The rule in plain words
Total must equal these seven added up:
- Original exposure method (for derivatives)
- Simplified SA-CCR (for derivatives)
- SA-CCR (for derivatives)
- IMM (for derivatives and SFTS)
- Financial collateral simple method (for SFTS)
- Financial collateral comprehensive method (for SFTS)
- VAR for SFTS
EBA checks it for twelve columns, from number of transactions (0020) to positions treated with the CR IRB approach (0220). And on two sheets: all CCR exposures and all CCR exposures excluding exposures to central counterparties (CCPs). That makes 24 checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.
C_34.02.A: Original exposure method (for derivatives), Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) + C_34.02.A: Simplified SA-CCR (for derivatives), Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) + C_34.02.A: SA-CCR (for derivatives), Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) + C_34.02.B: IMM (for derivatives and SFTS), Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) + C_34.02.B: Financial collateral simple method (for SFTS), Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) + C_34.02.B: Financial collateral comprehensive method (for SFTS), Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) + C_34.02.B: VAR for SFTS, Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs) = C_34.02.B: Total, Positions treated with the CR IRB approach, All CCR exposures excluding exposures to central counterparties (CCPs)
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 34.02 as reported.
- 06This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.
The cells it reads
CCR exposures by approach (CCR 2) (C 34.02.a)
Rows
- 0010Original exposure method (for derivatives)
- 0020Simplified SA-CCR (for derivatives)
- 0030SA-CCR (for derivatives)
Columns
- 0020Number of transactions
- 0030Notional amounts
- 0040Current market value (CMV), positive
- 0050Current market value (CMV), negative
- 0150Exposure value pre-CRM
- 0160Exposure value post-CRM
- 0170Exposure value
- 0180Positions treated with the CR standardised approach
- 0190Positions treated with the CR IRB approach
- 0200Risk weighted exposure amounts
- 0210Positions treated with the CR standardised approach
- 0220Positions treated with the CR IRB approach
Sheets
- 0001All CCR exposures
- 0002All CCR exposures excluding exposures to central counterparties (CCPs)
CCR exposures by approach (CCR 2) (C 34.02.b)
Rows
- 0040IMM (for derivatives and SFTS)
- 0080Financial collateral simple method (for SFTS)
- 0090Financial collateral comprehensive method (for SFTS)
- 0100VAR for SFTS
- 0110Total
Columns
- 0020Number of transactions
- 0030Notional amounts
- 0040Current market value (CMV), positive
- 0050Current market value (CMV), negative
- 0150Exposure value pre-CRM
- 0160Exposure value post-CRM
- 0170Exposure value
- 0180Positions treated with the CR standardised approach
- 0190Positions treated with the CR IRB approach
- 0200Risk weighted exposure amounts
- 0210Positions treated with the CR standardised approach
- 0220Positions treated with the CR IRB approach
Sheets
- 0001All CCR exposures
- 0002All CCR exposures excluding exposures to central counterparties (CCPs)
A worked example
The first of its checks, with simple numbers.
Total must then be 3,060.
A file that reports 3,060 passes. One that reports 3,160 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_34.02.a,r0010,c0190,s0002} + {C_34.02.a,r0020,c0190,s0002} + {C_34.02.a,r0030,c0190,s0002} + {C_34.02.b,r0040,c0190,s0002} + {C_34.02.b,r0080,c0190,s0002} + {C_34.02.b,r0090,c0190,s0002} + {C_34.02.b,r0100,c0190,s0002} = {C_34.02.b,r0110,c0190,s0002}The next five:
{C_34.02.a,r0010,c0210,s0001} + {C_34.02.a,r0020,c0210,s0001} + {C_34.02.a,r0030,c0210,s0001} + {C_34.02.b,r0040,c0210,s0001} + {C_34.02.b,r0080,c0210,s0001} + {C_34.02.b,r0090,c0210,s0001} + {C_34.02.b,r0100,c0210,s0001} = {C_34.02.b,r0110,c0210,s0001}{C_34.02.a,r0010,c0020,s0002} + {C_34.02.a,r0020,c0020,s0002} + {C_34.02.a,r0030,c0020,s0002} + {C_34.02.b,r0040,c0020,s0002} + {C_34.02.b,r0080,c0020,s0002} + {C_34.02.b,r0090,c0020,s0002} + {C_34.02.b,r0100,c0020,s0002} = {C_34.02.b,r0110,c0020,s0002}{C_34.02.a,r0010,c0030,s0002} + {C_34.02.a,r0020,c0030,s0002} + {C_34.02.a,r0030,c0030,s0002} + {C_34.02.b,r0040,c0030,s0002} + {C_34.02.b,r0080,c0030,s0002} + {C_34.02.b,r0090,c0030,s0002} + {C_34.02.b,r0100,c0030,s0002} = {C_34.02.b,r0110,c0030,s0002}{C_34.02.a,r0010,c0180,s0001} + {C_34.02.a,r0020,c0180,s0001} + {C_34.02.a,r0030,c0180,s0001} + {C_34.02.b,r0040,c0180,s0001} + {C_34.02.b,r0080,c0180,s0001} + {C_34.02.b,r0090,c0180,s0001} + {C_34.02.b,r0100,c0180,s0001} = {C_34.02.b,r0110,c0180,s0001}{C_34.02.a,r0010,c0030,s0001} + {C_34.02.a,r0020,c0030,s0001} + {C_34.02.a,r0030,c0030,s0001} + {C_34.02.b,r0040,c0030,s0001} + {C_34.02.b,r0080,c0030,s0001} + {C_34.02.b,r0090,c0030,s0001} + {C_34.02.b,r0100,c0030,s0001} = {C_34.02.b,r0110,c0030,s0001}And 18 more, the same formula for the other cells it covers.
Other rules on C 34.02.a
- Risk weighted exposure amounts must equal the sum of its two parts (v09807_m)Warning
- Exposure value must equal the sum of its two parts (v09806_m)Warning
- None of the 16 values it checks in CCR exposures by approach (CCR 2) can be negative (v10319_s)Warning
- None of the 78 values it checks in CCR exposures by approach (CCR 2) can be negative (v90279_s)Warning
- The absolute value of exposure value cannot be less than the absolute value of positions treated with the CR standardised approach plus the absolute value of positions treated with the CR IRB approach (v903598_h)Warning
- A lower-limit check on CCR exposures by approach (CCR 2) (v903599_h)Warning
Every COREP own funds rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.