The rule in plain words
If credit risk adjustments or write-offs for observed new defaults is not zero, observed new defaults for the period cannot be zero.
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.
If Qualifying Revolving, Credit risk adjustments/write-offs for observed new defaults != 0, then Qualifying Revolving, Observed new defaults for the period != 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The check applies only when its first part holds in your file. When it does, the second part must hold too: fix the second part, or correct the first.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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
- 0040Observed new defaults for the period
- 0070Credit risk adjustments/write-offs for observed new defaults
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}.
if ({C_09.02,r0100,c0070,} != 0) then ({C_09.02,r0100,c0040,} != 0) else TrueThe next five:
if ({C_09.02,r0056,c0070,} != 0) then ({C_09.02,r0056,c0040,} != 0) else Trueif ({C_09.02,r0010,c0070,} != 0) then ({C_09.02,r0010,c0040,} != 0) else Trueif ({C_09.02,r0135,c0070,} != 0) then ({C_09.02,r0135,c0040,} != 0) else Trueif ({C_09.02,r0053,c0070,} != 0) then ({C_09.02,r0053,c0040,} != 0) else Trueif ({C_09.02,r0057,c0070,} != 0) then ({C_09.02,r0057,c0040,} != 0) else TrueAnd 25 more, the same formula for the other cells it covers.
Other rules on C 09.02
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v4785_m)Warning
- Original exposure pre conversion factors cannot be less than defaulted (v4784_m)Warning
- Risk weighted exposure amount pre supporting factor cannot be less than defaulted (v4783_m)Warning
- Retail secured by immovable property must equal the sum of its two parts (row 0070, v4782_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.