The rule in plain words
Pre-credit derivatives risk weighted exposure amount cannot be negative.
EBA checks it for four rows: total exposures, securities financing transactions netting sets, derivatives & long settlement transactions netting sets and from contractual cross product netting sets. That makes four 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.
Pre-credit derivatives risk weighted exposure amount: From Contractual Cross Product netting sets >= 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 08.01 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 and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL (C 08.01.a)
Rows
- 0010Total exposures
- 0040Securities Financing Transactions netting sets
- 0050Derivatives & Long Settlement Transactions netting sets
- 0060From Contractual Cross Product netting sets
Column
- 0310Pre-credit derivatives risk weighted exposure amount
A worked example
The first of its checks, with simple numbers.
From contractual cross product netting sets, pre-credit derivatives risk weighted exposure amount 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_08.01.a,r0060,c0310,} >= 0The next three:
{C_08.01.a,r0010,c0310,} >= 0{C_08.01.a,r0050,c0310,} >= 0{C_08.01.a,r0040,c0310,} >= 0Other rules on C 08.01.a
- None of the 48 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23323_s)Warning
- Total exposures cannot be less than exposures subject to SME-supporting factor (v23329_m)Warning
- Total exposures cannot be more than exposures subject to SME-supporting factor (v23330_m)Warning
- Expected loss amount cannot be negative (v23263_s)Warning
- None of the 234 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23261_s)Warning
- None of the 63 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23260_s)Warning
- Total inflows (+) cannot be negative (v23259_s)Warning
- None of the 36 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23257_s)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.