Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Derivatives must equal the sum of its three parts (EBA rule v8827_m)

A warning in the leverage ratio return (COREP LR), on template C 40.00.a, alternative treatment of the exposure measure (I).

Check your file against this ruleWhat to do if it fails

The rule in plain words

Derivatives must equal these three added up:

  • Credit derivatives (protection sold)
  • Credit derivatives (protection bought)
  • Financial derivatives

EBA checks it for two columns: accounting balance sheet value, and accounting value assuming no netting or other CRM. That makes two checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Accounting value assuming no netting or other CRM: Derivatives = Credit derivatives (protection sold) + Credit derivatives (protection bought) + Financial derivatives

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Add up the parts in your file and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark C 40.00 as reported.
  6. 06This 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

Alternative treatment of the exposure measure (I) (C 40.00.a)

Rows

  • 0010Derivatives
  • 0020Credit derivatives (protection sold)
  • 0050Credit derivatives (protection bought)
  • 0060Financial derivatives

Columns

  • 0010Accounting balance sheet value
  • 0020Accounting value assuming no netting or other CRM

A worked example

The first of its checks, with simple numbers.

Illustrative values
Credit derivatives (protection sold)1,200
Credit derivatives (protection bought)800
Financial derivatives450
Together2,450
What the rule then expects

Derivatives must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_40.00.a,r0010,c0020,} = {C_40.00.a,r0020,c0020,} + {C_40.00.a,r0050,c0020,} + {C_40.00.a,r0060,c0020,}

The next one:

{C_40.00.a,r0010,c0010,} = {C_40.00.a,r0020,c0010,} + {C_40.00.a,r0050,c0010,} + {C_40.00.a,r0060,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.