v1037_m

warningactivecross-template · F 10.00 ↔ F 11.01 ↔ F 11.02 ↔ F 31.0132 cells · general rule

Expression · DPM 2.0, verbatim

with {default: 0, interval: true}: sum ({tF_31.01, r0120, c*}) <= {tF_10.00, r0290, c0030} - sum ({tF_10.00, (r0050, r0060, r0110, r0120, r0170, r0180), c0030}) + {tF_11.01, r0500, c0030} - sum ({tF_11.01, (r0040, r0050, r0090, r0100, r0140, r0150, r0270, r0280, r0320, r0330, r0370, r0380), c0030}) + {tF_11.02, r0230, c0010} - sum ({tF_11.02, (r0040, r0050, r0090, r0100, r0140, r0150), c0010})

EBA description sum({F 31.01, r0120, (c0010-0050)}) <= {F 10.00, r0290, c0030} - sum({F 10.00, c0030, (r0050-0060, r0110-0120, r0170-0180)}) + {F 11.01, r0500, c0030} - sum({F 11.01, c0030, (r0040-0050, r0090-0100, r0140-0150, r0270-0280, r0320-0330, r0370-0380)}) + {F 11.02, r0230, c0010} - sum({F 11.02, c0010, (r0040-0050, r0090-0100, r0140-0150)})

Precondition p_452 (its meaning is not in the data yet)

Cells involved

F 10.00 Derivatives: Trading and economic hedges

Open template →

	c0030Total Trading
0050Interest rate › Organized market options	in rule
0060Interest rate › Organized market other	in rule
0110Equity › Organized market options	in rule
0120Equity › Organized market other	in rule
0170Foreign exchange and gold › Organized market options	in rule
0180Foreign exchange and gold › Organized market other	in rule
0290Derivatives	in rule

F 11.01 Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge

Open template →

	c0030Total hedging
0040Interest rate › Organized market options	in rule
0050Interest rate › Organized market other	in rule
0090Equity › Organized market options	in rule
0100Equity › Organized market other	in rule
0140Foreign exchange › Organized market options	in rule
0150Foreign exchange › Organized market other	in rule
0270Interest rate › Organized market options	in rule
0280Interest rate › Organized market other	in rule
0320Equity › Organized market options	in rule
0330Equity › Organized market other	in rule
0370Foreign exchange › Organized market options	in rule
0380Foreign exchange › Organized market other	in rule
0500Derivatives-Hedge accounting	in rule

F 11.02 Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk

Open template →

	c0010Total hedging
0040Interest rate › Organized market options	in rule
0050Interest rate › Organized market other	in rule
0090Equity › Organized market options	in rule
0100Equity › Organized market other	in rule
0140Foreign exchange › Organized market options	in rule
0150Foreign exchange › Organized market other	in rule
0230Derivatives - Hedge Accounting	in rule

F 31.01 Related parties: amounts payable to and amounts receivable from

Open template →

	c0010Parent and entities with joint control or significance influence	c0020Subsidiaries and other entities of the same group	c0030Associates and joint ventures	c0040Key management of the institution or its parent	c0050Other related parties
0120Notional amount of derivatives	in rule	in rule	in rule	in rule	in rule

Scope by module

Module	Severity	Status	From
FINREP9 3.3.0	warning	active	2026-03-31
FINREP9DP 1.0.0	warning	active	2026-03-31
FINREP9DP 1.1.0	warning	active	2026-03-31

VALIDATION RULE

v1037_m

What it is

Type: Validation rule · cross-template, general rule
Release: FINREP 4.4 validation · reported from 2026-03-31
Source: DPM 2.0 4.4 · operation 15595 · official

Regulation16

From the rows and columns of the cells involved.

