The rule in plain words
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures must equal specific credit risk adjustments and positions treated similarly minus total expected losses 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 specific credit risk adjustments to expected losses for defaulted exposures = Specific credit risk adjustments and positions treated similarly - Total expected losses 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
- 0145IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures
- 0150Specific credit risk adjustments and positions treated similarly
- 0155Total expected losses eligible
Column
- 0010Amount
A worked example
The first of its checks, with simple numbers.
IRB excess (+) or shortfall (-) of specific credit risk adjustments to expected losses for defaulted exposures 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,r0145,c0010,} = {C_04.00,r0150,c0010,} - {C_04.00,r0155,c0010,}Other rules on C 04.00
- Synthetic holdings of T2 capital of financial sector entities where the institution has a significant investment must equal the sum of its two parts (v0250_m)Warning
- Indirect holdings of T2 capital of financial sector entities where the institution has a significant investment must equal the sum of its two parts (v0249_m)Warning
- Direct holdings of T2 capital of financial sector entities where the institution has a significant investment must equal the sum of its two parts (v0248_m)Warning
- Holdings of T2 capital of financial sector entities where the institution has a significant investment, net of short positions must equal the sum of its three parts (v0247_m)Warning
- Synthetic holdings of AT1 capital of financial sector entities where the institution has a significant investment must equal the sum of its two parts (v0246_m)Warning
- Indirect holdings of AT1 capital of financial sector entities where the institution has a significant investment must equal the sum of its two parts (v0245_m)Warning
- Direct holdings of AT1 capital of financial sector entities where the institution has a significant investment must equal the sum of its two parts (v0244_m)Warning
- Holdings of AT1 capital of financial sector entities where the institution has a significant investment, net of short positions must equal the sum of its three parts (v0243_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.