The rule in plain words
None of the values it checks in breakdown of leverage ratio exposure measure components can be negative.
EBA checks it for two columns, all for IRB exposures: leverage ratio exposure value: and RWEAs:. And for 25 rows, from covered bonds (0080) to under official export credit insurance scheme (0320). That makes 50 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.
Leverage Ratio Exposure Value: IRB Exposures: Regional governments and local authorities treated as sovereigns >= 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 43.00 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
Breakdown of leverage ratio exposure measure components: other non-trading book exposures (IRB) (C 43.00.c)
Rows
- 0080Covered bonds
- 0090Exposures treated as sovereigns
- 0100Central governments and Central banks
- 0110Regional governments and local authorities treated as sovereigns
- 0120MDBs and international organisations treated as sovereigns
- 0130PSEs treated as sovereigns
- 0140Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns;
- 0150Regional governments and local authorities NOT treated as sovereigns
- 0160MDBs NOT treated as sovereigns
- 0170PSEs NOT treated as a sovereign
- 0180Institutions
- 0190Secured by mortgages on immovable properties and ADC exposures
- 0200Of which: secured by mortgages of residential properties
- 0210Retail Exposures
- 0220Of which: retail SME
- 0230Corporate
- 0240Financial
- 0250Non-financial
- 0260SME exposures
- 0270Corporate exposures other than SME
- 0280Exposures in default
- 0290Other exposures
- 0300Of which: securitisation exposures
- 0310Trade finance (Memo item)
- 0320Of which: under official export credit insurance scheme
Columns
- 0020Leverage Ratio Exposure Value: IRB Exposures
- 0040RWEAs: IRB exposures
A worked example
The first of its checks, with simple numbers.
Regional governments and local authorities treated as sovereigns, leverage ratio exposure value: IRB exposures 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_43.00.c,r0110,c0020,} >= 0The next five:
{C_43.00.c,r0320,c0040,} >= 0{C_43.00.c,r0150,c0020,} >= 0{C_43.00.c,r0240,c0040,} >= 0{C_43.00.c,r0190,c0040,} >= 0{C_43.00.c,r0220,c0020,} >= 0And 44 more, the same formula for the other cells it covers.
Other rules on C 43.00.c
- The absolute value of retail exposures cannot be less than the absolute value of retail SME (v5900_h)Blocking
- Non-financial must equal SME exposures plus corporate exposures other than SME (v5901_h)Warning
- Under official export credit insurance scheme cannot be more than trade finance (Memo item) (v0719_m)Warning
- Securitisation exposures cannot be more than other exposures (v0718_m)Warning
- Non-financial must equal SME exposures plus corporate exposures other than SME (v0717_m)Warning
- Corporate must equal financial plus non-financial (v0716_m)Warning
- Retail SME cannot be more than retail exposures (v0715_m)Warning
- Secured by mortgages of residential properties cannot be more than secured by mortgages on immovable properties and ADC exposures (v0714_m)Warning
Every COREP LR rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.