The rule in plain words
Exposure after CRM substitution effects pre conversion factors must equal these three added up:
- Original exposure conversion factors
- (-) total outflows
- Total inflows (+)
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Exposure after CRM substitution effects pre conversion factors = Original exposure conversion factors + (-) Total outflows + Total inflows (+)
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong column, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 08.02 as reported.
- 06This 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
Columns
- 0020Original exposure conversion factors
- 0070(-) Total outflows
- 0080Total inflows (+)
- 0090Exposure after CRM substitution effects pre conversion factors
A worked example
The first of its checks, with simple numbers.
Exposure after CRM substitution effects pre conversion factors must then be 2,450.
A file that reports 2,450 passes. One that reports 2,550 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_08.02,,c0090,} = {C_08.02,,c0020,} + {C_08.02,,c0070,} + {C_08.02,,c0080,}Other rules on C 08.02
- Large financial sector entities and unregulated financial entities cannot be more than risk weighted exposure amount after supporting factor (v0346_m)Warning
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v0348_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than exposure value (v0345_m)Warning
- Exposure value arising from counterparty credit risk cannot be more than exposure value (v0344_m)Warning
- Off balance sheet items cannot be more than exposure after CRM substitution effects pre conversion factors (v0343_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than original exposure conversion factors (v0342_m)Warning
- Total outflows must equal the sum of its three parts (v1665_m)Warning
- The absolute value of guarantees plus the absolute value of credit derivatives cannot be more than original exposure conversion factors (v4771_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.