The rule in plain words
Original exposure pre conversion factors cannot be less than defaulted.
EBA checks it for 31 rows, from central governments or central banks (0010) to total exposures (0150). That makes 31 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.
Fall-back approach, ORIGINAL EXPOSURE PRE CONVERSION FACTORS >= Fall-back approach, Of which: defaulted
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 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 09.02 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
Geographical breakdown of exposures by residence of the obligor (IRB exposures) (C 09.02)
Rows
- 0010Central governments or central banks
- 0011Of which: Regional governments or local authorities
- 0012Regional governments or local authorities
- 0013Public sector entities
- 0020Institutions
- 0030Corporates
- 0050Of Which: SME
- 0051Of Which: Large Corporates
- 0052Specialised lending
- 0053Of Which: Specialised Lending - Project Finance
- 0054Of Which: Specialised Lending - Object Finance
- 0055Of Which: Specialised Lending - Commodities Finance
- 0056Of Which: Specialised Lending - IPRE
- 0057Purchased receivables
- 0058Other
- 0060Retail
- 0070Of which: Secured by immovable property
- 0080Of which: SME
- 0090Of which: Non-SME
- 0095Secured by residential real estate
- 0100Qualifying Revolving
- 0105Purchased receivables
- 0110Other Retail
- 0120Of which: SME
- 0130Of which Non-SME
- 0132Collective investments undertakings (CIU)
- 0133Look-through approach
- 0134Mandate-based approach
- 0135Fall-back approach
- 0140Equity
- 0150Total exposures
Columns
- 0010ORIGINAL EXPOSURE PRE CONVERSION FACTORS
- 0030Of which: defaulted
A worked example
The first of its checks, with simple numbers.
Defaulted can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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_09.02,r0135,c0010,} >= {C_09.02,r0135,c0030,}The next five:
{C_09.02,r0013,c0010,} >= {C_09.02,r0013,c0030,}{C_09.02,r0100,c0010,} >= {C_09.02,r0100,c0030,}{C_09.02,r0011,c0010,} >= {C_09.02,r0011,c0030,}{C_09.02,r0140,c0010,} >= {C_09.02,r0140,c0030,}{C_09.02,r0055,c0010,} >= {C_09.02,r0055,c0030,}And 25 more, the same formula for the other cells it covers.
Other rules on C 09.02
- Risk weighted exposure amount pre supporting factor cannot be less than defaulted (v4783_m)Warning
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v4785_m)Warning
- Retail secured by immovable property must equal the sum of its two parts (row 0070, v4782_m)Warning
- If credit risk adjustments or write-offs for observed new defaults is not zero, observed new defaults for the period cannot be zero (v4787_m)Warning
- Other retail cannot be less than SME plus non-SME other retail (v4779_m)Warning
- Retail cannot be less than retail secured by immovable property (row 0060, v4776_m)Warning
- Retail secured by immovable property must equal the sum of its two parts (row 0070, v5820_h)Warning
- Total exposures must equal the sum of its eight parts (v6052_m)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.