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 16846 · official
Regulation9
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 §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 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, 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 §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, 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.
Show all (9)
Annex V Part 2 §134 F 11.02 c0010, 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.
Annex V Part 2 §135 F 11.02 c0010, 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 §143 F 11.02 r0232, 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’.
Controls4
4 other rules use at least one of these cells.
Other rules on the same cells
v3935_swarning16
with {tF_11.02, r*, default: null, interval: false}: {(c0005, c0006, c0007, c0008, c0010, c0011, c0030, c0040)} >= 0
v5139_merror8
{r0230} >= {r0232}
v5143_mwarning8
{r0230} >= {r0236}
v3934_swarning4
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
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.