Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

A lower-limit check on CCR exposures by approach (CCR 2) (C 34.02.b, EBA rule v903597_h)

A warning in the own funds and capital requirements return (COREP own funds), on template C 34.02.b, cCR exposures by approach (CCR 2).

Check your file against this ruleWhat to do if it fails

The rule in plain words

The absolute value of risk weighted exposure amounts 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.

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, financial collateral simple method (for SFTS), financial collateral comprehensive method (for SFTS), VAR for SFTS, and total. 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.

The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.

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.

the absolute value of VAR for SFTS, Risk weighted exposure amounts, All CCR exposures >= the absolute value of VAR for SFTS, Positions treated with the CR standardised approach, All CCR exposures + the absolute value of VAR for SFTS, Positions treated with the CR IRB approach, All CCR exposures

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark C 34.02 as reported.
  5. 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
  • 0080Financial collateral simple method (for SFTS)
  • 0090Financial collateral comprehensive method (for SFTS)
  • 0100VAR for SFTS
  • 0110Total

Columns

  • 0200Risk weighted exposure amounts
  • 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)
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}.

abs({C_34.02.b,r0100,c0200,s0001}) >= abs({C_34.02.b,r0100,c0210,s0001}) + abs({C_34.02.b,r0100,c0220,s0001})

The next five:

abs({C_34.02.b,r0060,c0200,s0001}) >= abs({C_34.02.b,r0060,c0210,s0001}) + abs({C_34.02.b,r0060,c0220,s0001})abs({C_34.02.b,r0080,c0200,s0001}) >= abs({C_34.02.b,r0080,c0210,s0001}) + abs({C_34.02.b,r0080,c0220,s0001})abs({C_34.02.b,r0080,c0200,s0002}) >= abs({C_34.02.b,r0080,c0210,s0002}) + abs({C_34.02.b,r0080,c0220,s0002})abs({C_34.02.b,r0040,c0200,s0001}) >= abs({C_34.02.b,r0040,c0210,s0001}) + abs({C_34.02.b,r0040,c0220,s0001})abs({C_34.02.b,r0100,c0200,s0002}) >= abs({C_34.02.b,r0100,c0210,s0002}) + abs({C_34.02.b,r0100,c0220,s0002})

And 10 more, the same formula for the other cells it covers.

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.