The rule in plain words
For exposure value: the cell must equal unmargined plus margined.
EBA checks it for six rows: total (0010), SWWR positions, total (0110), total (0180), total (0220) and contractual cross-product netting sets. That makes six 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.
Total, Exposure value = Total, Unmargined, exposure value + Total, Margined, exposure value
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 34.05 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
CCR exposures treated with the internal model method (IMM) (CCR 5) (C 34.05)
Rows
- 0010Total
- 0020Of which: SWWR positions
- 0110Total
- 0180Total
- 0220Total
- 0230Contractual cross-product netting sets
Columns
- 0080Exposure value
- 0160Exposure value
- 0170Exposure value
A worked example
The first of its checks, with simple numbers.
Exposure value, 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_34.05,r0110,c0170,} = {C_34.05,r0110,c0160,} + {C_34.05,r0110,c0080,}The next five:
{C_34.05,r0220,c0170,} = {C_34.05,r0220,c0160,} + {C_34.05,r0220,c0080,}{C_34.05,r0230,c0170,} = {C_34.05,r0230,c0160,} + {C_34.05,r0230,c0080,}{C_34.05,r0180,c0170,} = {C_34.05,r0180,c0160,} + {C_34.05,r0180,c0080,}{C_34.05,r0020,c0170,} = {C_34.05,r0020,c0160,} + {C_34.05,r0020,c0080,}{C_34.05,r0010,c0170,} = {C_34.05,r0010,c0160,} + {C_34.05,r0010,c0080,}Other rules on C 34.05
- Exchange traded derivatives: total must equal the sum of its six parts (v903608_h)Warning
- OTC derivatives: total must equal the sum of its six parts (v903609_h)Warning
- The absolute value of total cannot be less than the absolute value of SWWR positions (v90086_h)Warning
- None of the 168 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10490_s)Warning
- None of the 16 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10317_s)Warning
- None of the 42 values it checks in CCR exposures treated with the internal model method (IMM) (CCR 5) can be negative (v10316_s)Warning
- Total must equal bond underlying plus equity underlying plus other underlying (v09835_m)Warning
- Total (under ) must equal the sum of its four parts (v09832_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.