The rule in plain words
Negative fair value (liability) cannot be more than zero.
EBA checks it for two columns: protection bought and protection sold. 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.
Protection bought: Negative fair value (liability) <= 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 34.09 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
Credit derivatives exposures (CCR 9) (C 34.09)
Row
- 0080Negative fair value (liability)
Columns
- 0030Protection bought
- 0040Protection sold
A worked example
The first of its checks, with simple numbers.
Negative fair value (liability), protection bought can then be at most 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_34.09,r0080,c0030,} <= 0The next one:
{C_34.09,r0080,c0040,} <= 0Other rules on C 34.09
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.