Annex V Part 2 §133 F 10.00 c0030 · F 11.01 c0030 · F 31.01 r0120
The ‘Notional amount’ shall be the gross nominal of all deals concluded and not yet settled at the reference date, regardless of whether those deals lead to derivative exposures being booked on-balance sheet. In particular, the following shall be taken into account to determine the notional amount: (a) for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the nominal or notional principal amounts at the reference date; (b) the notional amount value to be reported for a derivative contract with a multiplier component shall be the contract effective notional amount or par value; (c) swaps: The notional amount of a swap shall be the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based; (d) equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract shall be the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal shall be the contractual amount multiplied by the number of remaining exchanges of principal in the contract; (e) credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of the relevant reference credit; (f) digital options have a predefined payoff, which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options shall be either the predefined monetary amount or the fair value of the underlying at the reference date.
Annex V Part 2 §134 F 10.00 c0030 · F 11.01 c0030 · F 31.01 r0120
The column ‘Notional amount’ of derivatives shall include, for each line item, the sum of the notional amounts of all contracts in which the institution is counterparty, irrespective of whether the derivatives are considered assets or liabilities on the face of the balance sheet or are not booked on-balance sheet. All notional amounts shall be reported, regardless of whether the fair value of derivatives is positive, negative or equal to zero. Netting among the notional amounts shall not be allowed.
Annex V Part 2 §135 F 10.00 c0030 · F 11.01 c0030 · F 31.01 r0120
The ‘Notional amount’ shall be reported by ‘total’ and by ‘of which: sold’ for the line items: ‘OTC options’, ‘Organised market options’, ‘Credit’, ‘Commodity’ and ‘Other’. The item ‘of which sold’ shall include the notional amounts (strike price) of the contracts in which the counterparties (option holders) of the institution (option writer) have the right to exercise the option, and for the items related to credit risk derivatives, the notional amounts of the contracts in which the institution (protection seller) has sold (gives) protection to its counterparties (protection buyers).
Annex V Part 2 §136 F 10.00 r0050, r0060, r0110, r0120, r0170, r0180 · F 11.01 r0040, r0050, r0090, r0100, r0140, r0150, r0270, r0280, r0320, r0330, r0370, r0380
The allocation of a transaction as ‘OTC’ or ‘Organized market’ shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An ‘Organised market’ is a regulated market in the meaning of point (92) of Article 4(1) CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as ‘OTC’ and not as ‘Organised market’.
Annex V Part 2 §289 F 31.01 c0020, c0030
Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.

Other acts

IFRS 9.Appendix A IFRS 7.24A IAS 39.9 IFRS 9.6.1 IAS 24.19(a)IAS 24.19(b)IAS 24.19(c)IAS 24.19(d)IAS 24.19(e)IAS 24.19(f)IAS 24.19(g)

Controls34

34 other rules use at least one of these cells.

Other rules on the same cells

v3933_swarning13
with {tF_11.01, r*, default: null, interval: false}: {c0010-0030} >= 0
v0853_mwarning7
with {tF_10.00, r*, default: 0, interval: false}: if ( {c0030} != 0 ) then ( {c0010} != 0 or {c0020} != 0 ) endif
v0857_mwarning7
{c0040} <= {c0030}
v10724_mwarning7
if ({c0010} != 0 or {c0020} != 0) then {c0030} != 0
v3931_swarning7
with {tF_10.00, r*, default: null, interval: false}: {(c0010, c0020, c0022, c0025, c0030)} >= 0
v3935_swarning7
with {tF_11.02, r*, default: null, interval: false}: {(c0005, c0006, c0007, c0008, c0010, c0011, c0030, c0040)} >= 0
v3974_swarning5
with {tF_31.01, c*, default: null, interval: false}: {(r0010, r0020, r0030, r0040, r0050, r0060, r0070, r0080, r0090, r0100, r0110, r0120, r0132)} >= 0
v0842_mwarning4
{c0040} <= {c0030}
v0863_merror2
{r0240} = {r0250} + {r0260} + {r0270} + {r0280}
v0864_merror2
{r0290} = {r0300} + {r0310} + {r0320} + {r0330}
v0865_merror2
{r0340} = {r0350} + {r0360} + {r0370} + {r0380}
v0843_mwarning2
{r0010} = {r0030} + {r0040} + {r0050} + {r0060}
v0845_mwarning2
{r0070} = {r0090} + {r0100} + {r0110} + {r0120}
v0847_mwarning2
{r0130} = {r0150} + {r0160} + {r0170} + {r0180}
v0858_mwarning2
{r0010} = {r0020} + {r0030} + {r0040} + {r0050}
v0859_mwarning2
{r0060} = {r0070} + {r0080} + {r0090} + {r0100}
v0860_mwarning2
{r0110} = {r0120} + {r0130} + {r0140} + {r0150}
v1705_mwarning2
{r0010} = sum(r0020-0050)
v1706_mwarning2
{r0060} = sum(r0070-0100)
v1707_mwarning2
{r0110} = sum(r0120-0150)
v0869_merror1
{r0510} + {r0520} + {r0530} <= {r0500}
v5138_merror1
{r0230} >= {r0231}
v5139_merror1
{r0230} >= {r0232}
v5140_merror1
{r0230} >= {r0233}
v5141_merror1
{r0230} >= {r0234}

+ 9 more: see them lit in the grid of F 10.00.

Interpretation—

No EBA Q&A cites this rule.

Changes—

No change to this rule between the releases loaded.

Source: the DPM 2.0 database of the release shown above (expression, description, scope, cells; official). References inherited from Annex I (verbatim) and EBA instructions 4.2; links and counts are derived.