The rule in plain words
Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 3.7 times exposure value.
All the values are in the 370% row (0260) of C 07.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
370%, RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH = 3.7 × 370%, Exposure value
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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)
Row
- 0260370%
Columns
- 0200Exposure value
- 0215RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS AND PRE FX-MISMATCH
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_07.00.a,r0260,c0215,} = {C_07.00.a,r0260,c0200,} * 3.7Other rules on C 07.00.a
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch must equal 0.04 times exposure value (v4751_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
- Fully adjusted exposure value (E*) cannot be less than the sum of seven columns (v4748_m)Warning
- Defaulted exposures in exposure classes 'CIUs' and equity exposures cannot be more than total exposures (v4728_m)Warning
- Defaulted exposures in exposure classes 'CIUs' and equity exposures must be left empty (v4721_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.