The rule in plain words
Defaulted exposures in exposure classes 'CIUs' and ‘equity exposures’ cannot be more than total exposures.
EBA checks it for 16 columns, from original exposure pre conversion factors (0010) to risk weighted exposure amount after supporting factors and after FX-mismatch (0220). That makes 16 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.
Original exposure pre conversion factors: Of which: Defaulted exposures in exposure classes 'CIUs' and ‘equity exposures’ <= TOTAL EXPOSURES
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 07.00 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Rows
- 0010TOTAL EXPOSURES
- 0015of which: Defaulted exposures in exposure classes 'CIUs' and ‘equity exposures’
Columns
- 0010Original exposure pre conversion factors
- 0040Exposure net of value adjustments and provisions
- 0100Total Inflows (+)
- 0110Net exposure after CRM substitution effects pre conversion factors
- 0120Volatility adjustment to the exposure
- 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}.
{C_07.00.a,r0015,c0010,} <= {C_07.00.a,r0010,c0010,}The next five:
{C_07.00.a,r0015,c0215,} <= {C_07.00.a,r0010,c0215,}{C_07.00.a,r0015,c0175,} <= {C_07.00.a,r0010,c0175,}{C_07.00.a,r0015,c0200,} <= {C_07.00.a,r0010,c0200,}{C_07.00.a,r0015,c0170,} <= {C_07.00.a,r0010,c0170,}{C_07.00.a,r0015,c0165,} <= {C_07.00.a,r0010,c0165,}And 10 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 must be left empty (v4721_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.