The rule in plain words
Each of the values it checks in credit and counterparty credit risks and free deliveries cannot be more than zero.
EBA checks it for seven columns: (-) guarantees, (-) credit derivatives, (-) other funded credit protection, (-) total outflows, (-) adjustment to risk-weighted exposure amount due to SME supporting factor, (-) adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor, and (-) value adjustments and provisions. That makes seven 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.
(-) Adjustment to risk-weighted exposure amount due to SME supporting factor: (-) Adjustment to risk-weighted exposure amount due to SME supporting factor <= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 08.02 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
Columns
- 0040(-) Guarantees
- 0050(-) Credit derivatives
- 0060(-) Other funded credit protection
- 0070(-) Total outflows
- 0256(-) Adjustment to risk-weighted exposure amount due to SME supporting factor
- 0257(-) Adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor
- 0290(-) value adjustments and provisions
A worked example
The first of its checks, with simple numbers.
(-) adjustment to risk-weighted exposure amount due to SME supporting factor can then be at most 0.
A file that reports 0 passes. One that reports 100 fails, by 100.
The numbers are illustrative.
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_08.02,,c0256,} <= 0The next five:
{C_08.02,,c0050,} <= 0{C_08.02,,c0290,} <= 0{C_08.02,,c0040,} <= 0{C_08.02,,c0257,} <= 0{C_08.02,,c0060,} <= 0And 1 more, the same formula for the other cells it covers.
Other rules on C 08.02
- None of the 35 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23741_s)Warning
- Internal rating scale, PD assigned to the obligor grade or pool cannot be more than 1 (v6300_m)Warning
- Exposure weighted average LGD for large financial sector entities and unregulated financial entities cannot be more than 1 (v4823_m)Warning
- Exposure weighted average lgd cannot be more than 1 (v4821_m)Warning
- The absolute value of guarantees plus the absolute value of credit derivatives cannot be more than original exposure conversion factors (v4771_m)Warning
- Total outflows must equal the sum of its three parts (v1665_m)Warning
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v0348_m)Warning
- Exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (v0347_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.