The rule in plain words
70% must be left empty.
EBA checks it for nine columns, from fully adjusted exposure value (E*) (0150) to with a credit assessment by a nominated ECAI (0230). That makes nine 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.
Fully adjusted exposure value (E*): 70% 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)
Row
- 021070%
Columns
- 0150Fully adjusted exposure value (E*)
- 01600%
- 017020%
- 018050%
- 0190100%
- 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,r0210,c0150,})The next five:
empty({C_07.00.a,r0210,c0215,})empty({C_07.00.a,r0210,c0160,})empty({C_07.00.a,r0210,c0200,})empty({C_07.00.a,r0210,c0170,})empty({C_07.00.a,r0210,c0220,})And 3 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Exposure value cannot be more than fully adjusted exposure value (E*) (v8726_m)Warning
- Total exposures cannot be less than exposures subject to infrastructure projects supporting factor (v09740_m)Warning
- Total exposures cannot be more than exposures subject to infrastructure projects supporting factor (v09741_m)Warning
- Total exposures must equal look-through approach plus mandate-based approach plus fall-back approach (v09743_m)Warning
- Fully adjusted exposure value (E*) must equal the sum of its seven parts (v6364_m)Warning
- 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
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.