The rule in plain words
Total must equal these eight added up:
- To <0.15
- To <0.25
- To <0.50
- To <0.75
- To <2.5
- To <10
- To <100
- 100 (default)
EBA checks it for three columns: exposure value, number of obligors and risk weighted exposure amounts. That makes three 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: Total = 0.00 to <0.15 + 0.15 to <0.25 + 0.25 to <0.50 + 0.50 to <0.75 + 0.75 to <2.5 + 2.5 to <10 + 10 to <100 + 100 (default)
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 34.07 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
IRB approach – CCR exposures by exposure class and PD scale (CCR 7) (C 34.07)
Rows
- 00100.00 to <0.15
- 00400.15 to <0.25
- 00500.25 to <0.50
- 00600.50 to <0.75
- 00700.75 to <2.5
- 01002.5 to <10
- 013010 to <100
- 0170100 (default)
- 0180Total
Columns
- 0010Exposure value
- 0030Number of obligors
- 0060Risk weighted exposure amounts
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_34.07,r0180,c0010,} = {C_34.07,r0010,c0010,} + {C_34.07,r0040,c0010,} + {C_34.07,r0050,c0010,} + {C_34.07,r0060,c0010,} + {C_34.07,r0070,c0010,} + {C_34.07,r0100,c0010,} + {C_34.07,r0130,c0010,} + {C_34.07,r0170,c0010,}The next two:
{C_34.07,r0180,c0060,} = {C_34.07,r0010,c0060,} + {C_34.07,r0040,c0060,} + {C_34.07,r0050,c0060,} + {C_34.07,r0060,c0060,} + {C_34.07,r0070,c0060,} + {C_34.07,r0100,c0060,} + {C_34.07,r0130,c0060,} + {C_34.07,r0170,c0060,}{C_34.07,r0180,c0030,} = {C_34.07,r0010,c0030,} + {C_34.07,r0040,c0030,} + {C_34.07,r0050,c0030,} + {C_34.07,r0060,c0030,} + {C_34.07,r0070,c0030,} + {C_34.07,r0100,c0030,} + {C_34.07,r0130,c0030,} + {C_34.07,r0170,c0030,}Other rules on C 34.07
- To <100 (under ) must equal to <20 plus to <30 plus to <100 (under 10 to <100) (v09839_m)Warning
- Exposure weighted average PD cannot be more than 1 (v09841_m)Warning
- To <10 (under ) must equal to <5 plus to <10 (under 2.5 to <10) (v09838_m)Warning
- Exposure weighted average LGD cannot be more than 1 (v09842_m)Warning
- To <2.5 (under ) must equal to <1.75 plus to <2.5 (under 0.75 to <2.5) (v09837_m)Warning
- Density of risk weighted exposure amounts times exposure value must equal risk weighted exposure amounts (v09843_m)Warning
- To <0.15 (under ) must equal to <0.10 plus to <0.15 (under 0.00 to <0.10) (v09836_m)Warning
- None of the 126 values it checks in IRB approach: CCR exposures can be negative (v23328_s)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.