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 35 columns, from internal rating scale - PD assigned to the obligor grade or pool (0010) to number of obligors (0300). That makes 35 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.
Cash on deposit: Cash on deposit >= 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 08.02 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
Columns
- 0010Internal rating scale - PD assigned to the obligor grade or pool
- 0020Original exposure conversion factors
- 0030Of which: large financial sector entities and unregulated financial entities
- 0080Total inflows (+)
- 0090Exposure after CRM substitution effects pre conversion factors
- 0100Of which: off balance sheet items
- 0101MODELLED CONVERSION FACTORS
- 01020%
- 010310%
- 010420%
- 010540%
- 010650%
- 0107100%
- 0110Exposure value
- 0120Of which: off balance sheet items
- 0130Of which: arising from counterparty credit risk
- 0140Of which: large financial sector entities and unregulated financial entities
- 0150Guarantees
- 0160Credit derivatives
- 0170Own estimates of lgd's are used:
- 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 (%)
- 0240Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities
- 0250Exposure-weighted average maturity value (days)
- 0255Risk weighted exposure amount pre supporting factor
- 0260Risk weighted exposure amount after supporting factor
- 0270Of which: large financial sector entities and unregulated financial entities
- 0280Expected loss amount
- 0300Number of obligors
A worked example
The first of its checks, with simple numbers.
Cash on deposit 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_08.02,,c0171,} >= 0The next five:
{C_08.02,,c0260,} >= 0{C_08.02,,c0190,} >= 0{C_08.02,,c0200,} >= 0{C_08.02,,c0102,} >= 0{C_08.02,,c0240,} >= 0And 29 more, the same formula for the other cells it covers.
Other rules on C 08.02
- Each of the seven values it checks in credit and counterparty credit risks and free deliveries cannot be more than zero (v23203_s)Warning
- Internal rating scale, PD assigned to the obligor grade or pool cannot be more than 1 (v6300_m)Warning
- Exposure weighted average LGD for large financial sector entities and unregulated financial entities cannot be more than 1 (v4823_m)Warning
- Exposure weighted average lgd cannot be more than 1 (v4821_m)Warning
- The absolute value of guarantees plus the absolute value of credit derivatives cannot be more than original exposure conversion factors (v4771_m)Warning
- Total outflows must equal the sum of its three parts (v1665_m)Warning
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v0348_m)Warning
- Exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (v0347_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.