The rule in plain words
Hedged items in portfolio hedge of interest rate risk cannot be negative.
EBA checks it for three rows: financial assets measured at fair value through other comprehensive income, financial assets measured at amortised cost and financial liabilities measured at amortised costs. That makes three 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.
Hedged items in portfolio hedge of interest rate risk: Financial assets measured at fair value through other comprehensive income >= 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 blocking check. A filing that fails it is normally rejected, so fix it before you submit.
The cells it reads
Hedged items in fair value hedges (F 11.04)
Rows
- 0010Financial assets measured at fair value through other comprehensive income
- 0080Financial assets measured at amortised cost
- 0150Financial liabilities measured at amortised costs
Column
- 0050Hedged items in portfolio hedge of interest rate risk
A worked example
The first of its checks, with simple numbers.
Financial assets measured at fair value through other comprehensive income, hedged items in portfolio hedge of interest rate risk 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,r0010,c0050,} >= 0The next two:
{F_11.04,r0080,c0050,} >= 0{F_11.04,r0150,c0050,} >= 0Other rules on F 11.04
- None of the 42 values it checks in hedged items in fair value hedges can be negative (v5685_s)Warning
- 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.