The rule in plain words
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.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Own funds requirements: Transactions in scope of the own funds requirement for CVA risk >= of which: Otherwise exempted transactions that institutions choose to reintegrate in the calculation of own funds requirements
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.b)
Rows
- 0010Transactions in scope of the own funds requirement for CVA risk
- 0030of which: Otherwise exempted transactions that institutions choose to reintegrate in the calculation of own funds requirements
Column
- 0050Own funds requirements
A worked example
The first of its checks, with simple numbers.
Otherwise exempted transactions that institutions choose to reintegrate in the calculation of own funds requirements 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. Cells are written as {template, row, column, sheet}.
{C_25.01.b,r0010,c0050,} >= {C_25.01.b,r0030,c0050,}Other rules on C 25.01.b
- 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 (v23075_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with EU non-financial counterparties only (v23076_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with third country non-financial counterparties only (v23077_m)Warning
- All transactions exempted cannot be less than clients transactions (v23078_m)Warning
- All transactions exempted cannot be less than transactions with non-financial counterparties (v23079_m)Warning
- All transactions exempted cannot be less than intragroup transactions (v23080_m)Warning
- All transactions exempted cannot be less than transactions with pension funds counterparties (v23081_m)Warning
- All transactions exempted cannot be less than transactions with sovereign counterparties (v23082_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.