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 (0010) to financial assets at amortised cost (0140). 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.
Of which: Small and Medium-sized Enterprises, of which: instruments with low credit risk <= Of which: Small and Medium-sized Enterprises, 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 04.04.1 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
Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost (F 04.04.1)
Rows
- 0010Debt securities
- 0020Central banks
- 0030General governments
- 0040Credit institutions
- 0050Other financial corporations
- 0060Non-financial corporations
- 0070Loans and advances
- 0080Central banks
- 0090General governments
- 0100Credit institutions
- 0110Other financial corporations
- 0120Non-financial corporations
- 0125Of which: Small and Medium-sized Enterprises
- 0130Households
- 0140FINANCIAL ASSETS AT AMORTISED COST
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_04.04.1,r0125,c0020,} <= {F_04.04.1,r0125,c0015,}The next five:
{F_04.04.1,r0120,c0020,} <= {F_04.04.1,r0120,c0015,}{F_04.04.1,r0140,c0020,} <= {F_04.04.1,r0140,c0015,}{F_04.04.1,r0100,c0020,} <= {F_04.04.1,r0100,c0015,}{F_04.04.1,r0130,c0020,} <= {F_04.04.1,r0130,c0015,}{F_04.04.1,r0050,c0020,} <= {F_04.04.1,r0050,c0015,}And 9 more, the same formula for the other cells it covers.
Other rules on F 04.04.1
- Gross carrying amount: loans and advances, purchased or originated credit-impaired financial assets in F 04.04.1 must equal the sum of its two parts (v09616_m)Warning
- Accumulated impairment: loans and advances, purchased or originated credit-impaired financial assets in F 04.04.1 must equal the sum of its two parts (v09614_m)Warning
- Each of the 75 values it checks in breakdown of financial assets cannot be more than zero (v8155_s)Warning
- Debt instruments at cost or at amortised cost: a balancing check across information on performing and non-performing exposures, and breakdown of financial assets (F 18.00.b, v8142_m)Warning
- Gross carrying amount: financial assets at amortised cost, credit-impaired assets (Stage 3) must equal the sum of its two parts (v8141_m)Warning
- Small and medium-sized Enterprises, gross carrying amount or nominal amount must equal the sum of its four parts (row 0130, v8140_m)Warning
- Accumulated impairment: financial assets at amortised cost, credit-impaired assets (Stage 3) must equal the sum of its two parts (v7844_m)Warning
- Accumulated impairment: financial assets at amortised cost, assets with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) must equal the sum of its four parts (v7843_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.