The rule in plain words
Each of the cells it checks in credit and counterparty credit risks and free deliveries must be left empty.
EBA checks it for twelve columns, from original exposure pre conversion factors (0010) to with a credit assessment by a nominated ECAI (0230). And for three rows: 35%, 75% and 370%. That makes 36 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.
Exposure net of value adjustments and provisions: 75% is empty
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Remove the value from this cell. A 0 is a value too, so leave the cell out of the file altogether.
- 03It runs only when your filing indicators mark C 07.00 as reported.
- 04This 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 and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Rows
- 019035%
- 022075%
- 0260370%
Columns
- 0010Original exposure pre conversion factors
- 0030(-) Value adjustments and provision associated with the original exposure
- 0040Exposure net of value adjustments and provisions
- 0150Fully adjusted exposure value (E*)
- 01600%
- 017020%
- 018050%
- 0190100%
- 0200Exposure value
- 0215RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
- 0220RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS AND AFTER FX-MISMATCH
- 0230Of which: with a credit assessment by a nominated ECAI
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}.
empty({C_07.00.a,r0220,c0040,})The next five:
empty({C_07.00.a,r0220,c0150,})empty({C_07.00.a,r0190,c0190,})empty({C_07.00.a,r0260,c0010,})empty({C_07.00.a,r0260,c0180,})empty({C_07.00.a,r0260,c0040,})And 30 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Each of the 270 cells it checks in credit and counterparty credit risks and free deliveries must be left empty (e4892_n)Warning
- The absolute value of total outflows cannot be more than exposure net of value adjustments and provisions (v4755_m)Warning
- With a credit assessment by a nominated ECAI cannot be more than risk weighted exposure amount after supporting factors and after FX-mismatch (v4753_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 3.7 times exposure value (v4752_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.04 times exposure value (v4751_m)Warning
- Fully adjusted exposure value (E*) cannot be less than the sum of seven columns (v4748_m)Warning
- Defaulted exposures in exposure classes 'CIUs' and equity exposures cannot be more than total exposures (v4728_m)Warning
- Defaulted exposures in exposure classes 'CIUs' and equity exposures must be left empty (v4721_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.