The rule in plain words
Defaulted exposures in exposure classes 'CIUs' and ‘equity exposures’ must be left empty.
EBA checks it for 24 columns, from original exposure pre conversion factors (0010) to risk weighted exposure amount after supporting factors and after FX-mismatch (0220). That makes 24 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 PRE SUPPORTING FACTORS AND PRE FX-MISMATCH: Of which: Defaulted exposures in exposure classes 'CIUs' and ‘equity exposures’ is empty
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Remove the value from this cell. A 0 is a value too, so leave the cell out of the file altogether.
- 03It runs only when your filing indicators mark C 07.00 as reported.
- 04This 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 and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Row
- 0015of which: Defaulted exposures in exposure classes 'CIUs' and ‘equity exposures’
Columns
- 0010Original exposure pre conversion factors
- 0030(-) Value adjustments and provision associated with the original exposure
- 0040Exposure net of value adjustments and provisions
- 0050(-) Guarantees
- 0060(-) Credit derivatives
- 0070(-) Financial collateral: simple method
- 0080(-) Other funded credit protection
- 0090(-) Total Outflows
- 0100Total Inflows (+)
- 0110Net exposure after CRM substitution effects pre conversion factors
- 0120Volatility adjustment to the exposure
- 0130(-) Financial collateral: adjusted value (Cvam)
- 0140(-) of which: Volatility and maturity adjustments
- 0150Fully adjusted exposure value (E*)
- 01600%
- 016510%
- 017020%
- 017540%
- 018050%
- 0190100%
- 0195Transitional arrangements for UCCs
- 0200Exposure value
- 0215RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
- 0220RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS AND AFTER FX-MISMATCH
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}.
empty({C_07.00.a,r0015,c0215,})The next five:
empty({C_07.00.a,r0015,c0070,})empty({C_07.00.a,r0015,c0100,})empty({C_07.00.a,r0015,c0150,})empty({C_07.00.a,r0015,c0050,})empty({C_07.00.a,r0015,c0080,})And 18 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Defaulted exposures in exposure classes 'CIUs' and equity exposures cannot be more than total exposures (v4728_m)Warning
- Fully adjusted exposure value (E*) cannot be less than the sum of seven columns (v4748_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.04 times exposure value (v4751_m)Warning
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 3.7 times exposure value (v4752_m)Warning
- With a credit assessment by a nominated ECAI cannot be more than risk weighted exposure amount after supporting factors and after FX-mismatch (v4753_m)Warning
- The absolute value of total outflows cannot be more than exposure net of value adjustments and provisions (v4755_m)Warning
- Each of the 36 cells it checks in credit and counterparty credit risks and free deliveries must be left empty (e4891_n)Warning
- Each of the 270 cells it checks in credit and counterparty credit risks and free deliveries must be left empty (e4892_n)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.