The rule in plain words
Derivatives - hedge accounting, liabilities must equal derivatives – hedge accounting, domestic activities plus derivatives – hedge accounting, non-domestic activities.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
F_11.02: Derivatives - Hedge Accounting, Liabilities = F_20.02: Derivatives – Hedge accounting, Domestic activities + F_20.02: Derivatives – Hedge accounting, Non-domestic activities
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong column, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark F 11.02 and F 20.02 as reported.
- 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 under national GAAP: Breakdown by type of risk (F 11.02)
Row
- 0230Derivatives - Hedge Accounting
Column
- 0007Liabilities
Geographical breakdown of liabilities by location of the activities (F 20.02)
Row
- 0150Derivatives – Hedge accounting
Columns
- 0010Domestic activities
- 0020Non-domestic activities
A worked example
The first of its checks, with simple numbers.
Derivatives - hedge accounting, liabilities must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{F_11.02,r0230,c0007,} = {F_20.02,r0150,c0010,} + {F_20.02,r0150,c0020,}Other rules on F 11.02
- Derivatives, hedge accounting, assets must equal the sum of its two parts (v903544_h)Warning
- Derivatives, hedge accounting must equal the sum of its six parts (v903604_h)Warning
- Cash flow hedges cannot be less than portfolio cash flow hedges of interest rate risk (v6287_m)Warning
- 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
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.