The rule in plain words
None of the values it checks in NPE loss coverage can be negative.
EBA checks it for eight columns: >3 years <=4 years, >4 years <=5 years, >5 years <=6 years, >6 years <=7 years, >7 years <=8 years, >8 years <=9 years, >9 years and total. And for 15 rows, from applicable amount of insufficient coverage (0010) to amounts written-off by the institution since the exposure was classified as non-performing (0150). That makes 120 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.
>4 years <=5 years: Total minimum coverage requirement >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 35.01 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
NPE loss coverage: calculation of deductions for non-performing exposures (NPE lc1) (C 35.01)
Rows
- 0010Applicable amount of insufficient coverage
- 0020Total minimum coverage requirement
- 0030Unsecured part of NPEs
- 0040Secured part of NPEs
- 0050Exposure value
- 0060Unsecured part of NPEs
- 0070Secured part of NPEs
- 0080Total provisions and adjustments or deductions (capped)
- 0090Total provisions and adjustments or deductions (uncapped)
- 0100Specific credit risk adjustments
- 0110Additional valuation adjustments
- 0120Other own funds reductions
- 0130IRB shortfall
- 0140Difference between the purchase price and the amount owed by the debtor
- 0150Amounts written-off by the institution since the exposure was classified as non-performing
Columns
- 0040>3 years <=4 years
- 0050>4 years <=5 years
- 0060>5 years <=6 years
- 0070>6 years <=7 years
- 0080>7 years <=8 years
- 0090>8 years <=9 years
- 0100>9 years
- 0110Total
A worked example
The first of its checks, with simple numbers.
Total minimum coverage requirement, >4 years <=5 years must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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_35.01,r0020,c0050,} >= 0The next five:
{C_35.01,r0140,c0050,} >= 0{C_35.01,r0090,c0050,} >= 0{C_35.01,r0090,c0070,} >= 0{C_35.01,r0110,c0040,} >= 0{C_35.01,r0040,c0110,} >= 0And 114 more, the same formula for the other cells it covers.
Other rules on C 35.01
- >2 years <=3 years cannot be negative (v10574_s)Warning
- None of the 20 values it checks in NPE loss coverage can be negative (v10573_s)Warning
- Secured part of NPEs must equal the sum of its three parts (row 0070, v09713_m)Warning
- Secured part of NPEs must equal the sum of its three parts (row 0070, v09712_m)Warning
- Time passed since exposures classified as non-performing: secured part of NPEs must equal the sum of its six parts (v09711_m)Warning
- Total: secured part of NPEs must equal the sum of its six parts (row 0070, v09710_m)Warning
- Total: secured part of NPEs must equal the sum of its six parts (row 0070, v09709_m)Warning
- Total: secured part of NPEs must equal the sum of its six parts (row 0070, v09708_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.