The rule in plain words
Capped notional amount cannot be negative.
EBA checks it for two rows: credit derivatives (protection sold) and credit derivatives (protection bought). That makes two 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.
Capped notional amount: Credit derivatives (protection bought) >= 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
- 0020Credit derivatives (protection sold)
- 0050Credit derivatives (protection bought)
Column
- 0075Capped notional amount
A worked example
The first of its checks, with simple numbers.
Credit derivatives (protection bought), capped notional amount 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,r0050,c0075,} >= 0The next one:
{C_40.00.a,r0020,c0075,} >= 0Other rules on C 40.00.a
- Credit derivatives (protection bought), capped notional amount (same reference name) cannot be negative (v10262_s)Warning
- Accounting value assuming no netting or other CRM cannot be negative (v10258_s)Warning
- Accounting balance sheet value cannot be negative (v10257_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.