The rule in plain words
IRB approaches when own estimates of LGD and/or conversion factors are used must equal these ten added up:
- Central governments and central banks
- Regional governments or local authorities
- Public sector entities
- Corporates - specialised lending
- Corporates - Purchased receivables
- Corporates - other
- Retail - secured by residential real estate
- Retail - qualifying revolving
- Retail - Purchased receivables
- Retail - other
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: IRB approaches when own estimates of LGD and/or Conversion Factors are used = Central governments and central banks + Regional governments or local authorities + Public sector entities + Corporates - Specialised Lending + Corporates - Purchased receivables + Corporates - Other + Retail - Secured by residential real estate + Retail - Qualifying revolving + Retail - Purchased receivables + Retail - Other
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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
- 0310IRB approaches when own estimates of LGD and/or Conversion Factors are used
- 0320Central governments and central banks
- 0325Regional governments or local authorities
- 0326Public sector entities
- 0350Corporates - Specialised Lending
- 0355Corporates - Purchased receivables
- 0360Corporates - Other
- 0371Retail - Secured by residential real estate
- 0390Retail - Qualifying revolving
- 0395Retail - Purchased receivables
- 0401Retail - Other
Column
- 0010TREA
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_02.00.a,r0310,c0010,} = {C_02.00.a,r0320,c0010,} + {C_02.00.a,r0325,c0010,} + {C_02.00.a,r0326,c0010,} + {C_02.00.a,r0350,c0010,} + {C_02.00.a,r0355,c0010,} + {C_02.00.a,r0360,c0010,} + {C_02.00.a,r0371,c0010,} + {C_02.00.a,r0390,c0010,} + {C_02.00.a,r0395,c0010,} + {C_02.00.a,r0401,c0010,}Other rules on C 02.00.a
- IRB approaches when neither own estimates of LGD nor conversion factors are used must equal the sum of its seven parts (v0210_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
- SA exposure classes excluding securitisation positions must equal the sum of its 17 parts (v0207_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
- 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
- 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.