v3934_s

warningactivewithin F 11.0246 cells · general rule

Expression · DPM 2.0, verbatim

with {tF_11.02, default: null, interval: false}: {(r0010, r0020, r0040, r0060, r0070, r0090, r0110, r0120, r0140, r0160, r0170, r0180, r0190, r0200, r0210, r0220, r0230, r0231, r0232, r0233, r0234, r0235, r0236), c0020-0021} >= 0

EBA description with {tF_11.02, default: null, interval: false}: {(r0010, r0020, r0040, r0060, r0070, r0090, r0110, r0120, r0140, r0160, r0170, r0180, r0190, r0200, r0210, r0220, r0230, r0231, r0232, r0233, r0234, r0235, r0236), c0020-0021} >= 0

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 →

	c0020Of which: sold	c0021of which: derivatives carried at amortised cost / LOCOM
0010Interest rate	in rule	in rule
0020Interest rate › OTC options	in rule	in rule
0040Interest rate › Organized market options	in rule	in rule
0060Equity	in rule	in rule
0070Equity › OTC options	in rule	in rule
0090Equity › Organized market options	in rule	in rule
0110Foreign exchange	in rule	in rule
0120Foreign exchange › OTC options	in rule	in rule
0140Foreign exchange › Organized market options	in rule	in rule
0160Credit	in rule	in rule
0170Credit › Credit default swap	in rule	in rule
0180Credit › Credit spread option	in rule	in rule
0190Credit › Total return swap	in rule	in rule
0200Credit › Other	in rule	in rule
0210Commodity	in rule	in rule
0220Other	in rule	in rule
0230Derivatives - Hedge Accounting	in rule	in rule
0231Derivatives - Hedge Accounting › of which: fair value hedges	in rule	in rule
0232Derivatives - Hedge Accounting › of which: cash flow hedges	in rule	in rule
0233Derivatives - Hedge Accounting › of which: cost-price hedges	in rule	in rule
0234Derivatives - Hedge Accounting › of which: hedge in net investments in a foreign operation	in rule	in rule
0235Derivatives - Hedge Accounting › of which: portfolio fair value hedges of interest rate risk	in rule	in rule
0236Derivatives - Hedge Accounting › of which: portfolio cash flow hedges of interest rate risk	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

v3934_s

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 14447 · official

Regulation10

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

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 §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 2 §124 F 11.02 c0021
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 §129 F 11.02 r0010, r0060, r0110, r0160, r0210, r0220
All derivatives shall be classified into one of the following risk categories: (a) interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument the cash flows of which are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a treasury bill. That category shall be restricted to those deals where all the legs are exposed to only one currency's interest rate. It shall thus exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts the predominant risk characteristic of which is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for those types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaps and interest rate warrants; (b) equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices; (c) foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They shall therefore cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaps and currency warrants. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates, except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity; (d) credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees (IFRS 9.4.2.1 (c)). The contracts shall specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9; (e) commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products; (f) other: those derivatives shall be any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.
Annex V Part 2 §133 F 11.02 c0020
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 c0020
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.

Show all (10)

Annex V Part 2 §135 F 11.02 c0020
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 11.02 r0020, r0040, r0070, r0090, r0120, r0140, r0170, r0180, r0190, r0200
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 §143 F 11.02 r0231, r0232, r0233, r0234, r0235, r0236
Where national GAAP under BAD require the allocation of hedging derivatives across categories of hedges, the hedging derivatives shall be separately reported for each of the applicable categories: ‘fair-value hedges’, ‘cash flow hedges’, ‘cost-price hedges’, ‘hedge in net investments in a foreign operation’, ‘portfolio fair value hedges of interest rate risk’ and ‘portfolio cash flow hedges of interest rate risk’.
Annex V Part 2 §144 F 11.02 r0233
Where applicable in accordance with national GAAP based on BAD, ‘Cost price hedges’ shall refer to a hedging category in which the hedging derivative is generally measured at cost.

Controls4

4 other rules use at least one of these cells.

Other rules on the same cells

v903604_hwarning14
with{tF_11.02, c*, default: 0, interval: true}: {r0230} = {r0160} + {r0060} + {r0110} + {r0010} + {r0210} + {r0220}
v1957_mwarning5
{r0160} = +{r0170} + {r0180} + {r0200} + {r0190}
v6287_mwarning4
{r0232} >= {r0236}
v1958_mwarning2
{r0160} >= +{r0170}

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.