The rule in plain words
None of the values it checks in transfers between impairment stages (gross basis presentation) can be negative.
EBA checks it for six columns: to Stage 2 from Stage 1, to Stage 1 from Stage 2, to Stage 3 from Stage 2, to Stage 2 from Stage 3, to Stage 3 from Stage 1 and to Stage 1 from Stage 3. And for 15 rows, from debt securities (0010) to commitments and financial guarantees given (0150). That makes 90 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.
To Stage 3 from Stage 2: Loans and advances >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark F 12.02 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
Transfers between impairment stages (gross basis presentation) (F 12.02)
Rows
- 0010Debt securities
- 0020Central banks
- 0030General governments
- 0040Credit institutions
- 0050Other financial corporations
- 0060Non-financial corporations
- 0070Loans and advances
- 0080Central banks
- 0090General governments
- 0100Credit institutions
- 0110Other financial corporations
- 0120Non-financial corporations
- 0130Households
- 0140Total debt instruments
- 0150Commitments and financial guarantees given
Columns
- 0010To Stage 2 from Stage 1
- 0020To Stage 1 from Stage 2
- 0030To Stage 3 from Stage 2
- 0040To Stage 2 from Stage 3
- 0050To Stage 3 from Stage 1
- 0060To Stage 1 from Stage 3
A worked example
The first of its checks, with simple numbers.
Loans and advances, to Stage 3 from Stage 2 must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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}.
{F_12.02,r0070,c0030,} >= 0The next five:
{F_12.02,r0070,c0060,} >= 0{F_12.02,r0100,c0060,} >= 0{F_12.02,r0010,c0020,} >= 0{F_12.02,r0060,c0050,} >= 0{F_12.02,r0050,c0020,} >= 0And 84 more, the same formula for the other cells it covers.
Other rules on F 12.02
- Transfers between Stage 2 and Stage 3: total debt instruments must equal debt securities plus loans and advances (v5720_m)Warning
- Loans and advances must equal the sum of its six parts (v5058_m)Blocking
- Debt securities must equal the sum of its five parts (v5057_m)Blocking
- Transfers between Stage 1 and Stage 3: total debt instruments must equal debt securities plus loans and advances (v903640_h)Warning
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.