Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Cash flow hedges must equal the sum of its six parts (EBA rule v6143_h)

A warning in the financial reporting return (FINREP 9), on template F 11.01, derivatives - hedge accounting: Breakdown by type of risk and type of hedge.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Cash flow hedges must equal these six added up:

  • Credit
  • Equity
  • Foreign exchange
  • Interest rate
  • Commodity
  • Other

EBA checks it for four columns: assets, liabilities, total hedging and sold. That makes four checks. A failure names the one that failed.

How the Line4 Check report words itShow

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: Cash flow hedges = Credit + Equity + Foreign exchange + Interest rate + Commodity + Other

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Add up the parts in your file and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark F 11.01 as reported.
  6. 06This 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

  • 0240Interest rate
  • 0290Equity
  • 0340Foreign exchange
  • 0390Credit
  • 0440Commodity
  • 0450Other
  • 0460Cash flow hedges

Columns

  • 0010Assets
  • 0020Liabilities
  • 0030Total hedging
  • 0040Of which: sold

A worked example

The first of its checks, with simple numbers.

Illustrative values
Credit1,200
Equity800
Foreign exchange450
Interest rate300
Commodity150
Other100
Together3,000
What the rule then expects

Cash flow hedges must then be 3,000.

3,000Passes
3,100Fails

A file that reports 3,000 passes. One that reports 3,100 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{F_11.01,r0460,c0010,} = {F_11.01,r0390,c0010,} + {F_11.01,r0290,c0010,} + {F_11.01,r0340,c0010,} + {F_11.01,r0240,c0010,} + {F_11.01,r0440,c0010,} + {F_11.01,r0450,c0010,}

The next three:

{F_11.01,r0460,c0040,} = {F_11.01,r0390,c0040,} + {F_11.01,r0290,c0040,} + {F_11.01,r0340,c0040,} + {F_11.01,r0240,c0040,} + {F_11.01,r0440,c0040,} + {F_11.01,r0450,c0040,}{F_11.01,r0460,c0030,} = {F_11.01,r0390,c0030,} + {F_11.01,r0290,c0030,} + {F_11.01,r0340,c0030,} + {F_11.01,r0240,c0030,} + {F_11.01,r0440,c0030,} + {F_11.01,r0450,c0030,}{F_11.01,r0460,c0020,} = {F_11.01,r0390,c0020,} + {F_11.01,r0290,c0020,} + {F_11.01,r0340,c0020,} + {F_11.01,r0240,c0020,} + {F_11.01,r0440,c0020,} + {F_11.01,r0450,c0020,}

Every FINREP 9 rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.