The rule in plain words
The absolute value of (-) exempted CCP leg of client-cleared SFT exposures cannot be more than these four added up:
- SFTs: Add-on for counterparty credit risk
- SFTs: exposure value
- Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 of the CRR
- Counterparty credit risk of SFT agent transactions
All the values are in the amount / ratio column (0010) of C 47.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
the absolute value of (-) Exempted CCP leg of client-cleared SFT exposures <= SFTs: Add-on for counterparty credit risk + SFTs: Exposure value + Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR + Counterparty credit risk of SFT agent transactions
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 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.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 47.00 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
Leverage ratio calculation (C 47.00)
Rows
- 0010SFTs: Exposure value
- 0020SFTs: Add-on for counterparty credit risk
- 0030Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR
- 0040Counterparty credit risk of SFT agent transactions
- 0050(-) Exempted CCP leg of client-cleared SFT exposures
Column
- 0010Amount / Ratio
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
abs({C_47.00,r0050,c0010,}) <= sum({C_47.00,r0020,c0010,},{C_47.00,r0010,c0010,},{C_47.00,r0030,c0010,},{C_47.00,r0040,c0010,})Other rules on C 47.00
- Derogation for derivatives: original exposure method cannot be less than the absolute value of exempted CCP leg of client-cleared trade exposures (original exposure method) (v4466_m)Warning
- Capped notional amount of written credit derivatives cannot be less than the absolute value of eligible purchased credit derivatives offset against written credit derivatives (v4467_m)Warning
- A calculation check on leverage ratio calculation (row 0300, v4460_m)Warning
- A calculation check on leverage ratio calculation (row 0290, v4459_m)Warning
- Total leverage ratio exposure measure, using a transitional definition of Tier 1 capital must equal the sum of its 66 parts (v4458_m)Warning
- Total leverage ratio exposure measure, using a fully phased-in definition of Tier 1 capital must equal the sum of its 66 parts (v4457_m)Warning
- A lower-limit check on leverage ratio calculation (row 0091, v10087_m)Warning
- A lower-limit check on leverage ratio calculation (row 0091, v10088_m)Warning
Every COREP LR rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.