The rule in plain words
Total cannot be less than SWWR positions.
EBA checks it for six columns: number of transactions, notional amounts, current market value (CMV), positive, exposure value post-CRM, exposure value and risk weighted exposure amounts. And on two sheets: all CCR exposures and all CCR exposures excluding exposures to central counterparties (CCPs). That makes twelve 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.
Number of transactions: Total, All CCR exposures excluding exposures to central counterparties (CCPs) >= Of which: SWWR positions, All CCR exposures excluding exposures to central counterparties (CCPs)
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 34.02 as reported.
- 05This 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.b)
Rows
- 0110Total
- 0120Of which: SWWR positions
Columns
- 0020Number of transactions
- 0030Notional amounts
- 0040Current market value (CMV), positive
- 0160Exposure value post-CRM
- 0170Exposure value
- 0200Risk weighted exposure amounts
Sheets
- 0001All CCR exposures
- 0002All CCR exposures excluding exposures to central counterparties (CCPs)
A worked example
The first of its checks, with simple numbers.
SWWR positions can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 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.b,r0110,c0020,s0002} >= {C_34.02.b,r0120,c0020,s0002}The next five:
{C_34.02.b,r0110,c0020,s0001} >= {C_34.02.b,r0120,c0020,s0001}{C_34.02.b,r0110,c0030,s0001} >= {C_34.02.b,r0120,c0030,s0001}{C_34.02.b,r0110,c0170,s0001} >= {C_34.02.b,r0120,c0170,s0001}{C_34.02.b,r0110,c0170,s0002} >= {C_34.02.b,r0120,c0170,s0002}{C_34.02.b,r0110,c0040,s0001} >= {C_34.02.b,r0120,c0040,s0001}And 6 more, the same formula for the other cells it covers.
Other rules on C 34.02.b
- Total must equal margined business plus unmargined business (v09809_m)Warning
- IMM (for derivatives and SFTS) must equal the sum of its three parts (v09811_m)Warning
- IMM (for derivatives and SFTS), alpha used for computing regulatory exposure value must be at least 1.2 (v10633_m)Warning
- None of the 16 values it checks in CCR exposures by approach (CCR 2) can be negative (v90234_s)Warning
- IMM (for derivatives and SFTS), alpha used for computing regulatory exposure value cannot be negative (v90235_s)Warning
- None of the 80 values it checks in CCR exposures by approach (CCR 2) can be negative (v90236_s)Warning
- None of the 88 values it checks in CCR exposures by approach (CCR 2) can be negative (v90237_s)Warning
- Exposure value for calculating s-TREA cannot be negative (v90238_s)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.