The rule in plain words
Off balance sheet items cannot be more than exposure value.
EBA checks it for twelve rows, from total exposures (0010) to acquisition, development and construction (ADC) (0910). That makes twelve 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.
C_08.01.B: Exposures assigned to obligor grades or pools: Total, Of which: off balance sheet items <= C_08.01.A: Exposures assigned to obligor grades or pools: Total, Exposure value
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 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 08.01 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: IRB approach to capital requirements - TOTAL (C 08.01.a)
Rows
- 0010Total exposures
- 0015Of which: exposures subject to SME-supporting factor
- 0016Of which: exposures subject to infrastructure projects supporting factor
- 0017of which: Secured by mortgages on residential immovable property - non-IPRE
- 0018of which: Secured by mortgages on residential immovable property – IPRE
- 0019of which: Secured by mortgages on commercial immovable property - non-IPRE
- 0070Exposures assigned to obligor grades or pools: Total
- 0080Specialized lending slotting criteria: Total
- 0160Alternative treatment: secured by real estate
- 0170Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights
- 0900of which: Secured by mortgages on commercial immovable property – IPRE
- 0910of which: Acquisition, development and construction (ADC)
Column
- 0110Exposure value
Rows
- 0010Total exposures
- 0015Of which: exposures subject to SME-supporting factor
- 0016Of which: exposures subject to infrastructure projects supporting factor
- 0017of which: Secured by mortgages on residential immovable property - non-IPRE
- 0018of which: Secured by mortgages on residential immovable property – IPRE
- 0019of which: Secured by mortgages on commercial immovable property - non-IPRE
- 0070Exposures assigned to obligor grades or pools: Total
- 0080Specialized lending slotting criteria: total
- 0160Alternative treatment: secured by real estate
- 0170Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights
- 0900of which: Secured by mortgages on commercial immovable property – IPRE
- 0910of which: Acquisition, development and construction (ADC)
Column
- 0120Of which: off balance sheet items
A worked example
The first of its checks, with simple numbers.
Exposures assigned to obligor grades or pools: total, exposure value must then be at least 1,200.
A file that reports 1,200 passes. One that reports 1,100 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_08.01.b,r0070,c0120,} <= {C_08.01.a,r0070,c0110,}The next five:
{C_08.01.b,r0010,c0120,} <= {C_08.01.a,r0010,c0110,}{C_08.01.b,r0910,c0120,} <= {C_08.01.a,r0910,c0110,}{C_08.01.b,r0160,c0120,} <= {C_08.01.a,r0160,c0110,}{C_08.01.b,r0170,c0120,} <= {C_08.01.a,r0170,c0110,}{C_08.01.b,r0015,c0120,} <= {C_08.01.a,r0015,c0110,}And 6 more, the same formula for the other cells it covers.
Other rules on C 08.01.a
- Large financial sector entities and unregulated financial entities cannot be more than original exposure pre conversion factors (v0332_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than exposure value (v0335_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than risk weighted exposure amount after supporting factor (v0336_m)Warning
- Funded credit protection: total exposures must equal the sum of its five parts (v0337_m)Warning
- Total exposures must equal the sum of its five parts (v0338_m)Warning
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v0341_m)Warning
- Original exposure pre conversion factors: central governments or central banks cannot be more than total exposures (v0415_m)Not run yet
- Exposure value: central governments or central banks cannot be more than total exposures (v0416_m)Not run yet
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.