The rule in plain words
None of the values it checks in exposures in the non-trading and trading book can be negative.
EBA checks it for 21 columns, from total original exposure (040) to % of Tier 1 capital (350). That makes 21 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.
Additional exposures arising from transactions where there is an exposure to underlying assets: Additional exposures arising from transactions where there is an exposure to underlying assets >= 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 28.00 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
Exposures in the non-trading and trading book (C 28.00)
Columns
- 040Total original exposure
- 050Of which: defaulted
- 060Debt instruments
- 070Equity instruments
- 080Derivatives
- 090Loan commitments
- 100Financial guarantees
- 110Other commitments
- 120Debt instruments
- 130Equity instruments
- 140Derivatives
- 150Loan commitments
- 160Financial guarantees
- 170Other commitments
- 180Additional exposures arising from transactions where there is an exposure to underlying assets
- 210Total
- 220Of which: Non-trading book
- 230% of Tier 1 capital
- 330Total
- 340Of which: Non-trading book
- 350% of Tier 1 capital
A worked example
The first of its checks, with simple numbers.
Additional exposures arising from transactions where there is an exposure to underlying assets 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_28.00,,c180,} >= 0The next five:
{C_28.00,,c070,} >= 0{C_28.00,,c130,} >= 0{C_28.00,,c090,} >= 0{C_28.00,,c110,} >= 0{C_28.00,,c100,} >= 0And 15 more, the same formula for the other cells it covers.
Other rules on C 28.00
- Each of the eleven values it checks in exposures in the non-trading and trading book cannot be more than zero (v2058_s)Warning
- Exposure value after application of exemptions and CRM: total cannot be less than non-trading book (v0654_m)Warning
- Total, exposure value after application of exemptions and CRM must equal the sum of its ten parts (v0653_m)Warning
- Total cannot be less than the absolute value of a sum of nine columns (v0652_m)Warning
- Exposure value before application of exemptions and CRM: total cannot be less than non-trading book (v0651_m)Warning
- Total must equal the sum of its three parts (v0650_m)Warning
- Total original exposure cannot be less than the absolute value of value adjustments and provisions plus exposures deducted from CET 1 or additional Tier 1 items (v0649_m)Warning
- Total original exposure cannot be less than defaulted original exposure (v0648_m)Warning
Every COREP LE rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.