The rule in plain words
Large financial sector entities and unregulated financial entities cannot be more than exposure value.
EBA checks it for two rows: total exposures, and exposures assigned to obligor grades or pools: total. That makes two 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.
Exposures assigned to obligor grades or pools: Total, Of which: large financial sector entities and unregulated financial entities <= Exposures assigned to obligor grades or pools: Total, Exposure value
What to do if your filing fails it
- 01Open the template 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
- 0070Exposures assigned to obligor grades or pools: Total
Columns
- 0110Exposure value
- 0140Of which: large financial sector entities and unregulated financial entities
A worked example
The first of its checks, with simple numbers.
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.a,r0070,c0140,} <= {C_08.01.a,r0070,c0110,}The next one:
{C_08.01.a,r0010,c0140,} <= {C_08.01.a,r0010,c0110,}Other rules on C 08.01.a
- 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
- Large financial sector entities and unregulated financial entities cannot be more than original exposure pre conversion factors (v0332_m)Warning
- Total exposures must equal the sum of its five parts (v0338_m)Warning
- Off balance sheet items cannot be more than exposure value (v0330_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.