The rule in plain words
Specialised lending cannot be more than corporates.
EBA checks it for four columns: original exposure pre conversion factors, exposure value, risk weighted exposure amount pre supporting factors and pre FX-mismatch, and risk weighted exposure amount after supporting factors and after FX-mismatch. That makes four 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: of which: Specialised lending <= Corporates
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 09.01 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
Geographical breakdown of exposures by residence of the obligor (SA exposures) (C 09.01.a)
Rows
- 0070Corporates
- 0076of which: Specialised lending
Columns
- 0010ORIGINAL EXPOSURE PRE CONVERSION FACTORS
- 0075EXPOSURE VALUE
- 0080RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
- 0090RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS AND AFTER FX-MISMATCH
A worked example
The first of its checks, with simple numbers.
Corporates 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_09.01.a,r0076,c0075,} <= {C_09.01.a,r0070,c0075,}The next three:
{C_09.01.a,r0076,c0090,} <= {C_09.01.a,r0070,c0090,}{C_09.01.a,r0076,c0080,} <= {C_09.01.a,r0070,c0080,}{C_09.01.a,r0076,c0010,} <= {C_09.01.a,r0070,c0010,}Other rules on C 09.01.a
- The absolute value of corporates cannot be less than the absolute value of SME (v23543_h)Warning
- The absolute value of retail cannot be less than the absolute value of SME (row 0080, v23611_m)Warning
- The absolute value of secured by mortgages on immovable property and ADC exposures cannot be less than the absolute value of SME (row 0090, v23612_m)Warning
- Secured by mortgages on immovable property and ADC exposures must equal the sum of its eleven parts (row 0090, v23670_h)Warning
- The absolute value of retail cannot be less than the absolute value of SME (row 0080, v23731_h)Warning
- The absolute value of secured by mortgages on immovable property and ADC exposures cannot be less than the absolute value of SME (row 0090, v23732_h)Warning
- Each of the 70 values it checks in geographical breakdown of exposures cannot be more than zero (v10299_s)Warning
- Claims in the form of CIU must equal the sum of its three parts (v09798_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.