The rule in plain words
None of the values it checks in credit and counterparty credit risks and free deliveries can be negative.
EBA checks it for 13 columns, from guarantees (0150) to risk weighted exposure amount pre supporting factors (0255). And for 18 rows, from total exposures (0010) to acquisition, development and construction (ADC) (0910). That makes 234 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 physical collateral: On balance sheet items subject to credit risk >= 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 08.01 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
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL (C 08.01.a)
Rows
- 0010Total exposures
- 0015Of which: exposures subject to SME-supporting factor
- 0016Of which: exposures subject to infrastructure projects supporting factor
- 0017of which: Secured by mortgages on residential immovable property - non-IPRE
- 0018of which: Secured by mortgages on residential immovable property – IPRE
- 0019of which: Secured by mortgages on commercial immovable property - non-IPRE
- 0020On balance sheet items subject to credit risk
- 0030Off balance sheet items subject to credit risk
- 0040Securities Financing Transactions netting sets
- 0050Derivatives & Long Settlement Transactions netting sets
- 0060From Contractual Cross Product netting sets
- 0070Exposures assigned to obligor grades or pools: Total
- 0180Dilution risk: total purchased receivables
- 0190Look-through approach
- 0200Mandate-based approach
- 0210Fall-back approach
- 0900of which: Secured by mortgages on commercial immovable property – IPRE
- 0910of which: Acquisition, development and construction (ADC)
Columns
- 0150Guarantees
- 0160Credit derivatives
- 0170Own estimates of LGD's are used: other funded credit protection
- 0171Cash on deposit
- 0172Life insurance policies
- 0173Instruments held by a third party
- 0180Eligible financial collateral
- 0190Real estate
- 0200Other physical collateral
- 0210Receivables
- 0230Exposure weighted average lgd (%)
- 0250Exposure-weighted average maturity value (days)
- 0255Risk weighted exposure amount pre supporting factors
A worked example
The first of its checks, with simple numbers.
On balance sheet items subject to credit risk, other physical collateral 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_08.01.a,r0020,c0200,} >= 0The next five:
{C_08.01.a,r0020,c0180,} >= 0{C_08.01.a,r0019,c0172,} >= 0{C_08.01.a,r0910,c0250,} >= 0{C_08.01.a,r0010,c0171,} >= 0{C_08.01.a,r0060,c0180,} >= 0And 228 more, the same formula for the other cells it covers.
Other rules on C 08.01.a
- None of the 63 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23260_s)Warning
- Total inflows (+) cannot be negative (v23259_s)Warning
- Expected loss amount cannot be negative (v23263_s)Warning
- None of the 36 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23257_s)Warning
- Internal rating scale, PD assigned to the obligor grade or pool cannot be negative (v23256_s)Warning
- Value adjustments and provisions cannot be more than zero (v23255_s)Warning
- Each of the 34 values it checks in credit and counterparty credit risks and free deliveries cannot be more than zero (v23254_s)Warning
- Each of the 64 values it checks in credit and counterparty credit risks and free deliveries cannot be more than zero (v23253_s)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.