The rule in plain words
Derivatives must equal trading and economic hedges plus hedge accounting.
EBA checks it for three columns: accounting value (0010), accounting value (0030) and accounting value (0050). That makes three 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.
Accounting Value: Derivatives = Trading and economic hedges + Hedge accounting
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 16.02 as reported.
- 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
Operational risk - business indicator component (opr BIC) (C 16.02)
Rows
- 0160Derivatives
- 0170Trading and economic hedges
- 0180Hedge accounting
Columns
- 0010Accounting Value
- 0030Accounting Value
- 0050Accounting Value
A worked example
The first of its checks, with simple numbers.
Derivatives must then be 2,000.
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 writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_16.02,r0160,c0050,} = {C_16.02,r0170,c0050,} + {C_16.02,r0180,c0050,}The next two:
{C_16.02,r0160,c0010,} = {C_16.02,r0170,c0010,} + {C_16.02,r0180,c0010,}{C_16.02,r0160,c0030,} = {C_16.02,r0170,c0030,} + {C_16.02,r0180,c0030,}Other rules on C 16.02
- Total assets must equal the sum of its five parts (v90307_m)Warning
- Net profit or loss applicable to trading book must equal the sum of its three parts (v90309_m)Warning
- (interest expenses (including from leased assets (financial&Operating))) must equal the sum of its three parts (v90306_m)Warning
- Net profit or loss applicable to banking book must equal the sum of its five parts (v90310_m)Warning
- Interest income (including from leased assets (financial & operating)) must equal the sum of its three parts (v90305_m)Warning
- A calculation check on operational risk (v90311_m)Warning
- A balancing check on operational risk (row 0200, v90313_m)Warning
- A balancing check on operational risk (row 0110, v903112_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.