The rule in plain words
Exposures under the permanent partial use of the standardised approach cannot be more than total exposures.
EBA checks it for 16 columns, from original exposure pre conversion factors (0010) to risk weighted exposure amount after supporting factors and after FX-mismatch (0220). That makes 16 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.
Transitional arrangements for UCCs: of which: Exposures under the permanent partial use of the standardised approach <= TOTAL EXPOSURES
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 C 07.00 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Rows
- 0010TOTAL EXPOSURES
- 0050of which: Exposures under the permanent partial use of the standardised approach
Columns
- 0010Original exposure pre conversion factors
- 0040Exposure net of value adjustments and provisions
- 0100Total Inflows (+)
- 0110Net exposure after CRM substitution effects pre conversion factors
- 0120Volatility adjustment to the exposure
- 0150Fully adjusted exposure value (E*)
- 01600%
- 016510%
- 017020%
- 017540%
- 018050%
- 0190100%
- 0195Transitional arrangements for UCCs
- 0200Exposure value
- 0215RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
- 0220RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS AND AFTER FX-MISMATCH
A worked example
The first of its checks, with simple numbers.
Total exposures 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}.
{C_07.00.a,r0050,c0195,} <= {C_07.00.a,r0010,c0195,}The next five:
{C_07.00.a,r0050,c0040,} <= {C_07.00.a,r0010,c0040,}{C_07.00.a,r0050,c0215,} <= {C_07.00.a,r0010,c0215,}{C_07.00.a,r0050,c0190,} <= {C_07.00.a,r0010,c0190,}{C_07.00.a,r0050,c0120,} <= {C_07.00.a,r0010,c0120,}{C_07.00.a,r0050,c0150,} <= {C_07.00.a,r0010,c0150,}And 10 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Exposures to central banks cannot be more than total exposures (v1641_m)Warning
- Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation cannot be more than total exposures (v1643_m)Warning
- SME cannot be less than total exposures (v1645_m)Warning
- Exposures to central banks cannot be less than total exposures (v1647_m)Warning
- Exposures under the permanent partial use of the standardised approach cannot be less than total exposures (v1648_m)Warning
- Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation cannot be less than total exposures (v1649_m)Warning
- SME: risk weighted exposure amount pre supporting factors and pre FX-mismatch in C 09.01.a must equal risk weighted exposure amount pre supporting factors and pre FX-mismatch in C 07.00.a (v0385_m)Not run yet
- SME, exposure value in C 09.01.a must equal SME, exposure value in C 07.00.a (v0384_m)Not run yet
Every COREP own funds rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.