The rule in plain words

For exposure value: SA exposure classes excluding securitisation positions secured by mortgages on immovable property and ADC exposures cannot be less than exposures secured by mortgages on residential property between 55% and 80% of the property value.

EBA checks it for ten columns, from original exposure pre conversion factors (0010) to IRB exposures subject to counterparty credit risk under the IMM (0120). That makes ten checks. A failure names the one that failed.

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 itShow

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.

OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK: Secured by mortgages on immovable property and ADC exposures >= Of which: Exposures secured by mortgages on residential property between 55% and 80% of the property value

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 smaller 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 10.00 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: IRB exposures subject to output floor (C 10.00)

Rows

0150Secured by mortgages on immovable property and ADC exposures
0152Of which: Exposures secured by mortgages on residential property between 55% and 80% of the property value

Columns

0010ORIGINAL EXPOSURE PRE CONVERSION FACTORS
0030EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
0040EXPOSURE VALUE
0050OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
0060S-TREA
0070OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK
0090EXPOSURES SECURED BY MORTGAGES ON RESIDENTIAL PROPERTY UP TO 55% OF THE PROPERTY VALUE
0100EXPOSURES SECURED BY MORTGAGES ON RESIDENTIAL PROPERTY BETWEEN 55% AND 80% OF THE PROPERTY VALUE
0110EXPOSURES TO UNRATED CORPORATES WITH A PD ESTIMATE
0120IRB EXPOSURES SUBJECT TO COUNTERPARTY CREDIT RISK UNDER THE IMM

A worked example

The first of its checks, with simple numbers.

Illustrative values

SA exposure classes excluding securitisation positions secured by mortgages on immovable property and ADC exposures1,200

What the rule then expects

Exposures secured by mortgages on residential property between 55% and 80% of the property value can then be at most 1,200.

1,200Passes

1,300Fails

A file that reports 1,200 passes. One that reports 1,300 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_10.00,r0150,c0050,} >= {C_10.00,r0152,c0050,}

The next five:

{C_10.00,r0150,c0110,} >= {C_10.00,r0152,c0110,}{C_10.00,r0150,c0030,} >= {C_10.00,r0152,c0030,}{C_10.00,r0150,c0090,} >= {C_10.00,r0152,c0090,}{C_10.00,r0150,c0120,} >= {C_10.00,r0152,c0120,}{C_10.00,r0150,c0060,} >= {C_10.00,r0152,c0060,}

And 4 more, the same formula for the other cells it covers.

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.

Exposure value: a lower-limit check on credit and counterparty credit risks and free deliveries (C 10.00, EBA rule v23056_m)

The rule in plain words

What to do if your filing fails it

The cells it reads

A worked example

Other rules on C 10.00