The rule in plain words
None of the values it checks in CCR exposures by approach (CCR 2) can be negative.
EBA checks it for 13 columns, from number of transactions (0020) to positions treated with the CR IRB approach (0220). And for three rows, all for (for derivatives): original exposure method, simplified SA-CCR and SA-CCR. And on two sheets: all CCR exposures and all CCR exposures excluding exposures to central counterparties (CCPs). That makes 78 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.
Notional amounts: Simplified SA-CCR (for derivatives), All CCR exposures excluding exposures to central counterparties (CCPs) >= 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.a)
Rows
- 0010Original exposure method (for derivatives)
- 0020Simplified SA-CCR (for derivatives)
- 0030SA-CCR (for derivatives)
Columns
- 0020Number of transactions
- 0030Notional amounts
- 0040Current market value (CMV), positive
- 0050Current market value (CMV), negative
- 0100Replacement cost (RC)
- 0110Potential future exposure (PFE)
- 0150Exposure value pre-CRM
- 0160Exposure value post-CRM
- 0170Exposure value
- 0180Positions treated with the CR standardised approach
- 0190Positions treated with the CR IRB approach
- 0210Positions treated with the CR standardised approach
- 0220Positions treated with the CR IRB approach
Sheets
- 0001All CCR exposures
- 0002All CCR exposures excluding exposures to central counterparties (CCPs)
A worked example
The first of its checks, with simple numbers.
Simplified SA-CCR (for derivatives), notional amounts 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.a,r0020,c0030,s0002} >= 0The next five:
{C_34.02.a,r0030,c0030,s0002} >= 0{C_34.02.a,r0020,c0030,s0001} >= 0{C_34.02.a,r0030,c0210,s0002} >= 0{C_34.02.a,r0020,c0220,s0002} >= 0{C_34.02.a,r0010,c0030,s0001} >= 0And 72 more, the same formula for the other cells it covers.
Other rules on C 34.02.a
- None of the 16 values it checks in CCR exposures by approach (CCR 2) can be negative (v10319_s)Warning
- Total must equal the sum of its seven parts (C 34.02.b, v09808_m)Warning
- Risk weighted exposure amounts must equal the sum of its two parts (v09807_m)Warning
- Exposure value must equal the sum of its two parts (v09806_m)Warning
- The absolute value of exposure value cannot be less than the absolute value of positions treated with the CR standardised approach plus the absolute value of positions treated with the CR IRB approach (v903598_h)Warning
- A lower-limit check on CCR exposures by approach (CCR 2) (v903599_h)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.