The rule in plain words
Arising from counterparty credit risk excluding exposures cleared through a CCP cannot be negative.
EBA checks it for 25 rows, from securities financing transactions netting sets (0090) to other risk weights (0280). That makes 25 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.
Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP: 130% >= 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 07.00 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
Rows
- 0090Securities Financing Transactions netting sets
- 0110Derivatives & Long Settlement Transactions netting sets
- 0130From Contractual Cross Product netting sets
- 01400%
- 01502%
- 017010%
- 018020%
- 018530%
- 019035%
- 019540%
- 020050%
- 021070%
- 022075%
- 022580%
- 022690%
- 0230100%
- 0231105%
- 0232110%
- 0235130%
- 0240150%
- 0250250%
- 0260370%
- 0265400%
- 02701250%
- 0280Other risk weights
Column
- 0211Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP
A worked example
The first of its checks, with simple numbers.
130%, arising from counterparty credit risk excluding exposures cleared through a CCP 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_07.00.b,r0235,c0211,} >= 0The next five:
{C_07.00.b,r0210,c0211,} >= 0{C_07.00.b,r0090,c0211,} >= 0{C_07.00.b,r0265,c0211,} >= 0{C_07.00.b,r0150,c0211,} >= 0{C_07.00.b,r0220,c0211,} >= 0And 19 more, the same formula for the other cells it covers.
Other rules on C 07.00.b
- Exposure value arising from counterparty credit risk cannot be negative (v23770_s)Warning
- The absolute value of total exposures cannot be less than the absolute value of SME (v23542_h)Warning
- A lower-limit check on credit and counterparty credit risks and free deliveries (v23369_h)Warning
- Total exposures cannot be less than defaulted exposures in exposure classes 'CIUs' and equity exposures (v23015_m)Warning
- Total exposures cannot be less than exposures to central banks (v23014_m)Warning
- Total exposures cannot be less than equity exposures under the IRB approach (v23013_m)Warning
- Total exposures cannot be less than IPRE exposures where the derogation set out in Article 126(2) of Regulation (EU) No 575/2013, subparagraph 3 is applied (v23012_m)Warning
- Total exposures cannot be less than IPRE exposures where the derogation set out in Article 125(2) of Regulation (EU) No 575/2013, subparagraph 3 is applied (v23011_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.