The rule in plain words
Derogation for derivatives: replacement costs contribution under the simplified standardised approach cannot be less than the absolute value of (-) effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs).
All the values are in the amount / ratio column (0010) of C 47.00.
The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Derogation for derivatives: replacement costs contribution under the simplified standardised approach >= the absolute value of (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs)
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 47.00 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
Leverage ratio calculation (C 47.00)
Rows
- 0101Derogation for derivatives: replacement costs contribution under the simplified standardised approach
- 0102(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs)
Column
- 0010Amount / Ratio
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_47.00,r0101,c0010,} >= abs({C_47.00,r0102,c0010,})Other rules on C 47.00
- A lower-limit check on leverage ratio calculation (row 0091, v10088_m)Warning
- A lower-limit check on leverage ratio calculation (row 0103, v10090_m)Warning
- A lower-limit check on leverage ratio calculation (row 0091, v10087_m)Warning
- OLRR and P2G: to be made up of CET1 capital cannot be more than overall leverage ratio requirement (OLRR) and Pillar to guidance (P2G) ratio (v10642_m)Warning
- OLRR and P2G: to be made up of Tier 1 capital cannot be more than overall leverage ratio requirement (OLRR) and Pillar to guidance (P2G) ratio (v10643_m)Warning
- Overall leverage ratio requirement (OLRR) cannot be more than overall leverage ratio requirement (OLRR) and Pillar to guidance (P2G) ratio (v10644_m)Warning
- TSLRR: to be made up of CET1 capital cannot be more than total SREP leverage ratio requirement (TSLRR) (v10645_m)Warning
- To be made up of Tier 1 capital cannot be more than pillar 2 guidance (P2G) to address risks of excessive leverage (v10646_m)Warning
Every COREP LR rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.