The rule in plain words
Cash flow hedges cannot be less than portfolio cash flow hedges of interest rate risk.
EBA checks it for ten columns, from assets (0005) to negative value (0040). That makes ten 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: derivatives carried at amortised cost / LOCOM: of which: cash flow hedges >= of which: portfolio cash flow hedges of interest rate risk
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark F 11.02 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 under national GAAP: Breakdown by type of risk (F 11.02)
Rows
- 0232of which: cash flow hedges
- 0236of which: portfolio cash flow hedges of interest rate risk
Columns
- 0005Assets
- 0006of which: assets carried at amortised cost / LOCOM
- 0007Liabilities
- 0008of which: liabilities carried at amortised cost / LOCOM
- 0010Total hedging
- 0011of which: derivatives carried at amortised cost / LOCOM
- 0020Of which: sold
- 0021of which: derivatives carried at amortised cost / LOCOM
- 0030Positive value
- 0040Negative value
A worked example
The first of its checks, with simple numbers.
Portfolio cash flow hedges of interest rate risk can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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_11.02,r0232,c0011,} >= {F_11.02,r0236,c0011,}The next five:
{F_11.02,r0232,c0040,} >= {F_11.02,r0236,c0040,}{F_11.02,r0232,c0020,} >= {F_11.02,r0236,c0020,}{F_11.02,r0232,c0010,} >= {F_11.02,r0236,c0010,}{F_11.02,r0232,c0005,} >= {F_11.02,r0236,c0005,}{F_11.02,r0232,c0021,} >= {F_11.02,r0236,c0021,}And 4 more, the same formula for the other cells it covers.
Other rules on F 11.02
- Derivatives, hedge accounting cannot be less than portfolio cash flow hedges of interest rate risk (v5143_m)Warning
- Derivatives, hedge accounting cannot be less than portfolio fair value hedges of interest rate risk (v5142_m)Warning
- Derivatives, hedge accounting cannot be less than hedge in net investments in a foreign operation (v5141_m)Blocking
- Derivatives, hedge accounting cannot be less than cost-price hedges (v5140_m)Blocking
- Derivatives, hedge accounting cannot be less than cash flow hedges (v5139_m)Blocking
- Derivatives, hedge accounting cannot be less than fair value hedges (v5138_m)Blocking
- None of the 256 values it checks in derivatives: hedge accounting can be negative (v3935_s)Warning
- None of the 46 values it checks in derivatives: hedge accounting can be negative (v3934_s)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.