The rule in plain words
Risk weighted exposure amounts cannot be negative.
EBA checks it for 18 rows, from exposures to QCCPs (total) (0010) to unfunded default fund contributions (0200). That makes 18 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.
Risk weighted exposure amounts: Prefunded default fund contributions >= 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 34.10 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
Exposures to CCPs (CCR 10) (C 34.10)
Rows
- 0010Exposures to QCCPs (total)
- 0020Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
- 0030(i) OTC derivatives
- 0040(ii) Exchange-traded derivatives
- 0050(iii) SFTs
- 0060(iv) Netting sets where cross-product netting has been approved
- 0080Non-segregated initial margin
- 0090Prefunded default fund contributions
- 0100Unfunded default fund contributions
- 0110Exposures to non-QCCPs (total)
- 0120Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which
- 0130(i) OTC derivatives
- 0140(ii) Exchange-traded derivatives
- 0150(iii) SFTs
- 0160(iv) Netting sets where cross-product netting has been approved
- 0180Non-segregated initial margin
- 0190Prefunded default fund contributions
- 0200Unfunded default fund contributions
Column
- 0020Risk weighted exposure amounts
A worked example
The first of its checks, with simple numbers.
Prefunded default fund contributions, risk weighted exposure amounts 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_34.10,r0090,c0020,} >= 0The next five:
{C_34.10,r0080,c0020,} >= 0{C_34.10,r0030,c0020,} >= 0{C_34.10,r0100,c0020,} >= 0{C_34.10,r0050,c0020,} >= 0{C_34.10,r0010,c0020,} >= 0And 12 more, the same formula for the other cells it covers.
Other rules on C 34.10
- Exposure value cannot be negative (v10302_s)Warning
- Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which must equal the sum of its four parts (v09850_m)Warning
- Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which must equal the sum of its four parts (v09849_m)Warning
- Exposures to non-QCCPs (total) must equal the sum of its four parts (v09848_m)Warning
- Exposures to QCCPs (total) must equal the sum of its four parts (v09847_m)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.