The rule in plain words
Accounting value assuming no netting or other CRM cannot be negative.
EBA checks it for nine rows, from derivatives (0010) to SFT cash conduit lending (cash receivables) (0240). That makes nine 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.
Accounting value assuming no netting or other CRM: Derivatives >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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
- 0090Other Assets
- 0210Cash collateral received in derivatives transactions
- 0220Receivables for cash collateral posted in derivatives transactions
- 0230Securities received in a SFT that are recognised as an asset
- 0240SFT cash conduit lending (cash receivables)
Column
- 0020Accounting value assuming no netting or other CRM
A worked example
The first of its checks, with simple numbers.
Derivatives, accounting value assuming no netting or other CRM must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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,r0010,c0020,} >= 0The next five:
{C_40.00.a,r0090,c0020,} >= 0{C_40.00.a,r0230,c0020,} >= 0{C_40.00.a,r0220,c0020,} >= 0{C_40.00.a,r0210,c0020,} >= 0{C_40.00.a,r0020,c0020,} >= 0And 3 more, the same formula for the other cells it covers.
Other rules on C 40.00.a
- Accounting balance sheet value cannot be negative (v10257_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
- SFT cash conduit lending (cash receivables) cannot be more than security financing transactions (v10098_m)Warning
- Accounting value assuming no netting or other CRM cannot be less than accounting balance sheet value (v10095_m)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.