The rule in plain words
Instruments with low credit risk cannot be more than assets without significant increase in credit risk since initial recognition (Stage 1).
EBA checks it for 15 rows, from debt securities (0050) to financial assets at fair value through other comprehensive income (0180). That makes 15 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.
Other financial corporations, of which: instruments with low credit risk <= Other financial corporations, Assets without significant increase in credit risk since initial recognition (Stage 1)
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark F 04.03.1 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
Rows
- 0050Debt securities
- 0060Central banks
- 0070General governments
- 0080Credit institutions
- 0090Other financial corporations
- 0100Non-financial corporations
- 0110Loans and advances
- 0120Central banks
- 0130General governments
- 0140Credit institutions
- 0150Other financial corporations
- 0160Non-financial corporations
- 0165Of which: Small and Medium-sized Enterprises
- 0170Households
- 0180FINANCIAL ASSETS AT FAIR VALUE THROUGH OTHER COMPREHENSIVE INCOME
Columns
- 0015Assets without significant increase in credit risk since initial recognition (Stage 1)
- 0020of which: instruments with low credit risk
A worked example
The first of its checks, with simple numbers.
Assets without significant increase in credit risk since initial recognition (Stage 1) must then be at least 1,200.
A file that reports 1,200 passes. One that reports 1,100 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}.
{F_04.03.1,r0150,c0020,} <= {F_04.03.1,r0150,c0015,}The next five:
{F_04.03.1,r0180,c0020,} <= {F_04.03.1,r0180,c0015,}{F_04.03.1,r0080,c0020,} <= {F_04.03.1,r0080,c0015,}{F_04.03.1,r0100,c0020,} <= {F_04.03.1,r0100,c0015,}{F_04.03.1,r0070,c0020,} <= {F_04.03.1,r0070,c0015,}{F_04.03.1,r0130,c0020,} <= {F_04.03.1,r0130,c0015,}And 9 more, the same formula for the other cells it covers.
Other rules on F 04.03.1
- Total, > 30 days ≤ 90 days plus total, ≤ 30 days plus total, > 90 days cannot be more than the sum of four cells (v09642_m)Warning
- Purchased or originated credit-impaired financial assets: households: ≤ 30 days plus > 30 days ≤ 90 days plus > 90 days cannot be more than the sum of four cells (v09641_m)Warning
- Loans and advances: non-financial corporations: > 90 days plus ≤ 30 days plus > 30 days ≤ 90 days cannot be more than the sum of four cells (v09640_m)Warning
- Loans and advances, purchased or originated credit-impaired financial assets: other financial corporations: > 30 days ≤ 90 days plus > 90 days plus ≤ 30 days cannot be more than the sum of four cells (v09639_m)Warning
- Loans and advances: credit institutions: ≤ 30 days plus > 30 days ≤ 90 days plus > 90 days cannot be more than the sum of four cells (v09638_m)Warning
- Loans and advances: general governments: ≤ 30 days plus > 90 days plus > 30 days ≤ 90 days cannot be more than the sum of four cells (v09637_m)Warning
- Loans and advances: central banks: > 30 days ≤ 90 days plus > 90 days plus ≤ 30 days cannot be more than the sum of four cells (v09636_m)Warning
- Loans and advances: > 90 days plus > 30 days ≤ 90 days plus ≤ 30 days cannot be more than the sum of four cells (v09635_m)Warning
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.