The rule in plain words
None of the values it checks in credit valuation adjustment risk (CVA) can be negative.
EBA checks it for two columns: own funds requirements and BACVA csr-unhedged. And for 14 rows, from transactions in scope of the own funds requirement for CVA risk (0010) to aggregation of idosyncratic components of CVA risk (0240). That makes 28 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.
Own funds requirements: Transactions with non-financial counterparties >= 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)
Rows
- 0010Transactions in scope of the own funds requirement for CVA risk
- 0020of which: derivatives only
- 0030of which: Otherwise exempted transactions that institutions choose to reintegrate in the calculation of own funds requirements
- 0040All transactions exempted
- 0050Client’s transactions
- 0060Transactions with non-financial counterparties
- 0070Transactions with EU non-financial counterparties only
- 0080Transactions with third country non-financial counterparties only
- 0090Intragroup transactions
- 0100Transactions with pension funds counterparties
- 0110Transactions with sovereign counterparties
- 0130Total non-centrally cleared SFTs that are fair-valued for accounting purposes, excluding exempted transactions
- 0230Aggregation of systematic components of CVA risk
- 0240Aggregation of idosyncratic components of CVA risk
Columns
- 0070Own funds requirements
- 0090BACVA csr-unhedged
A worked example
The first of its checks, with simple numbers.
Transactions with non-financial counterparties, own funds requirements 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,r0060,c0070,} >= 0The next five:
{C_25.01.a,r0230,c0090,} >= 0{C_25.01.a,r0240,c0070,} >= 0{C_25.01.a,r0050,c0070,} >= 0{C_25.01.a,r0230,c0070,} >= 0{C_25.01.a,r0070,c0070,} >= 0And 22 more, the same formula for the other cells it covers.
Other rules on C 25.01.a
- Derivatives only, notional amount cannot be negative (v23709_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.