The rule in plain words
None of the values it checks in IRB approach: CCR exposures can be negative.
EBA checks it for seven columns: exposure value, exposure weighted average PD (%), number of obligors, exposure weighted average LGD (%), exposure weighted average maturity (years), risk weighted exposure amounts and density of risk weighted exposure amounts. And for 18 rows, from to <0.15 (0010) to total (0180). That makes 126 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.
Exposure weighted average LGD (%): 5 to <10 >= 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 34.07 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
IRB approach – CCR exposures by exposure class and PD scale (CCR 7) (C 34.07)
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)
- 0180Total
Columns
- 0010Exposure value
- 0020Exposure weighted average PD (%)
- 0030Number of obligors
- 0040Exposure weighted average LGD (%)
- 0050Exposure weighted average maturity (years)
- 0060Risk weighted exposure amounts
- 0070Density of risk weighted exposure amounts
A worked example
The first of its checks, with simple numbers.
To <10, exposure weighted average LGD (%) 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_34.07,r0120,c0040,} >= 0The next five:
{C_34.07,r0010,c0050,} >= 0{C_34.07,r0130,c0040,} >= 0{C_34.07,r0050,c0060,} >= 0{C_34.07,r0100,c0040,} >= 0{C_34.07,r0150,c0020,} >= 0And 120 more, the same formula for the other cells it covers.
Other rules on C 34.07
- Density of risk weighted exposure amounts times exposure value must equal risk weighted exposure amounts (v09843_m)Warning
- Exposure weighted average LGD cannot be more than 1 (v09842_m)Warning
- Exposure weighted average PD cannot be more than 1 (v09841_m)Warning
- Total must equal the sum of its eight parts (v09840_m)Warning
- To <100 (under ) must equal to <20 plus to <30 plus to <100 (under 10 to <100) (v09839_m)Warning
- To <10 (under ) must equal to <5 plus to <10 (under 2.5 to <10) (v09838_m)Warning
- To <2.5 (under ) must equal to <1.75 plus to <2.5 (under 0.75 to <2.5) (v09837_m)Warning
- To <0.15 (under ) must equal to <0.10 plus to <0.15 (under 0.00 to <0.10) (v09836_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.