The rule in plain words
Total exposures must equal off balance sheet exposures subject to credit risk.
EBA checks it for seven columns: 0%, 10%, 20%, 40%, 50%, 100% and transitional arrangements for UCCs. That makes seven checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.
10%: TOTAL EXPOSURES = Off balance sheet exposures subject to credit risk
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 07.00 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Rows
- 0010TOTAL EXPOSURES
- 0080Off balance sheet exposures subject to credit risk
Columns
- 01600%
- 016510%
- 017020%
- 017540%
- 018050%
- 0190100%
- 0195Transitional arrangements for UCCs
A worked example
The first of its checks, with simple numbers.
Off balance sheet exposures subject to credit risk must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_07.00.a,r0010,c0165,} = {C_07.00.a,r0080,c0165,}The next five:
{C_07.00.a,r0010,c0180,} = {C_07.00.a,r0080,c0180,}{C_07.00.a,r0010,c0190,} = {C_07.00.a,r0080,c0190,}{C_07.00.a,r0010,c0170,} = {C_07.00.a,r0080,c0170,}{C_07.00.a,r0010,c0175,} = {C_07.00.a,r0080,c0175,}{C_07.00.a,r0010,c0160,} = {C_07.00.a,r0080,c0160,}And 1 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Total exposures must equal the sum of its five parts (v0310_m)Warning
- Total exposures must equal the sum of its 25 parts (v0312_m)Warning
- Securities financing transactions netting sets cannot be less than centrally cleared through a QCCP (v0314_m)Warning
- Fully adjusted exposure value (E*) must equal the sum of its three parts (v0307_m)Warning
- Derivatives & long settlement transactions netting sets cannot be less than centrally cleared through a QCCP (v0315_m)Warning
- Net exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (v0306_m)Warning
- 0% must be zero (v0316_m)Warning
- Total outflows must equal the sum of its four parts (v0305_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.