v903606_h

warningactivewithin F 11.0414 cells · general rule

Expression · DPM 2.0, verbatim

with{tF_11.04, c0010-0020, default: 0, interval: true}: {r0150} = {r0190} + {r0170} + {r0180} + {r0160} + {r0200} + {r0210}

Precondition p_334 (its meaning is not in the data yet)

Cells involved

F 11.04 Hedged items in fair value hedges

Open template →

	c0010Carrying amount	c0020Assets or liabilities included in hedge of a net position (before netting)
0150LIABILITIES › Financial liabilities measured at amortised costs	in rule	in rule
0160Financial liabilities measured at amortised costs › Interest rate	in rule	in rule
0170Financial liabilities measured at amortised costs › Equity	in rule	in rule
0180Financial liabilities measured at amortised costs › Foreign exchange and gold	in rule	in rule
0190Financial liabilities measured at amortised costs › Credit	in rule	in rule
0200Financial liabilities measured at amortised costs › Commodity	in rule	in rule
0210Financial liabilities measured at amortised costs › Other	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

v903606_h

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 21175 · official

Regulation9

From the rows and columns of the cells involved.

Annex V Part 2 §129 F 11.04 r0160, r0170, r0180, r0190, r0200, r0210
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 §146 F 11.04 r0150, c0010
The carrying amount of hedged items in a fair value hedge recognised on the statement of financial position shall be broken down by accounting portfolio and type of hedged risk for hedged financial assets and hedged financial liabilities. Where a financial instrument is hedged for more than one risk, it shall be reported in the type of risk in which the hedging instrument shall be reported in accordance with paragraph 129.
Annex V Part 2 §147 F 11.04 c0010, c0020
‘Micro-hedges’ shall be hedges other than portfolio hedge of interest rate risk in accordance with IAS 39.89A. Micro-hedges shall include hedges of nil net positions as referred to in accordance with IFRS 9.6.6.6.
Annex V Part 2 §151 F 11.04 r0150, c0020
Where a group of financial assets or financial liabilities, including a group of financial assets or financial liabilities that constitute a net position, is eligible as a hedged item, financial assets and financial liabilities constituting that group shall be reported at their carrying amount on a gross basis, before netting between instruments within the group, in ‘Assets or liabilities included in hedge of a net position (before netting)’.

Other acts

IFRS 9.4.2.1 IFRS 7.8(g)IFRS 7.24B(a)IFRS 9.6.6.1 IFRS 9.6.6.6

Controls1

1 other rules use at least one of these cells.

Other rules on the same cells

v5685_swarning14
with {tF_11.04, r*, default: null, interval: false}: {c0010-0020} >= 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.