The rule in plain words
Accounting value assuming no netting or other CRM cannot be less than accounting balance sheet value.
EBA checks it for six rows: derivatives, credit derivatives (protection sold), credit derivatives (protection bought), financial derivatives, security financing transactions and other assets. That makes six 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.
Financial derivatives, Accounting value assuming no netting or other CRM >= Financial derivatives, Accounting balance sheet value
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 40.00 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
Alternative treatment of the exposure measure (I) (C 40.00.a)
Rows
- 0010Derivatives
- 0020Credit derivatives (protection sold)
- 0050Credit derivatives (protection bought)
- 0060Financial derivatives
- 0071Security Financing Transactions
- 0090Other Assets
Columns
- 0010Accounting balance sheet value
- 0020Accounting value assuming no netting or other CRM
A worked example
The first of its checks, with simple numbers.
Accounting balance sheet value 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_40.00.a,r0060,c0020,} >= {C_40.00.a,r0060,c0010,}The next five:
{C_40.00.a,r0020,c0020,} >= {C_40.00.a,r0020,c0010,}{C_40.00.a,r0050,c0020,} >= {C_40.00.a,r0050,c0010,}{C_40.00.a,r0071,c0020,} >= {C_40.00.a,r0071,c0010,}{C_40.00.a,r0090,c0020,} >= {C_40.00.a,r0090,c0010,}{C_40.00.a,r0010,c0020,} >= {C_40.00.a,r0010,c0010,}Other rules on C 40.00.a
- SFT cash conduit lending (cash receivables) cannot be more than security financing transactions (v10098_m)Warning
- Accounting balance sheet value cannot be negative (v10257_s)Warning
- Accounting value assuming no netting or other CRM cannot be negative (v10258_s)Warning
- Capped notional amount cannot be negative (v10261_s)Warning
- Credit derivatives (protection bought), capped notional amount (same reference name) cannot be negative (v10262_s)Warning
- Derivatives must equal the sum of its three parts (v8827_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.