The rule in plain words
The absolute value of corporates cannot be less than the absolute value of SME.
EBA checks it for 14 columns, from original exposure pre conversion factors (0010) to expected loss amount (0130). That makes 14 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.
Of which: defaulted: the absolute value of Corporates >= the absolute value of Of Which: SME
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 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
- 0030Corporates
- 0050Of Which: SME
Columns
- 0010ORIGINAL EXPOSURE PRE CONVERSION FACTORS
- 0030Of which: defaulted
- 0040Observed new defaults for the period
- 0050General credit risk adjustments
- 0055Specific credit risk adjustments
- 0060Write-offs
- 0070Credit risk adjustments/write-offs for observed new defaults
- 0105EXPOSURE VALUE
- 0110RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTOR
- 0120Of which: defaulted
- 0121(-) Adjustment to risk-weighted exposure amount due to SME supporting factor
- 0122(-) Adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor
- 0125RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTOR
- 0130EXPECTED LOSS AMOUNT
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}.
abs({C_09.02,r0030,c0120,}) >= abs({C_09.02,r0050,c0120,})The next five:
abs({C_09.02,r0030,c0125,}) >= abs({C_09.02,r0050,c0125,})abs({C_09.02,r0030,c0121,}) >= abs({C_09.02,r0050,c0121,})abs({C_09.02,r0030,c0010,}) >= abs({C_09.02,r0050,c0010,})abs({C_09.02,r0030,c0122,}) >= abs({C_09.02,r0050,c0122,})abs({C_09.02,r0030,c0060,}) >= abs({C_09.02,r0050,c0060,})And 8 more, the same formula for the other cells it covers.
Other rules on C 09.02
- The absolute value of other retail cannot be less than the absolute value of SME (v23548_h)Warning
- Retail must equal the sum of its four parts (v23331_m)Warning
- PD assigned to the obligor grade or pool cannot be negative (v23208_s)Warning
- 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
- 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
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.