The rule in plain words
Total must equal these three added up:
- Bond underlying
- Equity underlying
- Other underlying
EBA checks it for eight columns: number of transactions (0010), notional amounts (0020), current market value (CMV), positive (0030), current market value (CMV), negative (0040), number of transactions (0090), notional amounts (0100), current market value (CMV), positive (0110) and current market value (CMV), negative (0120). That makes eight 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 = Bond underlying + Equity underlying + Other underlying
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 34.05 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 treated with the internal model method (IMM) (CCR 5) (C 34.05)
Rows
- 0190Bond underlying
- 0200Equity underlying
- 0210Other underlying
- 0220Total
Columns
- 0010Number of transactions
- 0020Notional amounts
- 0030Current market value (CMV), positive
- 0040Current market value (CMV), negative
- 0090Number of transactions
- 0100Notional amounts
- 0110Current market value (CMV), positive
- 0120Current market value (CMV), negative
A worked example
The first of its checks, with simple numbers.
Total 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_34.05,r0220,c0090,} = {C_34.05,r0190,c0090,} + {C_34.05,r0200,c0090,} + {C_34.05,r0210,c0090,}The next five:
{C_34.05,r0220,c0110,} = {C_34.05,r0190,c0110,} + {C_34.05,r0200,c0110,} + {C_34.05,r0210,c0110,}{C_34.05,r0220,c0020,} = {C_34.05,r0190,c0020,} + {C_34.05,r0200,c0020,} + {C_34.05,r0210,c0020,}{C_34.05,r0220,c0100,} = {C_34.05,r0190,c0100,} + {C_34.05,r0200,c0100,} + {C_34.05,r0210,c0100,}{C_34.05,r0220,c0010,} = {C_34.05,r0190,c0010,} + {C_34.05,r0200,c0010,} + {C_34.05,r0210,c0010,}{C_34.05,r0220,c0030,} = {C_34.05,r0190,c0030,} + {C_34.05,r0200,c0030,} + {C_34.05,r0210,c0030,}And 2 more, the same formula for the other cells it covers.
Other rules on C 34.05
- Total (under ) must equal the sum of its four parts (v09832_m)Warning
- Total must equal the sum of its two parts (v09831_m)Warning
- Total cannot be less than SWWR positions (v09830_m)Warning
- Exposure value, must equal exposure value, margined plus exposure value, unmargined (v09829_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.