The rule in plain words
All transactions exempted must equal these five added up:
- Client’s transactions
- Transactions with non-financial counterparties
- Intragroup transactions
- Transactions with pension funds counterparties
- Transactions with sovereign counterparties
All the values are in the own funds requirements column (0050) of C 25.01.b.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Own funds requirements: All transactions exempted = Client’s transactions + Transactions with non-financial counterparties + Intragroup transactions + Transactions with pension funds counterparties + Transactions with sovereign counterparties
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 25.01 as reported.
- 06This 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
- 0040All transactions exempted
- 0050Client’s transactions
- 0060Transactions with non-financial counterparties
- 0090Intragroup transactions
- 0100Transactions with pension funds counterparties
- 0110Transactions with sovereign counterparties
Column
- 0050Own funds requirements
A worked example
The first of its checks, with simple numbers.
All transactions exempted must then be 2,900.
A file that reports 2,900 passes. One that reports 3,000 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,r0040,c0050,} = {C_25.01.b,r0050,c0050,} + {C_25.01.b,r0060,c0050,} + {C_25.01.b,r0090,c0050,} + {C_25.01.b,r0100,c0050,} + {C_25.01.b,r0110,c0050,}Other rules on C 25.01.b
- All transactions exempted cannot be less than transactions with sovereign counterparties (v23082_m)Warning
- All transactions exempted cannot be less than transactions with pension funds counterparties (v23081_m)Warning
- All transactions exempted cannot be less than intragroup transactions (v23080_m)Warning
- All transactions exempted cannot be less than transactions with non-financial counterparties (v23079_m)Warning
- All transactions exempted cannot be less than clients transactions (v23078_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with third country non-financial counterparties only (v23077_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with EU non-financial counterparties only (v23076_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 (v23075_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.