The rule in plain words
None of the values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative.
EBA checks it for two columns: exposure value (0080) and exposure value (0170). And for eight rows: total (0010), SWWR positions, netting sets treated with the CR standardised approach, netting sets treated with the CR IRB approach, total (0110), total (0180), total (0220) and contractual cross-product netting sets. That makes 16 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.
Exposure value: Of which: SWWR positions >= 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 34.05 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
CCR exposures treated with the internal model method (IMM) (CCR 5) (C 34.05)
Rows
- 0010Total
- 0020Of which: SWWR positions
- 0030Netting sets treated with the CR standardised approach
- 0040Netting sets treated with the CR IRB approach
- 0110Total
- 0180Total
- 0220Total
- 0230Contractual cross-product netting sets
Columns
- 0080Exposure value
- 0170Exposure value
A worked example
The first of its checks, with simple numbers.
SWWR positions, exposure value 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_34.05,r0020,c0080,} >= 0The next five:
{C_34.05,r0030,c0080,} >= 0{C_34.05,r0180,c0170,} >= 0{C_34.05,r0040,c0080,} >= 0{C_34.05,r0220,c0170,} >= 0{C_34.05,r0180,c0080,} >= 0And 10 more, the same formula for the other cells it covers.
Other rules on C 34.05
- None of the 42 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10316_s)Warning
- None of the 168 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10490_s)Warning
- Total must equal bond underlying plus equity underlying plus other underlying (v09835_m)Warning
- Total (under ) must equal the sum of its four parts (v09832_m)Warning
- Total must equal the sum of its two parts (v09831_m)Warning
- Total cannot be less than SWWR positions (v09830_m)Warning
- Exposure value, must equal exposure value, margined plus exposure value, unmargined (v09829_m)Warning
- The absolute value of total cannot be less than the absolute value of SWWR positions (v90086_h)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.