The rule in plain words
Amount cannot be more than zero.
EBA checks it for 55 rows, from (-) own CET1 instruments (0070) to (-) additional deductions of T2 capital due to Article 3 of Regulation (EU) No 575/2013 (0974). That makes 55 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.
(-) Own CET1 instruments <= 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 01.00 as reported.
- 05This is a blocking check. A filing that fails it is normally rejected, so fix it before you submit.
The cells it reads
Capital adequacy - own funds definition (C 01.00)
Rows
- 0070(-) Own CET1 instruments
- 0080(-) Direct holdings of CET1 instruments
- 0090(-) Indirect holdings of CET1 instruments
- 0091(-) Synthetic holdings of CET1 instruments
- 0092(-) Actual or contingent obligations to purchase own CET1 instruments
- 0170(-) Part of interim or year-end profit not eligible
- 0260(-) Increases in equity resulting from securitised assets
- 0290(-) Value adjustments due to the requirements for prudent valuation
- 0300(-) Goodwill
- 0310(-) Goodwill accounted for as intangible asset
- 0320(-) Goodwill included in the valuation of significant investments
- 0340(-) Other intangible assets
- 0350(-) Other intangible assets before deduction of deferred tax liabilities
- 0352(-) Of wich: software assets accounted for as intangible assets before deduction of deferred tax liabilities
- 0370(-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities
- 0380(-) IRB shortfall of credit risk adjustments to expected losses
- 0390(-)Defined benefit pension fund assets
- 0400(-)Defined benefit pension fund assets
- 0430(-) Reciprocal cross holdings in CET1 Capital
- 0440(-) Excess of deduction from AT1 items over AT1 Capital (see 1.2.10)
- 0450(-) Qualifying holdings outside the financial sector which can alternatively be subject to a 1.250% risk weight
- 0460(-) Securitisation positions which can alternatively be subject to a 1.250% risk weight
- 0470(-) Free deliveries which can alternatively be subject to a 1.250% risk weight
- 0471(-) Positions in a basket for which an institution cannot determine the risk weight under the IRB approach, and can alternatively be subject
- 0472(-) Equity exposures under an internal models approach which can alternatively be subject to a 1.250% risk weight
- 0480(-) CET1 instruments of financial sector entities where the institution does not have a significant investment
- 0490(-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences
- 0500(-) CET1 instruments of financial sector entities where the institution has a significant investment
- 0510(-) Amount exceeding the 17.65% threshold
- 0511(-) Amount exceeding the 17.65% threshold related to CET1 instruments of financial sector entities where the institution has a significant i
- 0512(-) Amount exceeding the 17.65% threshold related to deferred tax assets arising from temporary differences
- 0513(-) Insufficient coverage for non-performing exposures
- 0514(-) Minimum value commitment shortfalls
- 0515(-) Other foreseeable tax charges
- 0524(-) Additional deductions of CET1 Capital due to Article 3 of Regulation (EU) No 575/2013
- 0580(-) Own AT1 instruments
- 0590(-) Direct holdings of AT1 instruments
- 0620(-) Indirect holdings of AT1 instruments
- 0621(-) Synthetic holdings of AT1 instruments
- 0622(-) Actual or contingent obligations to purchase own AT1 instruments
And 15 more.
Column
- 0010Amount
A worked example
The first of its checks, with simple numbers.
What the rule then expects
(-) own CET1 instruments can then be at most 0.
0Passes
100Fails
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_01.00,r0070,c0010,} <= 0The next five:
{C_01.00,r0080,c0010,} <= 0{C_01.00,r0090,c0010,} <= 0{C_01.00,r0091,c0010,} <= 0{C_01.00,r0092,c0010,} <= 0{C_01.00,r0170,c0010,} <= 0And 49 more, the same formula for the other cells it covers.
Other rules on C 01.00
- Amount cannot be negative (v3684_s)Blocking
- Tier 1 capital plus tier 2 capital must be more than zero (v4747_m)Warning
- A conditional check across capital adequacy: Memorandum items and capital adequacy: own funds definition (C 04.00, v4811_m)Warning
- A conditional check across capital adequacy: Memorandum items and capital adequacy: own funds definition (C 04.00, v4812_m)Warning
- SA general credit risk adjustments cannot be more than 0.0125 times risk weighted exposure amounts for calculating the cap to the provision eligible as T2 (v4813_m)Warning
- Common equity tier 1 capital: a calculation check across capital adequacy: own funds definition and capital adequacy: Memorandum items (C 04.00, v4814_m)Warning
- Additional tier 1 capital: a calculation check across capital adequacy: own funds definition and capital adequacy: Memorandum items (C 04.00, v4815_m)Warning
- Tier 2 capital: a calculation check across capital adequacy: own funds definition and capital adequacy: Memorandum items (C 04.00, v4816_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.