The rule in plain words
Total cannot be less than SWWR positions.
EBA checks it for 14 columns, from number of transactions (0010) to exposure value (0170). That makes 14 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.
Stressed EEPE: Total >= Of which: SWWR positions
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 34.05 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 treated with the internal model method (IMM) (CCR 5) (C 34.05)
Rows
- 0010Total
- 0020Of which: SWWR positions
Columns
- 0010Number of transactions
- 0020Notional amounts
- 0030Current market value (CMV), positive
- 0050Current exposure
- 0060EEPE
- 0070Stressed EEPE
- 0080Exposure value
- 0090Number of transactions
- 0110Current market value (CMV), positive
- 0130Current exposure
- 0140EEPE
- 0150Stressed EEPE
- 0160Exposure value
- 0170Exposure value
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_34.05,r0010,c0150,} >= {C_34.05,r0020,c0150,}The next five:
{C_34.05,r0010,c0110,} >= {C_34.05,r0020,c0110,}{C_34.05,r0010,c0140,} >= {C_34.05,r0020,c0140,}{C_34.05,r0010,c0020,} >= {C_34.05,r0020,c0020,}{C_34.05,r0010,c0010,} >= {C_34.05,r0020,c0010,}{C_34.05,r0010,c0050,} >= {C_34.05,r0020,c0050,}And 8 more, the same formula for the other cells it covers.
Other rules on C 34.05
- Exposure value, must equal exposure value, margined plus exposure value, unmargined (v09829_m)Warning
- Total must equal the sum of its two parts (v09831_m)Warning
- Total (under ) must equal the sum of its four parts (v09832_m)Warning
- Total must equal bond underlying plus equity underlying plus other underlying (v09835_m)Warning
- None of the 42 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10316_s)Warning
- None of the 16 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10317_s)Warning
- None of the 168 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10490_s)Warning
- The absolute value of total cannot be less than the absolute value of SWWR positions (v90086_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.