The rule in plain words
Hedge accounting cannot be negative.
EBA checks it for five rows: total fair-valued assets and liabilities, total fair-valued assets, derivatives - hedge accounting (0110), total fair-valued liabilities, and derivatives - hedge accounting (0190). That makes five 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.
Hedge accounting: Total fair-valued liabilities >= 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 C 32.01 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
Prudent valuation, fair-valued assets and liabilities (C 32.01)
Rows
- 0010Total fair-valued assets and liabilities
- 0020Total fair-valued assets
- 0110Derivatives - hedge accounting
- 0150Total fair-valued liabilities
- 0190Derivatives - hedge accounting
Column
- 0040Hedge accounting
A worked example
The first of its checks, with simple numbers.
Total fair-valued liabilities, hedge accounting 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}.
{C_32.01,r0150,c0040,} >= 0The next four:
{C_32.01,r0110,c0040,} >= 0{C_32.01,r0190,c0040,} >= 0{C_32.01,r0010,c0040,} >= 0{C_32.01,r0020,c0040,} >= 0Other rules on C 32.01
- Exactly matching cannot be negative (v6567_s)Warning
- Haircuts for trading assets at fair value cannot be more than zero (v6569_s)Warning
- Trading book cannot be less than fair-valued assets and liabilities included in art. 4(1) threshold (v6333_m)Warning
- Trading book cannot be more than fair-valued assets and liabilities included in art. 4(1) threshold (v6332_m)Warning
- Total fair-valued liabilities: fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over four columns (v6331_m)Warning
- Total fair-valued assets: fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over four columns (v6330_m)Warning
- Fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over five columns (v6329_m)Warning
- Trading book cannot be less than fair-valued assets and liabilities (v6328_m)Warning
Every COREP own funds rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.