The rule in plain words
None of the values it checks in details on exposures in high default portfolios can be negative.
EBA checks it for 13 columns, from PD - 0 - 12 months (0100) to ECL amount IFRS 9 Stage 3 (0202). That makes 13 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.
PD - 0 - 84 months: PD - 0 - 84 months >= 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 116.00 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
Details on exposures in high default portfolios by economic scenario (C 116.00)
Columns
- 0100PD - 0 - 12 months
- 0110PD - 0 - 24 months
- 0120PD - 0 - 36 months
- 0130PD - 0 - 48 months
- 0140PD - 0 - 60 months
- 0150PD - 0 - 72 months
- 0160PD - 0 - 84 months
- 0170PD - 0 - 96 months
- 0180PD - 0 - 108 months
- 0190PD - 0 - 120 months
- 0200ECL amount IFRS 9 Stage 1
- 0201ECL amount IFRS 9 Stage 2
- 0202ECL amount IFRS 9 Stage 3
A worked example
The first of its checks, with simple numbers.
PD - 0 - 84 months 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_116.00,,c0160,} >= 0The next five:
{C_116.00,,c0140,} >= 0{C_116.00,,c0180,} >= 0{C_116.00,,c0190,} >= 0{C_116.00,,c0130,} >= 0{C_116.00,,c0170,} >= 0And 7 more, the same formula for the other cells it covers.
Other rules on C 116.00
- PD, 0, 108 months cannot be more than PD, 0, 120 months (v16289_m)Warning
- PD, 0, 96 months cannot be more than PD, 0, 108 months (v16288_m)Warning
- PD, 0, 84 months cannot be more than PD, 0, 96 months (v16287_m)Warning
- PD, 0, 72 months cannot be more than PD, 0, 84 months (v16286_m)Warning
- PD, 0, 60 months cannot be more than PD, 0, 72 months (v16285_m)Warning
- PD, 0, 48 months cannot be more than PD, 0, 60 months (v16284_m)Warning
- PD, 0, 36 months cannot be more than PD, 0, 48 months (v16283_m)Warning
- PD, 0, 24 months cannot be more than PD, 0, 36 months (v16282_m)Warning
Every SBP IFRS 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.