The rule in plain words
Derivatives only, delta risks cannot be negative.
EBA writes it out 228 times. These words are for the first; the others are the same rule on other cells.
The template it checks
Credit valuation adjustment risk (CVA) (C 25.01.a)
Row
- 0020of which: derivatives only
Column
- 0180Delta risks
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,r0020,c0180,} >= 0And 227 more, the same formula for the other cells it covers.
Other rules on C 25.01.a
- Full BA-CVA approach: notional of CVA hedges cannot be negative (v23347_s)Warning
- Number of counterparties cannot be negative (v23348_s)Warning
- SA-CVA approach: notional of CVA hedges cannot be negative (v23236_s)Warning
- Transactions in scope of the own funds requirement for CVA risk cannot be negative (v23232_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
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.