The rule in plain words
For breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors: 70% must be left empty.
EBA checks it for twelve columns, from fully adjusted exposure value (E*) (0150) to with a credit assessment by a nominated ECAI (0230). That makes twelve 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.
40%: 70% is empty
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Remove the value from this cell. A 0 is a value too, so leave the cell out of the file altogether.
- 03It runs only when your filing indicators mark C 07.00 as reported.
- 04This 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: standardised approach to capital requirements (C 07.00.a)
Row
- 021070%
Columns
- 0150Fully adjusted exposure value (E*)
- 01600%
- 016510%
- 017020%
- 017540%
- 018050%
- 0190100%
- 0195Transitional arrangements for UCCs
- 0200Exposure value
- 0215RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
- 0220RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS AND AFTER FX-MISMATCH
- 0230Of which: with a credit assessment by a nominated ECAI
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}.
empty({C_07.00.a,r0210,c0175,})The next five:
empty({C_07.00.a,r0210,c0190,})empty({C_07.00.a,r0210,c0165,})empty({C_07.00.a,r0210,c0195,})empty({C_07.00.a,r0210,c0160,})empty({C_07.00.a,r0210,c0170,})And 6 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factors: 70% must be left empty (row 0210, v23720_m)Warning
- Funded credit protection: a lower-limit check on credit and counterparty credit risks and free deliveries (v23724_h)Warning
- Funded credit protection: the absolute value of total exposures cannot be less than the absolute value of SME (v23730_h)Warning
- Each of the 119 values it checks in credit and counterparty credit risks and free deliveries cannot be more than zero (v23755_s)Warning
- Value adjustments and provision associated with the original exposure cannot be more than zero (v23759_s)Warning
- None of the 82 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23762_s)Warning
- None of the 287 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23764_s)Warning
- Total exposures, memorandum item: RWEA related to the impact of application of transitional provisions on CCF for unconditionally cancellable commitiments cannot be negative (v23767_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.