The rule in plain words
Each of the cells it checks in credit and counterparty credit risks and free deliveries must be left empty.
EBA checks it for 15 columns, from original exposure pre conversion factors (0010) to with a credit assessment by a nominated ECAI (0230). And for 19 rows, from 2% (0150) to other risk weights (0280). That makes 285 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.
(-) Value adjustments and provision associated with the original exposure: 1250% is empty
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Remove the value from this cell. A 0 is a value too, so leave the cell out of the file altogether.
- 03It runs only when your filing indicators mark C 07.00 as reported.
- 04This 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
- 01502%
- 01604%
- 017010%
- 018530%
- 019035%
- 019540%
- 019645%
- 020560%
- 022075%
- 022580%
- 022690%
- 0231105%
- 0232110%
- 0235130%
- 0250250%
- 0260370%
- 0265400%
- 02701250%
- 0280Other risk weights
Columns
- 0010Original exposure pre conversion factors
- 0030(-) Value adjustments and provision associated with the original exposure
- 0040Exposure net of value adjustments and provisions
- 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
- 0230Of which: with a credit assessment by a nominated ECAI
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}.
empty({C_07.00.a,r0270,c0030,})The next five:
empty({C_07.00.a,r0220,c0175,})empty({C_07.00.a,r0150,c0150,})empty({C_07.00.a,r0150,c0040,})empty({C_07.00.a,r0225,c0180,})empty({C_07.00.a,r0196,c0150,})And 279 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Fully adjusted exposure value (E*) must equal the sum of its seven parts (v6364_m)Warning
- Risk weighted exposure amount after supporting factors and after FX-mismatch: secured by mortgages on immovable property and ADC exposures must equal total exposures (v6126_q)Not run yet
- Risk weighted exposure amount pre supporting factors and pre FX-mismatch: secured by mortgages on immovable property and ADC exposures must equal total exposures (v6125_q)Not run yet
- Exposure value: secured by mortgages on immovable property and ADC exposures must equal total exposures (v6124_q)Not run yet
- Secured by mortgages on immovable property and ADC exposures must equal total exposures (v6123_q)Not run yet
- Total exposures: risk weighted exposure amount after supporting factors and after FX-mismatch in C 09.01.a must equal risk weighted exposure amount after supporting factors and after FX-mismatch in C 07.00.a (v5816_q)Not run yet
- Total exposures: risk weighted exposure amount pre supporting factors and pre FX-mismatch in C 09.01.a must equal risk weighted exposure amount pre supporting factors and pre FX-mismatch in C 07.00.a (v5815_q)Not run yet
- Total exposures: exposure value in C 09.01.a must equal exposure value in C 07.00.a (v5814_q)Not run yet
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.