The rule in plain words
Percentage of total assets times total assets must equal size of the derivative business.
EBA checks it for three columns: total (0030), total (0060) and total (0090). That makes three 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.
Total: Percentage of total assets × Total assets = Size of the derivative business
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 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
- 0040Total assets
- 0050Percentage of total assets
Columns
- 0030Total
- 0060Total
- 0090Total
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,r0050,c0060,} * {C_34.01.a,r0040,c0060,} = {C_34.01.a,r0010,c0060,}The next two:
{C_34.01.a,r0050,c0030,} * {C_34.01.a,r0040,c0030,} = {C_34.01.a,r0010,c0030,}{C_34.01.a,r0050,c0090,} * {C_34.01.a,r0040,c0090,} = {C_34.01.a,r0010,c0090,}Other rules on C 34.01.a
- Credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures cannot be more than zero (v10492_s)Warning
- None of the twelve values it checks in size of the derivative business (CCR 1) (I) can be negative (row 0010, v10308_s)Warning
- None of the twelve values it checks in size of the derivative business (CCR 1) (I) can be negative (row 0010, v10307_s)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.