 0160Interest rate
- 0170Equity
- 0180Foreign exchange and gold
- 0190Credit
- 0200Commodity
- 0210Other
Columns
- 0010Carrying amount
- 0020Assets or liabilities included in hedge of a net position (before netting)
A worked example
The first of its checks, with simple numbers.
Financial liabilities measured at amortised costs, assets or liabilities included in hedge of a net position (before netting) 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_11.04,r0150,c0020,} >= 0The next five:
{F_11.04,r0020,c0020,} >= 0{F_11.04,r0090,c0010,} >= 0{F_11.04,r0160,c0020,} >= 0{F_11.04,r0030,c0020,} >= 0{F_11.04,r0070,c0020,} >= 0And 36 more, the same formula for the other cells it covers.
Other rules on F 11.04
- Hedged items in portfolio hedge of interest rate risk cannot be negative (v5686_s)Blocking
- Financial assets measured at amortised cost must equal the sum of its six parts (v903605_h)Warning
- Financial liabilities measured at amortised costs must equal the sum of its six parts (v903606_h)Warning
- Financial assets measured at fair value through other comprehensive income must equal the sum of its six parts (v903607_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.