The rule in plain words
Derivatives only, notional amount cannot be negative.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Notional amount: of which: derivatives only >= 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
- 0020of which: derivatives only
Column
- 0030Notional amount
A worked example
The first of its checks, with simple numbers.
What the rule then expects
Derivatives only, notional amount must then be at least 0.
0Passes
-100Fails
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. Cells are written as {template, row, column, sheet}.
{C_25.01.a,r0020,c0030,} >= 0Other rules on C 25.01.a
- None of the 28 values it checks in credit valuation adjustment risk (CVA) can be negative (v23710_s)Warning
- Number of counterparties cannot be negative (v23348_s)Warning
- Full BA-CVA approach: notional of CVA hedges cannot be negative (v23347_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
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.