The rule in plain words
None of the values it checks in credit risk and free deliveries can be negative.
EBA checks it for ten columns, from on-balance sheet exposures (0010) to expected loss amount (0100). And for 17 rows, from to <0.15 (0010) to 100 (default) (0170). That makes 170 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.
On-balance sheet exposures: 0.75 to <1.75 >= 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 08.03 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
Rows
- 00100.00 to <0.15
- 00200.00 to <0.10
- 00300.10 to <0.15
- 00400.15 to <0.25
- 00500.25 to <0.50
- 00600.50 to <0.75
- 00700.75 to <2.5
- 00800.75 to <1.75
- 00901.75 to <2.5
- 01002.5 to <10
- 01102.5 to <5
- 01205 to <10
- 013010 to <100
- 014010 to <20
- 015020 to <30
- 016030 to <100
- 0170100 (Default)
Columns
- 0010On-balance sheet exposures
- 0020Off-balance-sheet exposures pre-conversion factors
- 0030Exposure weighted average conversion factors
- 0040Exposure value post conversion factors and post CRM
- 0050Exposure weighted average PD (%)
- 0060Number of obligors
- 0070Exposure weighted average LGD (%)
- 0080Exposure weighted average maturity (years)
- 0090Risk weighted exposure amount after supporting factors
- 0100Expected loss amount
A worked example
The first of its checks, with simple numbers.
To <1.75, on-balance sheet exposures 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_08.03,r0080,c0010,} >= 0The next five:
{C_08.03,r0060,c0060,} >= 0{C_08.03,r0050,c0060,} >= 0{C_08.03,r0100,c0100,} >= 0{C_08.03,r0110,c0030,} >= 0{C_08.03,r0140,c0070,} >= 0And 164 more, the same formula for the other cells it covers.
Other rules on C 08.03
- Value adjustments and provisions cannot be more than zero (v23326_s)Warning
- Exposure weighted average LGD must be left empty (row 0010, v11889_m)Warning
- Exposure weighted average PD must be left empty (v11888_m)Warning
- Exposure weighted average LGD must be left empty (row 0100, v11887_m)Warning
- Exposure weighted average PD must be left empty (v11886_m)Warning
- Exposure weighted average LGD cannot be more than 1 (v09762_m)Warning
- Exposure weighted average PD cannot be more than 1 (v09761_m)Warning
- To <100 (under ) must equal to <20 plus to <30 plus to <100 (under 10 to <100) (v09756_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.