The rule in plain words
Simple risk weight approach: total must equal these three added up:
- 190%
- 290%
- 370%
EBA checks it for four columns: original exposure pre conversion factors, exposure value, risk weighted exposure amount and memorandum item: expected loss amount. 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.
Exposure value: Simple risk weight approach: Total = 190% + 290% + 370%
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 10.01 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
Credit risk: equity - IRB approaches to capital requirements - TOTAL (C 10.01)
Rows
- 0050Simple risk weight approach: Total
- 0070190%
- 0080290%
- 0090370%
Columns
- 0020Original exposure pre conversion factors
- 0060Exposure value
- 0080Risk weighted exposure amount
- 0090Memorandum item: Expected loss amount
A worked example
The first of its checks, with simple numbers.
Simple risk weight approach: total 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_10.01,r0050,c0060,} = {C_10.01,r0070,c0060,} + {C_10.01,r0080,c0060,} + {C_10.01,r0090,c0060,}The next three:
{C_10.01,r0050,c0020,} = {C_10.01,r0070,c0020,} + {C_10.01,r0080,c0020,} + {C_10.01,r0090,c0020,}{C_10.01,r0050,c0090,} = {C_10.01,r0070,c0090,} + {C_10.01,r0080,c0090,} + {C_10.01,r0090,c0090,}{C_10.01,r0050,c0080,} = {C_10.01,r0070,c0080,} + {C_10.01,r0080,c0080,} + {C_10.01,r0090,c0080,}Other rules on C 10.01
- Risk weighted exposure amount must equal 1.9 times exposure value (v0484_m)Warning
- PD/LGD approach: total, exposure weighted average LGD must be at least 0.65 (v0481_m)Warning
- Memorandum item: expected loss amount must equal 0.008 times exposure value (row 0070, v0485_m)Warning
- Substitution of the exposure due to CRM total outflows must equal the sum of its two parts (v0480_m)Warning
- Risk weighted exposure amount must equal 2.9 times exposure value (v0486_m)Warning
- Memorandum item: expected loss amount must equal 0.008 times exposure value (row 0080, v0487_m)Warning
- Risk weighted exposure amount must equal 3.7 times exposure value (v0488_m)Warning
- Memorandum item: expected loss amount must equal 0.024 times exposure value (v0489_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.