The rule in plain words
SA exposure classes excluding securitisation positions must equal these 17 added up:
- Central governments or central banks
- Regional governments or local authorities
- Public sector entities
- Multilateral development banks
- International organisations
- Institutions
- Corporates - other
- Corporates - specialised lending
- Retail
- SA exposure classes excluding securitisation positions secured by mortgages on immovable property and ADC exposures
- Exposures in default
- Subordinated debt exposures
- Covered bonds
- Claims on institutions and corporates with a short-term credit assessment
- Collective investments undertakings (CIU)
- Equity
- Other items
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: SA exposure classes excluding securitisation positions = Central governments or central banks + Regional governments or local authorities + Public sector entities + Multilateral Development Banks + International Organisations + Institutions + Corporates - Other + Corporates - Specialised Lending + Retail + Secured by mortgages on immovable property and ADC exposures + Exposures in default + Subordinated debt exposures + Covered bonds + Claims on institutions and corporates with a short-term credit assessment + Collective investments undertakings (CIU) + Equity + Other items
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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
- 0060SA exposure classes excluding securitisation positions
- 0070Central governments or central banks
- 0080Regional governments or local authorities
- 0090Public sector entities
- 0100Multilateral Development Banks
- 0110International Organisations
- 0120Institutions
- 0125Corporates - Other
- 0131Corporates - Specialised Lending
- 0140Retail
- 0150Secured by mortgages on immovable property and ADC exposures
- 0160Exposures in default
- 0171Subordinated debt exposures
- 0180Covered bonds
- 0190Claims on institutions and corporates with a short-term credit assessment
- 0200Collective investments undertakings (CIU)
- 0210Equity
- 0211Other items
Column
- 0010TREA
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_02.00.a,r0060,c0010,} = {C_02.00.a,r0070,c0010,} + {C_02.00.a,r0080,c0010,} + {C_02.00.a,r0090,c0010,} + {C_02.00.a,r0100,c0010,} + {C_02.00.a,r0110,c0010,} + {C_02.00.a,r0120,c0010,} + {C_02.00.a,r0125,c0010,} + {C_02.00.a,r0131,c0010,} + {C_02.00.a,r0140,c0010,} + {C_02.00.a,r0150,c0010,} + {C_02.00.a,r0160,c0010,} + {C_02.00.a,r0171,c0010,} + {C_02.00.a,r0180,c0010,} + {C_02.00.a,r0190,c0010,} + {C_02.00.a,r0200,c0010,} + {C_02.00.a,r0210,c0010,} + {C_02.00.a,r0211,c0010,}Other rules on C 02.00.a
- Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries must equal the sum of its four parts (v0205_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.