The rule in plain words
Own funds requirements cannot be negative.
EBA checks it for eleven rows, from transactions in scope of the own funds requirement for CVA risk (0010) to total non-centrally cleared SFTs that are fair-valued for accounting purposes, excluding exempted transactions (0130). That makes eleven 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.
Own funds requirements: Transactions with non-financial counterparties >= 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 25.01 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
Credit valuation adjustment risk (CVA) (C 25.01.b)
Rows
- 0010Transactions in scope of the own funds requirement for CVA risk
- 0030of which: Otherwise exempted transactions that institutions choose to reintegrate in the calculation of own funds requirements
- 0040All transactions exempted
- 0050Client’s transactions
- 0060Transactions with non-financial counterparties
- 0070Transactions with EU non-financial counterparties only
- 0080Transactions with third country non-financial counterparties only
- 0090Intragroup transactions
- 0100Transactions with pension funds counterparties
- 0110Transactions with sovereign counterparties
- 0130Total non-centrally cleared SFTs that are fair-valued for accounting purposes, excluding exempted transactions
Column
- 0050Own funds requirements
A worked example
The first of its checks, with simple numbers.
Transactions with non-financial counterparties, own funds requirements 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_25.01.b,r0060,c0050,} >= 0The next five:
{C_25.01.b,r0030,c0050,} >= 0{C_25.01.b,r0130,c0050,} >= 0{C_25.01.b,r0070,c0050,} >= 0{C_25.01.b,r0110,c0050,} >= 0{C_25.01.b,r0090,c0050,} >= 0And 5 more, the same formula for the other cells it covers.
Other rules on C 25.01.b
- All transactions exempted must equal the sum of its five parts (v23084_m)Warning
- All transactions exempted cannot be less than transactions with sovereign counterparties (v23082_m)Warning
- All transactions exempted cannot be less than transactions with pension funds counterparties (v23081_m)Warning
- All transactions exempted cannot be less than intragroup transactions (v23080_m)Warning
- All transactions exempted cannot be less than transactions with non-financial counterparties (v23079_m)Warning
- All transactions exempted cannot be less than clients transactions (v23078_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with third country non-financial counterparties only (v23077_m)Warning
- Transactions with non-financial counterparties cannot be less than transactions with EU non-financial counterparties only (v23076_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.