v1708_m

warningactivewithin F 11.0232 cells · general rule

Expression · DPM 2.0, verbatim

with {tF_11.02, (c0005, c0006, c0007, c0008, c0010, c0011, c0030, c0040), default: 0, interval: true}: {r0230} >= sum ({r0240-0260} group by c)

EBA description {r0230} >= sum(r0240-0260)

Precondition p_331 (its meaning is not in the data yet)

Cells involved

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

Open template →

	c0005Assets	c0006of which: assets carried at amortised cost / LOCOM	c0007Liabilities	c0008of which: liabilities carried at amortised cost / LOCOM	c0030Positive value	c0040Negative value	c0010Total hedging	c0011of which: derivatives carried at amortised cost / LOCOM
0230Derivatives - Hedge Accounting	in rule	in rule	in rule	in rule	in rule	in rule	in rule	in rule
0240Derivatives - Hedge Accounting › OTC - credit institutions	in rule	in rule	in rule	in rule	in rule	in rule	in rule	in rule
0250Derivatives - Hedge Accounting › OTC - other financial corporations	in rule	in rule	in rule	in rule	in rule	in rule	in rule	in rule
0260Derivatives - Hedge Accounting › OTC - rest	in rule	in rule	in rule	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

v1708_m

What it is

Type: Validation rule · within one template, general rule
Release: FINREP 4.4 validation · reported from 2026-03-31
Source: DPM 2.0 4.4 · operation 15780 · official

Regulation14

From the rows and columns of the cells involved · Showing references for nGAAP (BAD).

Annex V Part 1 §17 F 11.02 c0005
‘Trading financial assets’ includes all financial assets classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a positive balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 22 of this Part shall be reported as trading financial assets. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
Annex V Part 1 §22 F 11.02 r0230
‘Derivatives - Hedge accounting’ shall include derivatives with a positive balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as derivatives held for hedge accounting only where there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
Annex V Part 1 §25 F 11.02 c0007
‘Trading financial liabilities’ includes all financial liabilities classified as trading under the relevant national GAAP based on BAD. Irrespective of the measurement methodology applied under the relevant national GAAP based on BAD, all derivatives with a negative balance for the reporting institution that are not classified as hedge accounting in accordance with paragraph 26 of this Part shall be reported as trading financial liabilities. That classification shall also apply to derivatives which according to national GAAP based on BAD are not recognised on the balance-sheet, or have only the changes in their fair value recognised on-balance sheet or which are used as economic hedges as defined in paragraph 137 of Part 2 of this Annex.
Annex V Part 1 §26 F 11.02 r0230
‘Derivatives - Hedge accounting’ shall include derivatives with a negative balance for the reporting institution held for hedge accounting under IFRS. Under national GAAP based on BAD, banking book derivatives shall be classified as hedge accounting only if there are special accounting rules for banking book derivatives under the relevant national GAAP based on BAD and the derivatives reduce risk of another position in the banking book.
Annex V Part 1 §42 F 11.02 r0240, r0250
Where a breakdown by counterparty is required the following counterparty sectors shall be used: (a) central banks; (b) general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under ‘credit institutions’, ‘other financial corporations’ or ‘non-financial corporations’ depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements; (c) credit institutions: any institution covered by the definition in point (1) of Article 4(1) CRR (‘undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account’) and multilateral development banks (MDBs); (d) other financial corporations: all financial corporations and quasi-corporations, other than credit institutions, such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders; (e) non-financial corporations (NFCs): corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services, as defined in the Table of Part 3 of Annex II to the ECB BSI Regulation; (f) households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (‘NPISH’) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.
Annex V Part 1 §44 F 11.02 r0240, r0250, r0260
The immediate counterparties in the following transactions shall be: (a) for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables; (b) for debt securities (including securitisation instruments) and equity instruments, the issuer of the securities; (c) for deposits, the depositor; (d) for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement; (e) for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives, the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs; (f) for financial guarantees given, the counterparty shall be the direct counterparty of the underlying guaranteed debt instrument; (g) for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution; (h) for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution.

Show all (14)

Annex V Part 2 §120 F 11.02 c0005, c0007
For the purpose of templates 10 and 11, derivatives shall be considered either as hedging derivatives where they are used in a qualifying hedging relationship in accordance with IFRS or with the applicable national GAAP under BAD, or as held for trading in other cases.
Annex V Part 2 §124 F 11.02 c0006, c0008, c0011
Trading derivatives and hedging derivatives which, in accordance with national GAAP based on BAD, are measured at cost or LOCOM shall be identified separately.
Annex V Part 2 §132 F 11.02 c0030, c0040
In addition to carrying amounts as defined in paragraph 27 of Part 1 of this Annex, fair values shall be reported by reporting institutions under national GAAP based on BAD for all derivative instruments, whether required to be booked on-balance sheet or off-balance sheet by the national GAAP based on BAD.
Annex V Part 2 §133 F 11.02 c0010
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 11.02 c0010
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 11.02 c0010
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 §141 F 11.02 r0240, r0250, r0260
The carrying amount and the total notional amount of derivatives held for trading, and also of derivatives held for hedge accounting, which are traded in the OTC market, shall be reported by counterparties using the following categories: (a) ‘credit institutions’; (b) ‘other financial corporations’; (c) ‘rest’ comprising all other counterparties.
Annex V Part 2 §142 F 11.02 r0240
All OTC derivatives, irrespective of the type of risk to which they are related, shall be broken down by those counterparties.

Controls14

14 other rules use at least one of these cells.

Other rules on the same cells

v3935_swarning32
with {tF_11.02, r*, default: null, interval: false}: {(c0005, c0006, c0007, c0008, c0010, c0011, c0030, c0040)} >= 0
v1709_mwarning16
{r0250} <= {r0230}
v1710_mwarning16
{r0260} <= {r0230}
v5138_merror8
{r0230} >= {r0231}
v5139_merror8
{r0230} >= {r0232}
v5140_merror8
{r0230} >= {r0233}
v5141_merror8
{r0230} >= {r0234}
v5142_mwarning8
{r0230} >= {r0235}
v5143_mwarning8
{r0230} >= {r0236}
v903604_hwarning8
with{tF_11.02, c*, default: 0, interval: true}: {r0230} = {r0160} + {r0060} + {r0110} + {r0010} + {r0210} + {r0220}
v2853_merror3
{F 32.04.a, r0030, c0010} <= sum({F 10.00, c0020, (r0300-0320)}) + sum({F 11.01, c0020, (r0510-0530)}) + sum({F 11.02, c0007, (r0240-0260)})
v1037_mwarning1
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)})
v903499_hwarning1
Generated by subcategory(ies): GA12.
v903544_hwarning1
Generated by subcategory(ies): GA12.

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.