The rule in plain words
IMM (for derivatives and SFTS) must equal these three added up:
- Securities financing transactions netting sets
- Derivatives and long settlement transactions netting sets
- From contractual cross-product netting sets
EBA checks it for 14 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 28 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.
Exposure value: IMM (for derivatives and SFTS), All CCR exposures excluding exposures to central counterparties (CCPs) = Securities financing transactions netting sets, All CCR exposures excluding exposures to central counterparties (CCPs) + Derivatives and long settlement transactions netting sets, All CCR exposures excluding exposures to central counterparties (CCPs) + From contractual cross-product netting sets, 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.
- 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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.b)
Rows
- 0040IMM (for derivatives and SFTS)
- 0050Securities financing transactions netting sets
- 0060Derivatives and long settlement transactions netting sets
- 0070From contractual cross-product netting sets
Columns
- 0020Number of transactions
- 0030Notional amounts
- 0040Current market value (CMV), positive
- 0050Current market value (CMV), negative
- 0120Current exposure
- 0130EEPE
- 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.
IMM (for derivatives and SFTS) must then be 2,450.
A file that reports 2,450 passes. One that reports 2,550 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,r0040,c0170,s0002} = {C_34.02.b,r0050,c0170,s0002} + {C_34.02.b,r0060,c0170,s0002} + {C_34.02.b,r0070,c0170,s0002}The next five:
{C_34.02.b,r0040,c0210,s0002} = {C_34.02.b,r0050,c0210,s0002} + {C_34.02.b,r0060,c0210,s0002} + {C_34.02.b,r0070,c0210,s0002}{C_34.02.b,r0040,c0050,s0002} = {C_34.02.b,r0050,c0050,s0002} + {C_34.02.b,r0060,c0050,s0002} + {C_34.02.b,r0070,c0050,s0002}{C_34.02.b,r0040,c0200,s0002} = {C_34.02.b,r0050,c0200,s0002} + {C_34.02.b,r0060,c0200,s0002} + {C_34.02.b,r0070,c0200,s0002}{C_34.02.b,r0040,c0170,s0001} = {C_34.02.b,r0050,c0170,s0001} + {C_34.02.b,r0060,c0170,s0001} + {C_34.02.b,r0070,c0170,s0001}{C_34.02.b,r0040,c0030,s0001} = {C_34.02.b,r0050,c0030,s0001} + {C_34.02.b,r0060,c0030,s0001} + {C_34.02.b,r0070,c0030,s0001}And 22 more, the same formula for the other cells it covers.
Other rules on C 34.02.b
- Total cannot be less than SWWR positions (v09810_m)Warning
- Total must equal margined business plus unmargined business (v09809_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.