The rule in plain words
Total IRB equity exposures must equal these four added up:
- PD/LGD approach: total
- Simple risk weight approach: total
- Internal models approach
- Equity exposures subject to risk weights
All the values are in the risk weighted exposure amount column (0080) of C 10.01.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Risk weighted exposure amount: Total IRB Equity Exposures = PD/LGD approach: Total + Simple risk weight approach: Total + Internal models approach + Equity exposures subject to risk weights
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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
- 0010Total IRB Equity Exposures
- 0020PD/LGD approach: Total
- 0050Simple risk weight approach: Total
- 0100Internal models approach
- 0110Equity exposures subject to risk weights
Column
- 0080Risk weighted exposure amount
A worked example
The first of its checks, with simple numbers.
Total IRB equity exposures must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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_10.01,r0010,c0080,} = {C_10.01,r0020,c0080,} + {C_10.01,r0050,c0080,} + {C_10.01,r0100,c0080,} + {C_10.01,r0110,c0080,}Other rules on C 10.01
- Exposure value cannot be less than off-balance sheet items (v09800_m)Warning
- Exposure value cannot be less than memorandum item: expected loss amount (v4788_m)Warning
- Risk weighted exposure amount cannot be negative (v3729_s)Warning
- PD/LGD approach: total, PD assigned to the obligor grade or pool cannot be more than 1 (v1617_m)Warning
- A calculation check across credit risk: equity (C 10.02, v0492_m)Warning
- Memorandum item: expected loss amount must equal 0.024 times exposure value (v0489_m)Warning
- 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
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.