Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Exposure amounts resulting from the additional treatment for credit derivatives cannot be more than the sum of two rows (EBA rule v4462_m)

A warning in the leverage ratio return (COREP LR), on templates C 43.00.a, breakdown of leverage ratio exposure measure components: off-balance sheet items, derivatives, SFTs and trading book and C 47.00, leverage ratio calculation.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Exposure amounts resulting from the additional treatment for credit derivatives cannot be more than capped notional amount of written credit derivatives plus (-) eligible purchased credit derivatives offset against written credit derivatives.

All the values are in the leverage ratio exposure value column (0010).

How the Line4 Check report words itShow

Word for word as the report shows it when the rule fails.

C_43.00.A: Exposure amounts resulting from the additional treatment for credit derivatives, Leverage Ratio Exposure Value <= C_47.00: Capped notional amount of written credit derivatives + C_47.00: (-) Eligible purchased credit derivatives offset against written credit derivatives

What to do if your filing fails it

  1. 01Open the templates below and find the cells the rule reads.
  2. 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark C 43.00 and C 47.00 as reported.
  5. 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

Breakdown of leverage ratio exposure measure components: off-balance sheet items, derivatives, SFTs and trading book (C 43.00.a)

Row

  • 0065Exposure amounts resulting from the additional treatment for credit derivatives

Column

  • 0010Leverage Ratio Exposure Value

Leverage ratio calculation (C 47.00)

Rows

  • 0130Capped notional amount of written credit derivatives
  • 0140(-) Eligible purchased credit derivatives offset against written credit derivatives

Column

  • 0010Amount / Ratio

A worked example

The first of its checks, with simple numbers.

Illustrative values
Capped notional amount of written credit derivatives1,200
(-) eligible purchased credit derivatives offset against written credit derivatives800
Together2,000
What the rule then expects

Exposure amounts resulting from the additional treatment for credit derivatives can then be at most 2,000.

2,000Passes
2,100Fails

A file that reports 2,000 passes. One that reports 2,100 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula. Cells are written as {template, row, column, sheet}.

{C_43.00.a,r0065,c0010,} <= {C_47.00,r0130,c0010,} + {C_47.00,r0140,c0010,}

Every COREP LR rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.