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 eight columns: number of transactions (0010), notional amounts (0020), current market value (CMV), positive (0030), current market value (CMV), negative (0040), number of transactions (0090), notional amounts (0100), current market value (CMV), positive (0110) and current market value (CMV), negative (0120). And for 21 rows, from total (0010) to contractual cross-product netting sets (0230). That makes 168 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.
Notional amounts: Contractual cross-product netting sets >= 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
- 0050Interest rate
- 0060Foreign exchange
- 0070Credit
- 0080Equity
- 0090Commodity
- 0100Other
- 0110Total
- 0120Interest rate
- 0130Foreign exchange
- 0140Credit
- 0150Equity
- 0160Commodity
- 0170Other
- 0180Total
- 0190Bond underlying
- 0200Equity underlying
- 0210Other underlying
- 0220Total
- 0230Contractual cross-product netting sets
Columns
- 0010Number of transactions
- 0020Notional amounts
- 0030Current market value (CMV), positive
- 0040Current market value (CMV), negative
- 0090Number of transactions
- 0100Notional amounts
- 0110Current market value (CMV), positive
- 0120Current market value (CMV), negative
A worked example
The first of its checks, with simple numbers.
Contractual cross-product netting sets, notional 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_34.05,r0230,c0100,} >= 0The next five:
{C_34.05,r0110,c0040,} >= 0{C_34.05,r0200,c0030,} >= 0{C_34.05,r0070,c0110,} >= 0{C_34.05,r0170,c0010,} >= 0{C_34.05,r0180,c0020,} >= 0And 162 more, the same formula for the other cells it covers.
Other rules on C 34.05
- None of the 16 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10317_s)Warning
- 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
- 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.