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1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

OTC derivatives: total must equal the sum of its six parts (C 34.05, EBA rule v903609_h)

A warning in the own funds and capital requirements return (COREP own funds), on template C 34.05, cCR exposures treated with the internal model method (IMM) (CCR 5).

Check your file against this ruleWhat to do if it fails

The rule in plain words

For OTC derivatives: total must equal these six added up:

  • Credit
  • Equity
  • Foreign exchange
  • Interest rate
  • Commodity
  • Other

EBA checks it for eight columns: number of transactions (0010), notional amounts (0020), current market value (CMV), positive (0030), current market value (CMV), negative (0040), number of transactions (0090), notional amounts (0100), current market value (CMV), positive (0110) and current market value (CMV), negative (0120). That makes eight checks. A failure names the one that failed.

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.

Current market value (CMV), negative: Total = Credit + Equity + Foreign exchange + Interest rate + Commodity + Other

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Add up the parts in your file and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark C 34.05 as reported.
  6. 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

  • 0050Interest rate
  • 0060Foreign exchange
  • 0070Credit
  • 0080Equity
  • 0090Commodity
  • 0100Other
  • 0110Total

Columns

  • 0010Number of transactions
  • 0020Notional amounts
  • 0030Current market value (CMV), positive
  • 0040Current market value (CMV), negative
  • 0090Number of transactions
  • 0100Notional amounts
  • 0110Current market value (CMV), positive
  • 0120Current market value (CMV), negative

A worked example

The first of its checks, with simple numbers.

Illustrative values
Credit1,200
Equity800
Foreign exchange450
Interest rate300
Commodity150
Other100
Together3,000
What the rule then expects

Total must then be 3,000.

3,000Passes
3,100Fails

A file that reports 3,000 passes. One that reports 3,100 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_34.05,r0110,c0040,} = {C_34.05,r0070,c0040,} + {C_34.05,r0080,c0040,} + {C_34.05,r0060,c0040,} + {C_34.05,r0050,c0040,} + {C_34.05,r0090,c0040,} + {C_34.05,r0100,c0040,}

The next five:

{C_34.05,r0110,c0100,} = {C_34.05,r0070,c0100,} + {C_34.05,r0080,c0100,} + {C_34.05,r0060,c0100,} + {C_34.05,r0050,c0100,} + {C_34.05,r0090,c0100,} + {C_34.05,r0100,c0100,}{C_34.05,r0110,c0120,} = {C_34.05,r0070,c0120,} + {C_34.05,r0080,c0120,} + {C_34.05,r0060,c0120,} + {C_34.05,r0050,c0120,} + {C_34.05,r0090,c0120,} + {C_34.05,r0100,c0120,}{C_34.05,r0110,c0010,} = {C_34.05,r0070,c0010,} + {C_34.05,r0080,c0010,} + {C_34.05,r0060,c0010,} + {C_34.05,r0050,c0010,} + {C_34.05,r0090,c0010,} + {C_34.05,r0100,c0010,}{C_34.05,r0110,c0020,} = {C_34.05,r0070,c0020,} + {C_34.05,r0080,c0020,} + {C_34.05,r0060,c0020,} + {C_34.05,r0050,c0020,} + {C_34.05,r0090,c0020,} + {C_34.05,r0100,c0020,}{C_34.05,r0110,c0030,} = {C_34.05,r0070,c0030,} + {C_34.05,r0080,c0030,} + {C_34.05,r0060,c0030,} + {C_34.05,r0050,c0030,} + {C_34.05,r0090,c0030,} + {C_34.05,r0100,c0030,}

And 2 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.