The rule in plain words
Memorandum item: expected loss amount must equal 0.024 times exposure value.
All the values are in the 370% row (0090) of C 10.01.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
370%, Memorandum item: Expected loss amount = 0.024 × 370%, Exposure value
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 10.01 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 risk: equity - IRB approaches to capital requirements - TOTAL (C 10.01)
Row
- 0090370%
Columns
- 0060Exposure value
- 0090Memorandum item: Expected loss amount
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_10.01,r0090,c0090,} = {C_10.01,r0090,c0060,} * 0.024Other rules on C 10.01
- Risk weighted exposure amount must equal 3.7 times exposure value (v0488_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 2.9 times exposure value (v0486_m)Warning
- A calculation check across credit risk: equity (C 10.02, v0492_m)Warning
- Memorandum item: expected loss amount must equal 0.008 times exposure value (row 0070, v0485_m)Warning
- Risk weighted exposure amount must equal 1.9 times exposure value (v0484_m)Warning
- Simple risk weight approach: total must equal 190% plus 290% plus 370% (v0483_m)Warning
- PD/LGD approach: total, exposure weighted average LGD must be at least 0.65 (v0481_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.