The rule in plain words
12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal simplified approach, TREA.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
12.5 × C_25.01.A: Transactions in scope of the own funds requirement for CVA risk, Own funds requirements = C_02.00.A: Simplified approach, TREA
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 02.00 and C 25.01 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Row
- 0675Simplified approach
Column
- 0010TREA
Credit valuation adjustment risk (CVA) (C 25.01.a)
Row
- 0010Transactions in scope of the own funds requirement for CVA risk
Column
- 0060Own funds requirements
A worked example
The first of its checks, with simple numbers.
Simplified approach, TREA must then be 15,000.
A file that reports 15,000 passes. One that reports 15,100 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_25.01.a,r0010,c0060,} * 12.5 = {C_02.00.a,r0675,c0010,}Other rules on C 02.00.a
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal reduced basic approach (R-BA), TREA (v22975_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal simplified treatment for derivative positions in CIUs, TREA (v22977_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal full basic approach (F-BA), TREA (v22974_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal standardised approach (SA), TREA (v22973_m)Warning
- Total risk exposure amount for the business subject to market risk must equal the sum of its four parts (v22969_m)Warning
- A calculation check on capital adequacy: risk exposure amounts (v22999_m)Warning
- Central governments or central banks, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23269_m)Warning
- Regional governments or local authorities, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23270_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.