The rule in plain words
0% must be zero.
EBA checks it for four columns: risk weighted exposure amount pre supporting factors and pre FX-mismatch, (-) adjustment to risk-weighted exposure amount due to SME supporting factor, (-) adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor, and risk weighted exposure amount after supporting factors and after FX-mismatch. That makes four 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.
(-) Adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor: 0% = 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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)
Row
- 01400%
Columns
- 0215RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
- 0216(-) Adjustment to risk-weighted exposure amount due to SME supporting factor
- 0217(-) Adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor
- 0220RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS AND AFTER FX-MISMATCH
A worked example
The first of its checks, with simple numbers.
0%, (-) adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor must then be 0.
A file that reports 0 passes. One that reports 100 fails, by 100.
The numbers are illustrative.
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,r0140,c0217,} = 0The next three:
{C_07.00.a,r0140,c0215,} = 0{C_07.00.a,r0140,c0220,} = 0{C_07.00.a,r0140,c0216,} = 0Other rules on C 07.00.a
- Derivatives & long settlement transactions netting sets cannot be less than centrally cleared through a QCCP (v0315_m)Warning
- Securities financing transactions netting sets cannot be less than centrally cleared through a QCCP (v0314_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.02 times exposure value (v0318_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.1 times exposure value (v0319_m)Warning
- Total exposures must equal the sum of its 25 parts (v0312_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.2 times exposure value (v0320_m)Blocking
- Total exposures must equal off balance sheet exposures subject to credit risk (v0311_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.35 times exposure value (v0321_m)Blocking
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.