The rule in plain words
PD assigned to the obligor grade or pool (%) cannot be negative.
EBA checks it for 30 rows, from central governments or central banks (0010) to total exposures (0150). That makes 30 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.
PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%): Look-through approach >= 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 09.02 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
Geographical breakdown of exposures by residence of the obligor (IRB exposures) (C 09.02)
Rows
- 0010Central governments or central banks
- 0011Of which: Regional governments or local authorities
- 0012Regional governments or local authorities
- 0013Public sector entities
- 0020Institutions
- 0030Corporates
- 0050Of Which: SME
- 0051Of Which: Large Corporates
- 0052Specialised lending
- 0053Of Which: Specialised Lending - Project Finance
- 0054Of Which: Specialised Lending - Object Finance
- 0055Of Which: Specialised Lending - Commodities Finance
- 0056Of Which: Specialised Lending - IPRE
- 0057Purchased receivables
- 0058Other
- 0060Retail
- 0070Of which: Secured by immovable property
- 0080Of which: SME
- 0090Of which: Non-SME
- 0095Secured by residential real estate
- 0100Qualifying Revolving
- 0105Purchased receivables
- 0110Other Retail
- 0120Of which: SME
- 0130Of which Non-SME
- 0132Collective investments undertakings (CIU)
- 0133Look-through approach
- 0134Mandate-based approach
- 0140Equity
- 0150Total exposures
Column
- 0080PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)
A worked example
The first of its checks, with simple numbers.
Look-through approach, PD assigned to the obligor grade or pool (%) must then be at least 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_09.02,r0133,c0080,} >= 0The next five:
{C_09.02,r0011,c0080,} >= 0{C_09.02,r0132,c0080,} >= 0{C_09.02,r0050,c0080,} >= 0{C_09.02,r0053,c0080,} >= 0{C_09.02,r0013,c0080,} >= 0And 24 more, the same formula for the other cells it covers.
Other rules on C 09.02
- None of the 434 values it checks in geographical breakdown of exposures can be negative (v23207_s)Warning
- Each of the 58 values it checks in geographical breakdown of exposures cannot be more than zero (v23206_s)Warning
- Retail must equal the sum of its four parts (v23331_m)Warning
- Specialised lending cannot be less than specialised lending, IPRE (v23050_m)Warning
- Specialised lending cannot be less than specialised lending, commodities finance (v23049_m)Warning
- Specialised lending cannot be less than specialised lending, Object finance (v23048_m)Warning
- Specialised lending cannot be less than specialised lending, Project finance (v23047_m)Warning
- Corporates cannot be less than large corporates (v23046_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.