The rule in plain words
Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries must equal these four added up:
- Standardised approach (SA)
- Internal ratings based approach(IRB)
- Risk exposure amount for contributions to the default fund of a CCP
- Securitisation positions
All the values are in the TREA column (0010) of C 02.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TREA: RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES = Standardised Approach (SA) + Internal ratings based Approach(IRB) + Risk exposure amount for contributions to the default fund of a CCP + Securitisation positions
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 02.00 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Rows
- 0040RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
- 0050Standardised Approach (SA)
- 0240Internal ratings based Approach(IRB)
- 0460Risk exposure amount for contributions to the default fund of a CCP
- 0470Securitisation positions
Column
- 0010TREA
A worked example
The first of its checks, with simple numbers.
Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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. Cells are written as {template, row, column, sheet}.
{C_02.00.a,r0040,c0010,} = {C_02.00.a,r0050,c0010,} + {C_02.00.a,r0240,c0010,} + {C_02.00.a,r0460,c0010,} + {C_02.00.a,r0470,c0010,}Other rules on C 02.00.a
- SA exposure classes excluding securitisation positions must equal the sum of its 17 parts (v0207_m)Warning
- IRB approaches when neither own estimates of LGD nor conversion factors are used must equal the sum of its seven parts (v0210_m)Warning
- IRB approaches when own estimates of LGD and/or conversion factors are used must equal the sum of its ten parts (v0211_m)Warning
- Risk exposure amount for business subject to market risk calculated by entities exclusively applying the simplified standardised approach (S must equal the sum of its five parts (v0213_m)Warning
- Total risk exposure amount for credit valuation adjustment must equal the sum of its five parts (v0215_m)Warning
- Other risk exposure amounts cannot be less than the sum of five rows (v0216_m)Warning
- Additional stricter prudential requirements cannot be less than the sum of three rows (v0217_m)Warning
- Total unsettled transactions in the non-trading book, total settlement risk exposure amount must equal settlement or delivery risk in the non-trading book, TREA (v0500_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.