The rule in plain words
Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions cannot be less than these three added up:
- Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)
- Credit-impaired instruments (Stage 3)
- Purchased or originated credit-impaired financial assets
EBA checks it for 22 rows, from loan commitments given (0340) to off-balance sheet exposures (0550). That makes 22 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, Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions >= Other financial corporations, Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2) + Other financial corporations, Of which: Credit-impaired instruments (Stage 3) + Other financial corporations, Of which: purchased or originated credit-impaired financial assets
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 smaller 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 18.00 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
Information on performing and non-performing exposures (II) (F 18.00.b)
Rows
- 0340Loan commitments given
- 0350Central banks
- 0360General governments
- 0370Credit institutions
- 0380Other financial corporations
- 0390Non-financial corporations
- 0400Households
- 0410Financial guarantees given
- 0420Central banks
- 0430General governments
- 0440Credit institutions
- 0450Other financial corporations
- 0460Non-financial corporations
- 0470Households
- 0480Other Commitments given
- 0490Central banks
- 0500General governments
- 0510Credit institutions
- 0520Other financial corporations
- 0530Non-financial corporations
- 0540Households
- 0550OFF-BALANCE SHEET EXPOSURES
Columns
- 0150Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions
- 0950Of which: Instruments with significant increase in credit risk since initial recognition but not credit-impaired (Stage 2)
- 0951Of which: Credit-impaired instruments (Stage 3)
- 0952Of which: purchased or originated credit-impaired financial assets
A worked example
The first of its checks, with simple numbers.
Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions must then be at least 2,450.
A file that reports 2,450 passes. One that reports 2,350 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_18.00.b,r0520,c0150,} >= {F_18.00.b,r0520,c0950,} + {F_18.00.b,r0520,c0951,} + {F_18.00.b,r0520,c0952,}The next five:
{F_18.00.b,r0380,c0150,} >= {F_18.00.b,r0380,c0950,} + {F_18.00.b,r0380,c0951,} + {F_18.00.b,r0380,c0952,}{F_18.00.b,r0460,c0150,} >= {F_18.00.b,r0460,c0950,} + {F_18.00.b,r0460,c0951,} + {F_18.00.b,r0460,c0952,}{F_18.00.b,r0540,c0150,} >= {F_18.00.b,r0540,c0950,} + {F_18.00.b,r0540,c0951,} + {F_18.00.b,r0540,c0952,}{F_18.00.b,r0360,c0150,} >= {F_18.00.b,r0360,c0950,} + {F_18.00.b,r0360,c0951,} + {F_18.00.b,r0360,c0952,}{F_18.00.b,r0340,c0150,} >= {F_18.00.b,r0340,c0950,} + {F_18.00.b,r0340,c0951,} + {F_18.00.b,r0340,c0952,}And 16 more, the same formula for the other cells it covers.
Other rules on F 18.00.b
- Debt instruments at cost or at amortised cost: a calculation check across information on performing and non-performing exposures, and geographical breakdown of assets (F 20.04, v10678_m)Warning
- Non-performing exposures, accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions cannot be more than the sum of three columns (v10613_m)Warning
- Debt instruments at cost or at amortised cost: performing exposures, accumulated impairment and provisions must equal the sum of its three parts (row 0005, v10612_m)Warning
- Non-financial corporations, past due > 30 days <= 90 days must equal the sum of its two parts (v09623_m)Warning
- Debt instruments at cost or at amortised cost: performing exposures, accumulated impairment and provisions must equal the sum of its three parts (row 0010, v12017_m)Warning
- Debt securities: performing exposures, accumulated impairment and provisions must equal the sum of its three parts (row 0020, v12018_m)Warning
- Debt securities: performing exposures, accumulated impairment and provisions must equal the sum of its three parts (row 0030, v12019_m)Warning
- Debt securities: performing exposures, accumulated impairment and provisions must equal the sum of its three parts (row 0040, v12020_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.