The rule in plain words
All transactions exempted cannot be less than client’s transactions.
EBA checks it for eight columns: CCR exposure value, own funds requirements for CCR, own funds requirements (0060), own funds requirements (0070), own funds requirements (0110), own funds requirements (0270), total own funds requirements and total risk exposure amount. That makes eight 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.
Own funds requirements: All transactions exempted >= Client’s transactions
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 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 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
Credit valuation adjustment risk (CVA) (C 25.01.a)
Rows
- 0040All transactions exempted
- 0050Client’s transactions
Columns
- 0010CCR Exposure value
- 0020Own funds requirements for CCR
- 0060Own funds requirements
- 0070Own funds requirements
- 0110Own funds requirements
- 0270Own funds requirements
- 0280TOTAL OWN FUNDS REQUIREMENTS
- 0290TOTAL RISK EXPOSURE AMOUNT
A worked example
The first of its checks, with simple numbers.
Client’s transactions can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_25.01.a,r0040,c0110,} >= {C_25.01.a,r0050,c0110,}The next five:
{C_25.01.a,r0040,c0270,} >= {C_25.01.a,r0050,c0270,}{C_25.01.a,r0040,c0280,} >= {C_25.01.a,r0050,c0280,}{C_25.01.a,r0040,c0060,} >= {C_25.01.a,r0050,c0060,}{C_25.01.a,r0040,c0010,} >= {C_25.01.a,r0050,c0010,}{C_25.01.a,r0040,c0020,} >= {C_25.01.a,r0050,c0020,}And 2 more, the same formula for the other cells it covers.
Other rules on C 25.01.a
- Transactions with non-financial counterparties cannot be less than transactions with third country non-financial counterparties only (v23068_m)Warning
- All transactions exempted cannot be less than transactions with non-financial counterparties (v23070_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with EU non-financial counterparties only (v23067_m)Warning
- All transactions exempted cannot be less than intragroup transactions (v23071_m)Warning
- Transactions in scope of the own funds requirement for CVA risk cannot be less than otherwise exempted transactions that institutions choose to reintegrate in the calculation of own funds requirements (v23066_m)Warning
- All transactions exempted cannot be less than transactions with pension funds counterparties (v23072_m)Warning
- Transactions in scope of the own funds requirement for CVA risk cannot be less than derivatives only (v23065_m)Warning
- All transactions exempted cannot be less than transactions with sovereign counterparties (v23073_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.