v2278_m

warningactivewithin F 11.0124 cells · general rule

Expression · DPM 2.0, verbatim

with {tF_11.01, c*, default: 0, interval: true}: {r0500} = + {r0460} + {r0230} + {r0470} + {r0490} + {r0480}

EBA description {r0500} = +{r0460} + {r0230} + {r0470} + {r0490} + {r0480}

Precondition p_330 (its meaning is not in the data yet)

Cells involved

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

Open template →

	c0010Assets	c0020Liabilities	c0030Total hedging	c0040Of which: sold
0230Fair value hedges	in rule	in rule	in rule	in rule
0460Cash flow hedges	in rule	in rule	in rule	in rule
0470Hedge of net investments in a foreign operation	in rule	in rule	in rule	in rule
0480Portfolio fair value hedges of interest rate risk	in rule	in rule	in rule	in rule
0490Portfolio cash flow hedges of interest rate risk	in rule	in rule	in rule	in rule
0500Derivatives-Hedge accounting	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

v2278_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 16179 · official

Regulation36

From the rows and columns of the cells involved.

Annex V Part 2 §120 F 11.01 c0010, c0020
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 §131 F 11.01 c0010, c0020
Under IFRS, the ‘carrying amount’ for all derivatives (hedging or trading) shall be the fair value. Derivatives with a positive fair value (above zero) shall be ‘financial assets’ and derivatives with a negative fair value (below zero) shall be ‘financial liabilities’. The ‘carrying amount’ shall be reported separately for derivatives with a positive fair value (‘financial assets’) and for those with a negative fair value (‘financial liabilities’). At the date of initial recognition, a derivative shall be classified as ‘financial asset’ or ‘financial liability’ according to its initial fair value. After initial recognition, as the fair value of a derivative increases or decreases, the terms of the exchange may become either favourable to the institution (and the derivative is classified as ‘financial asset’) or unfavourable (and the derivative is classified as ‘financial liability’). The carrying amount of hedging derivatives shall be their entire fair value, including, where applicable, the components of this fair value that are not designated as hedging instruments.
Annex V Part 2 §133 F 11.01 c0030, c0040
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 11.01 c0030, c0040
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 11.01 c0030, c0040
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).

Other acts

IFRS 7.24A IAS 39.86(a)IFRS 9.6.5.2(a)IAS 39.86(b)IFRS 9.6.5.2(b)IAS 39.86(c)IFRS 9.6.5.2(c)IAS 39.71 IAS 39.81A IAS 39.89A IAS 39.AG114 IAS 39.AG115 IAS 39.AG116 IAS 39.AG117 IAS 39.AG118 IAS 39.AG119 IAS 39.AG120 IAS 39.AG121 IAS 39.AG122 IAS 39.AG123 IAS 39.AG124 IAS 39.AG125 IAS 39.AG126 IAS 39.AG127 IAS 39.AG128 IAS 39.AG129 IAS 39.AG130 IAS 39.AG131 IAS 39.AG132 IAS 39.9 IFRS 9.6.1

Controls10

10 other rules use at least one of these cells.

Other rules on the same cells

v3933_swarning18
with {tF_11.01, r*, default: null, interval: false}: {c0010-0030} >= 0
v0857_mwarning12
{c0040} <= {c0030}
v3932_swarning6
with {tF_11.01, c0040, default: null, interval: false}: {(r0010, r0020, r0040, r0060, r0070, r0090, r0110, r0120, r0140, r0160, r0170, r0180, r0190, r0200, r0210, r0220, r0230, r0240, r0250, r0270, r0290, r0300, r0320, r0340, r0350, r0370, r0390, r0400, r0410, r0420, r0430, r0440, r0450, r0460, r0470, r0480, r0490, r0500)} >= 0
v0867_merror4
{r0460} = {r0240} + {r0290} + {r0340} + {r0390} + {r0440} + {r0450}
v6142_hwarning4
(Hierarchy TR31_1) [Not applicable/All risks] must be equal to +[Credit risk] +[Interest rate risk] +[Commodities risk] +[Equity risk] +[Foreign-exchange risk] +[Risks other than Interest rate risk, Equity risk, Foreign exchange risk, Credit risk, Commodity risk]
v6143_hwarning4
(Hierarchy TR31_1) [Not applicable/All risks] must be equal to +[Credit risk] +[Interest rate risk] +[Commodities risk] +[Equity risk] +[Foreign-exchange risk] +[Risks other than Interest rate risk, Equity risk, Foreign exchange risk, Credit risk, Commodity risk]
v0869_merror3
{r0510} + {r0520} + {r0530} <= {r0500}
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)})
v23384_hwarning1
with{default: 0, interval: true}: {tF_11.01, r0500, c0010} = {tF_20.01, r0240, c0010} + {tF_20.01, r0240, c0020}
v23413_hwarning1
with{default: 0, interval: true}: {tF_11.01, r0500, c0020} = {tF_20.02, r0150, c0010} + {tF_20.02, r0150, c0020}

Interpretation1

2018_3770

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.