The rule in plain words
Collective investments undertakings (CIU) must equal these three added up:
- Look-through approach
- Mandate-based approach
- Fall-back approach
EBA checks it for twelve columns, from original exposure pre conversion factors (0010) to expected loss amount (0130). That makes twelve 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.
Credit risk adjustments/write-offs for observed new defaults: Collective investments undertakings (CIU) = Look-through approach + Mandate-based approach + Fall-back approach
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 09.02 as reported.
- 06This 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
Geographical breakdown of exposures by residence of the obligor (IRB exposures) (C 09.02)
Rows
- 0132Collective investments undertakings (CIU)
- 0133Look-through approach
- 0134Mandate-based approach
- 0135Fall-back approach
Columns
- 0010ORIGINAL EXPOSURE PRE CONVERSION FACTORS
- 0030Of which: defaulted
- 0040Observed new defaults for the period
- 0050General credit risk adjustments
- 0055Specific credit risk adjustments
- 0060Write-offs
- 0070Credit risk adjustments/write-offs for observed new defaults
- 0105EXPOSURE VALUE
- 0110RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTOR
- 0120Of which: defaulted
- 0125RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTOR
- 0130EXPECTED LOSS AMOUNT
A worked example
The first of its checks, with simple numbers.
Collective investments undertakings (CIU) must then be 2,450.
A file that reports 2,450 passes. One that reports 2,550 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_09.02,r0132,c0070,} = {C_09.02,r0133,c0070,} + {C_09.02,r0134,c0070,} + {C_09.02,r0135,c0070,}The next five:
{C_09.02,r0132,c0055,} = {C_09.02,r0133,c0055,} + {C_09.02,r0134,c0055,} + {C_09.02,r0135,c0055,}{C_09.02,r0132,c0050,} = {C_09.02,r0133,c0050,} + {C_09.02,r0134,c0050,} + {C_09.02,r0135,c0050,}{C_09.02,r0132,c0030,} = {C_09.02,r0133,c0030,} + {C_09.02,r0134,c0030,} + {C_09.02,r0135,c0030,}{C_09.02,r0132,c0105,} = {C_09.02,r0133,c0105,} + {C_09.02,r0134,c0105,} + {C_09.02,r0135,c0105,}{C_09.02,r0132,c0060,} = {C_09.02,r0133,c0060,} + {C_09.02,r0134,c0060,} + {C_09.02,r0135,c0060,}And 6 more, the same formula for the other cells it covers.
Other rules on C 09.02
- Retail cannot be less than retail secured by immovable property (row 0060, v23042_m)Warning
- Corporates cannot be less than large corporates (v23046_m)Warning
- Specialised lending cannot be less than specialised lending, Project finance (v23047_m)Warning
- Specialised lending cannot be less than specialised lending, Object finance (v23048_m)Warning
- Specialised lending cannot be less than specialised lending, commodities finance (v23049_m)Warning
- Specialised lending cannot be less than specialised lending, IPRE (v23050_m)Warning
- Each of the 58 values it checks in geographical breakdown of exposures cannot be more than zero (v23206_s)Warning
- None of the 434 values it checks in geographical breakdown of exposures can be negative (v23207_s)Warning
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.