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 23 columns, from number of obligors (0040) to expected loss amount IRB - Stage 3 (0162). That makes 23 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.
Exposure value - IFRS 9 Stage 2: Exposure value - IFRS 9 Stage 2 >= 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 115.00 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 (C 115.00)
Columns
- 0040Number of obligors
- 0050Exposure value - IFRS 9 Stage 1
- 0051Exposure value - IFRS 9 Stage 2
- 0052Exposure value - IFRS 9 Stage 3
- 0055Gross carrying amount
- 0100PD - 12 months - IFRS 9
- 0105PD - 12 months - IFRS 9 without overlays
- 0106PD - 12 months - IFRS 9 TTC/Unconditional
- 0107PD - 12 months - IFRS 9 - Stage 1
- 0108PD - 12 months - IFRS 9 - Stage 2
- 0120Collateral value
- 0130LGD - IFRS 9
- 0133LGD - IFRS 9 without overlays
- 0140Residual maturity
- 0145ECL amount IFRS 9 Stage 1
- 0146ECL amount IFRS 9 Stage 2
- 0147ECL amount IFRS 9 Stage 3
- 0148ECL amount IFRS 9 without overlays Stage 1
- 0149ECL amount IFRS 9 without overlays Stage 2
- 0150ECL amount IFRS 9 without overlays Stage 3
- 0160Expected Loss amount IRB - Stage 1
- 0161Expected Loss amount IRB - Stage 2
- 0162Expected Loss amount IRB - Stage 3
A worked example
The first of its checks, with simple numbers.
Exposure value - IFRS 9 Stage 2 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_115.00,,c0051,} >= 0The next five:
{C_115.00,,c0133,} >= 0{C_115.00,,c0105,} >= 0{C_115.00,,c0140,} >= 0{C_115.00,,c0149,} >= 0{C_115.00,,c0150,} >= 0And 17 more, the same formula for the other cells it covers.
Other rules on C 115.00
- ECL amount IFRS 9 Stage 3 cannot be more than exposure value, IFRS 9 Stage 3 (v16280_m)Warning
- ECL amount IFRS 9 Stage 2 cannot be more than exposure value, IFRS 9 Stage 2 (v16279_m)Warning
- ECL amount IFRS 9 Stage 1 cannot be more than exposure value, IFRS 9 Stage 1 (v16278_m)Warning
- The cell cannot be more than 1 (column 0130, v16273_m)Warning
- The cell cannot be more than 1 (column 0106, v16272_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.