Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures cannot be more than zero (EBA rule v10492_s)

A warning in the own funds and capital requirements return (COREP own funds), on template C 34.01.a, size of the derivative business (CCR 1) (I).

Check your file against this ruleWhat to do if it fails

The rule in plain words

(-) credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures cannot be more than zero.

EBA checks it for nine columns, from long derivative positions (0010) to total (0090). That makes nine checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Total: (-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures <= 0

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  4. 04It runs only when your filing indicators mark C 34.01 as reported.
  5. 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)

Row

  • 0030(-) Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures

Columns

  • 0010Long derivative positions
  • 0020Short derivative positions
  • 0030Total
  • 0040Long derivative positions
  • 0050Short derivative positions
  • 0060Total
  • 0070Long derivative positions
  • 0080Short derivative positions
  • 0090Total

A worked example

The first of its checks, with simple numbers.

What the rule then expects

(-) credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures, total can then be at most 0.

0Passes
100Fails

A file that reports 0 passes. One that reports 100 fails, by 100.

The numbers are illustrative.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_34.01.a,r0030,c0090,} <= 0

The next five:

{C_34.01.a,r0030,c0020,} <= 0{C_34.01.a,r0030,c0030,} <= 0{C_34.01.a,r0030,c0040,} <= 0{C_34.01.a,r0030,c0010,} <= 0{C_34.01.a,r0030,c0070,} <= 0

And 3 more, the same formula for the other cells it covers.

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.