The rule in plain words
Exposure value for calculating s-TREA cannot be negative.
EBA checks it for eight rows: IMM (for derivatives and SFTS), securities financing transactions netting sets, derivatives and long settlement transactions netting sets, from contractual cross-product netting sets, total, SWWR positions, margined business, and unmargined business. And on two sheets: all CCR exposures and all CCR exposures excluding exposures to central counterparties (CCPs). That makes 16 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.
EXPOSURE VALUE FOR CALCULATING S-TREA: Of which: SWWR positions, All CCR exposures >= 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 34.02 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
CCR exposures by approach (CCR 2) (C 34.02.b)
Rows
- 0040IMM (for derivatives and SFTS)
- 0050Securities financing transactions netting sets
- 0060Derivatives and long settlement transactions netting sets
- 0070From contractual cross-product netting sets
- 0110Total
- 0120Of which: SWWR positions
- 0130Margined business
- 0140Unmargined business
Column
- 0230EXPOSURE VALUE FOR CALCULATING S-TREA
Sheets
- 0001All CCR exposures
- 0002All CCR exposures excluding exposures to central counterparties (CCPs)
A worked example
The first of its checks, with simple numbers.
SWWR positions, exposure value for calculating s-TREA 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_34.02.b,r0120,c0230,s0001} >= 0The next five:
{C_34.02.b,r0110,c0230,s0002} >= 0{C_34.02.b,r0050,c0230,s0002} >= 0{C_34.02.b,r0060,c0230,s0002} >= 0{C_34.02.b,r0120,c0230,s0002} >= 0{C_34.02.b,r0130,c0230,s0001} >= 0And 10 more, the same formula for the other cells it covers.
Other rules on C 34.02.b
- None of the 88 values it checks in CCR exposures by approach (CCR 2) can be negative (v90237_s)Warning
- Memorandum items: RWEA related to the impact of application of article 465(4) of regulation (EU) no 575/2013 cannot be negative (v90239_s)Warning
- None of the 80 values it checks in CCR exposures by approach (CCR 2) can be negative (v90236_s)Warning
- Total, number of counterparties cannot be negative (v90240_s)Warning
- IMM (for derivatives and SFTS), alpha used for computing regulatory exposure value cannot be negative (v90235_s)Warning
- None of the 16 values it checks in CCR exposures by approach (CCR 2) can be negative (v90234_s)Warning
- Exposure value must equal the sum of its two parts (v90326_m)Warning
- Risk weighted exposure amounts must equal the sum of its two parts (v90327_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.