The rule in plain words
Row 0036 must equal these eight added up:
- Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries
- Total risk exposure amount for settlement or delivery
- Total risk exposure amount for the business subject to market risk
- Total risk exposure amount for operational risk (OpR )
- Additional risk exposure amount due to fixed overheads
- Total risk exposure amount for credit valuation adjustment
- Total risk exposure amount related to large exposures in the trading book
- Other risk exposure amounts
All the values are in the TREA column (0010) of C 02.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TREA: row 0036 = RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES + TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY + TOTAL RISK EXPOSURE AMOUNT FOR THE BUSINESS SUBJECT TO MARKET RISK + TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR ) + ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS + TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT + TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK + OTHER RISK EXPOSURE AMOUNTS
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 02.00 as reported.
- 06This 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Rows
- 0036No label in EBA’s template
- 0040RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES
- 0490TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
- 0520TOTAL RISK EXPOSURE AMOUNT FOR THE BUSINESS SUBJECT TO MARKET RISK
- 0590TOTAL RISK EXPOSURE AMOUNT FOR OPERATIONAL RISK (OpR )
- 0630ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS
- 0640TOTAL RISK EXPOSURE AMOUNT FOR CREDIT VALUATION ADJUSTMENT
- 0680TOTAL RISK EXPOSURE AMOUNT RELATED TO LARGE EXPOSURES IN THE TRADING BOOK
- 0690OTHER RISK EXPOSURE AMOUNTS
Column
- 0010TREA
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_02.00.a,r0036,c0010,} = {C_02.00.a,r0040,c0010,} + {C_02.00.a,r0490,c0010,} + {C_02.00.a,r0520,c0010,} + {C_02.00.a,r0590,c0010,} + {C_02.00.a,r0630,c0010,} + {C_02.00.a,r0640,c0010,} + {C_02.00.a,r0680,c0010,} + {C_02.00.a,r0690,c0010,}Other rules on C 02.00.a
- Total risk exposure amount, TREA must equal the smaller of two values (v23798_m)Warning
- Total risk exposure amount must equal row 0035 plus row 0036 (v23734_m)Warning
- TREA cannot be negative (v23705_s)Warning
- TREA must be reported (e23361_e)Warning
- Other items, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23296_m)Warning
- Equity, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23295_m)Warning
- Collective investments undertakings (CIU), TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23294_m)Warning
- Claims on institutions and corporates with a short-term credit assessment, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23293_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.