The rule in plain words
Risk weighted exposure amount cannot be negative.
EBA checks it for eight rows: total IRB equity exposures, PD/LGD approach: total, simple risk weight approach: total, 190%, 290%, 370%, internal models approach and equity exposures subject to risk weights. That makes eight 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.
Risk weighted exposure amount: 370% >= 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 10.01 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
Credit risk: equity - IRB approaches to capital requirements - TOTAL (C 10.01)
Rows
- 0010Total IRB Equity Exposures
- 0020PD/LGD approach: Total
- 0050Simple risk weight approach: Total
- 0070190%
- 0080290%
- 0090370%
- 0100Internal models approach
- 0110Equity exposures subject to risk weights
Column
- 0080Risk weighted exposure amount
A worked example
The first of its checks, with simple numbers.
370%, risk weighted exposure amount 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_10.01,r0090,c0080,} >= 0The next five:
{C_10.01,r0100,c0080,} >= 0{C_10.01,r0020,c0080,} >= 0{C_10.01,r0070,c0080,} >= 0{C_10.01,r0010,c0080,} >= 0{C_10.01,r0050,c0080,} >= 0And 2 more, the same formula for the other cells it covers.
Other rules on C 10.01
- Exposure value cannot be less than memorandum item: expected loss amount (v4788_m)Warning
- PD/LGD approach: total, PD assigned to the obligor grade or pool cannot be more than 1 (v1617_m)Warning
- A calculation check across credit risk: equity (C 10.02, v0492_m)Warning
- Memorandum item: expected loss amount must equal 0.024 times exposure value (v0489_m)Warning
- Risk weighted exposure amount must equal 3.7 times exposure value (v0488_m)Warning
- Memorandum item: expected loss amount must equal 0.008 times exposure value (row 0080, v0487_m)Warning
- Risk weighted exposure amount must equal 2.9 times exposure value (v0486_m)Warning
- Memorandum item: expected loss amount must equal 0.008 times exposure value (row 0070, v0485_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.