The rule in plain words
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses f must equal total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the minus total expected loss eligible.
All the values are in the amount column (0010) of C 04.00.
The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses f = Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the - Total expected loss eligible
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 04.00 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
Capital adequacy - Memorandum items (C 04.00)
Rows
- 0100IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses f
- 0110Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the
- 0140Total expected loss eligible
Column
- 0010Amount
A worked example
The first of its checks, with simple numbers.
IRB excess (+) or shortfall (-) of credit risk adjustments, additional value adjustments and other own funds reductions to expected losses f must then be 400.
A file that reports 400 passes. One that reports 500 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_04.00,r0100,c0010,} = {C_04.00,r0110,c0010,} - {C_04.00,r0140,c0010,}Other rules on C 04.00
- Total deferred tax liabilities must equal the sum of its two parts (v0224_m)Warning
- Total credit risk adjustments, additional value adjustments and other own funds reductions eligible for inclusion in the calculation of the must equal the sum of its three parts (v0226_m)Warning
- Holdings of CET1 capital of financial sector entities where the institution does not have a significant investment, net of short positions must equal the sum of its three parts (v0227_m)Warning
- Direct holdings of CET1 capital of financial sector entities where the institution does not have a significant investment must equal the sum of its two parts (v0228_m)Warning
- Indirect holdings of CET1 capital of financial sector entities where the institution does not have a significant investment must equal the sum of its two parts (v0229_m)Warning
- Synthetic holdings of CET1 capital of financial sector entities where the institution does not have a significant investment must equal the sum of its two parts (v0230_m)Warning
- Holdings of AT1 capital of financial sector entities where the institution does not have a significant investment, net of short positions must equal the sum of its three parts (v0231_m)Warning
- Direct holdings of AT1 capital of financial sector entities where the institution does not have a significant investment must equal the sum of its two parts (v0232_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.