The rule in plain words
Fully adjusted exposure value (E*) must equal these seven added up:
- 0%
- 10%
- 20%
- 40%
- 50%
- 100%
- Transitional arrangements for UCCs
All the values are in the off balance sheet exposures subject to credit risk row (0080) of C 07.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Off balance sheet exposures subject to credit risk, Fully adjusted exposure value (E*) = Off balance sheet exposures subject to credit risk, 0% + Off balance sheet exposures subject to credit risk, 10% + Off balance sheet exposures subject to credit risk, 20% + Off balance sheet exposures subject to credit risk, 40% + Off balance sheet exposures subject to credit risk, 50% + Off balance sheet exposures subject to credit risk, 100% + Off balance sheet exposures subject to credit risk, Transitional arrangements for UCCs
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong column, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 07.00 as reported.
- 06This 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
- 0080Off balance sheet exposures subject to credit risk
Columns
- 0150Fully adjusted exposure value (E*)
- 01600%
- 016510%
- 017020%
- 017540%
- 018050%
- 0190100%
- 0195Transitional arrangements for UCCs
A worked example
The first of its checks, with simple numbers.
Fully adjusted exposure value (E*) must then be 3,060.
A file that reports 3,060 passes. One that reports 3,160 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. Cells are written as {template, row, column, sheet}.
{C_07.00.a,r0080,c0150,} = {C_07.00.a,r0080,c0160,} + {C_07.00.a,r0080,c0165,} + {C_07.00.a,r0080,c0170,} + {C_07.00.a,r0080,c0175,} + {C_07.00.a,r0080,c0180,} + {C_07.00.a,r0080,c0190,} + {C_07.00.a,r0080,c0195,}Other rules on C 07.00.a
- Each of the 285 cells it checks in credit and counterparty credit risks and free deliveries must be left empty (v6291_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.