The rule in plain words
Transactions in scope of the own funds requirement for CVA risk cannot be negative.
EBA checks it for two columns: incurred CVA and mCVA. That makes two 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.
mCVA: Transactions in scope of the own funds requirement for CVA risk >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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)
Row
- 0010Transactions in scope of the own funds requirement for CVA risk
Columns
- 0040Incurred CVA
- 0260mCVA
A worked example
The first of its checks, with simple numbers.
Transactions in scope of the own funds requirement for CVA risk, mCVA must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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,r0010,c0260,} >= 0The next one:
{C_25.01.a,r0010,c0040,} >= 0Other rules on C 25.01.a
- SA-CVA approach: notional of CVA hedges cannot be negative (v23236_s)Warning
- Full BA-CVA approach: notional of CVA hedges cannot be negative (v23347_s)Warning
- Number of counterparties cannot be negative (v23348_s)Warning
- All transactions exempted cannot be less than transactions with sovereign counterparties (v23073_m)Warning
- All transactions exempted cannot be less than transactions with pension funds counterparties (v23072_m)Warning
- All transactions exempted cannot be less than intragroup transactions (v23071_m)Warning
- All transactions exempted cannot be less than transactions with non-financial counterparties (v23070_m)Warning
- All transactions exempted cannot be less than clients transactions (v23069_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.