The rule in plain words
Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying exclusively the alternative standardised appr must be left empty, and risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the alternative internal models approach must be left empty, and risk exposure amount for reclassifications between non-trading book and trading book must be left empty.
All the values are in the TREA column (0010) of C 02.00.a.
The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TREA: Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying exclusively the Alternative standardised appr is empty and Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the Alternative Internal Models Approach is empty and RISK EXPOSURE AMOUNT FOR RECLASSIFICATIONS BETWEEN NON-TRADING BOOK AND TRADING BOOK is empty
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03It runs only when your filing indicators mark C 02.00 as reported.
- 04This 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Rows
- 0581Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying exclusively the Alternative standardised appr
- 0585Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the Alternative Internal Models Approach
- 0589RISK EXPOSURE AMOUNT FOR RECLASSIFICATIONS BETWEEN NON-TRADING BOOK AND TRADING BOOK
Column
- 0010TREA
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
(empty({C_02.00.a,r0581,c0010,})) and (empty({C_02.00.a,r0585,c0010,})) and (empty({C_02.00.a,r0589,c0010,}))Other rules on C 02.00.a
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal simplified treatment for derivative positions in CIUs, TREA (v22977_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal simplified approach, TREA (v22976_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal reduced basic approach (R-BA), TREA (v22975_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal full basic approach (F-BA), TREA (v22974_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal standardised approach (SA), TREA (v22973_m)Warning
- Total risk exposure amount for the business subject to market risk must equal the sum of its four parts (v22969_m)Warning
- Central governments or central banks, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23269_m)Warning
- Regional governments or local authorities, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23270_m)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.