The rule in plain words
None of the values it checks in size of the derivative business (CCR 1) (I) can be negative.
EBA checks it for six columns: long derivative positions (0010), short derivative positions (0020), long derivative positions (0040), short derivative positions (0050), long derivative positions (0070) and short derivative positions (0080). And for two rows: size of the derivative business, and on- and off-balance sheet derivatives. That makes twelve 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.
Short derivative positions: Size of the derivative business >= 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 34.01 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
Size of the derivative business (CCR 1) (I) (C 34.01.a)
Rows
- 0010Size of the derivative business
- 0020On- and off-balance sheet derivatives
Columns
- 0010Long derivative positions
- 0020Short derivative positions
- 0040Long derivative positions
- 0050Short derivative positions
- 0070Long derivative positions
- 0080Short derivative positions
A worked example
The first of its checks, with simple numbers.
Size of the derivative business, short derivative positions 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_34.01.a,r0010,c0020,} >= 0The next five:
{C_34.01.a,r0020,c0050,} >= 0{C_34.01.a,r0020,c0070,} >= 0{C_34.01.a,r0010,c0080,} >= 0{C_34.01.a,r0020,c0080,} >= 0{C_34.01.a,r0010,c0050,} >= 0And 6 more, the same formula for the other cells it covers.
Other rules on C 34.01.a
- None of the twelve values it checks in size of the derivative business (CCR 1) (I) can be negative (row 0010, v10308_s)Warning
- Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures cannot be more than zero (v10492_s)Warning
- Percentage of total assets times total assets must equal size of the derivative business (v10638_m)Warning
- Size of the derivative business must equal the sum of its two parts (v09804_m)Warning
- Month 3: total must equal long derivative positions plus short derivative positions (v09803_m)Warning
- Month 2: total must equal long derivative positions plus short derivative positions (v09802_m)Warning
- Size of the derivative business: total must equal long derivative positions plus short derivative positions (v09801_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.