The rule in plain words
Total exposures cannot be more than exposures subject to SME-supporting factor.
EBA checks it for eight columns: (-) value adjustments and provision associated with the original exposure, (-) guarantees, (-) credit derivatives, (-) financial collateral: simple method, (-) other funded credit protection, (-) total outflows, (-) financial collateral: adjusted value (Cvam), and (-) of which: Volatility and maturity adjustments. That makes eight 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.
(-) Other funded credit protection: TOTAL EXPOSURES <= of which: exposures subject to SME-supporting factor
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
- 0030of which: exposures subject to SME-supporting factor
Columns
- 0030(-) Value adjustments and provision associated with the original exposure
- 0050(-) Guarantees
- 0060(-) Credit derivatives
- 0070(-) Financial collateral: simple method
- 0080(-) Other funded credit protection
- 0090(-) Total Outflows
- 0130(-) Financial collateral: adjusted value (Cvam)
- 0140(-) of which: Volatility and maturity adjustments
A worked example
The first of its checks, with simple numbers.
Exposures subject to SME-supporting factor 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,r0010,c0080,} <= {C_07.00.a,r0030,c0080,}The next five:
{C_07.00.a,r0010,c0090,} <= {C_07.00.a,r0030,c0090,}{C_07.00.a,r0010,c0030,} <= {C_07.00.a,r0030,c0030,}{C_07.00.a,r0010,c0050,} <= {C_07.00.a,r0030,c0050,}{C_07.00.a,r0010,c0060,} <= {C_07.00.a,r0030,c0060,}{C_07.00.a,r0010,c0070,} <= {C_07.00.a,r0030,c0070,}And 2 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Total exposures cannot be less than exposures subject to SME-supporting factor (v23016_m)Warning
- Look-through approach must be left empty (v23018_m)Warning
- Mandate-based approach must be left empty (v23019_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 4 times exposure value (v22948_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 1.3 times exposure value (v22947_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 1.1 times exposure value (v22946_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 1.05 times exposure value (v22945_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.9 times exposure value (v22944_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.