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 34 columns, from original exposure pre conversion factors (0020) to number of obligors (0300). And for two rows: mandate-based approach and fall-back approach. That makes 68 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.
Exposure-weighted average maturity value (days): Mandate-based approach 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 08.02 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: IRB approach to capital requirements - TOTAL (C 08.01.a)
Rows
- 0200Mandate-based approach
- 0210Fall-back approach
Columns
- 0020Original exposure pre conversion factors
- 0030Of which: large financial sector entities and unregulated financial entities
- 0040(-) Guarantees
- 0050(-) Credit derivatives
- 0060(-) Other funded credit protection
- 0070(-) Total outflows
- 0080Total inflows (+)
- 0101MODELLED CONVERSION FACTORS
- 01020%
- 010310%
- 010420%
- 010540%
- 010650%
- 0107100%
- 0140Of which: large financial sector entities and unregulated financial entities
- 0150Guarantees
- 0160Credit derivatives
- 0170Own estimates of LGD's are used: other funded credit protection
- 0171Cash on deposit
- 0172Life insurance policies
- 0173Instruments held by a third party
- 0180Eligible financial collateral
- 0190Real estate
- 0200Other physical collateral
- 0210Receivables
- 0230Exposure weighted average lgd (%)
- 0240Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities
- 0250Exposure-weighted average maturity value (days)
- 0255Risk weighted exposure amount pre supporting factors
- 0260Risk weighted exposure amount after supporting factor
- 0270Of which: large financial sector entities and unregulated financial entities
- 0280Expected loss amount
- 0290(-) value adjustments and provisions
- 0300Number of obligors
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_08.01.a,r0200,c0250,})The next five:
empty({C_08.01.a,r0200,c0255,})empty({C_08.01.a,r0200,c0080,})empty({C_08.01.a,r0210,c0101,})empty({C_08.01.a,r0210,c0102,})empty({C_08.01.a,r0210,c0020,})And 62 more, the same formula for the other cells it covers.
Other rules on C 08.01.a
- Total exposures cannot be less than exposures subject to infrastructure projects supporting factor (v09748_m)Warning
- Total exposures cannot be more than exposures subject to infrastructure projects supporting factor (v09749_m)Warning
- Exposures assigned to obligor grades or pools: total must equal original exposure conversion factors (v9999_m)Not run yet
- Internal rating scale, PD assigned to the obligor grade or pool cannot be more than 1 (v6299_m)Warning
- Exposure weighted average LGD for large financial sector entities and unregulated financial entities cannot be more than 1 (v4822_m)Warning
- Exposure weighted average lgd cannot be more than 1 (v4820_m)Warning
- Total exposures, risk weighted exposure amount pre supporting factors must equal the sum of its seven parts (v4770_m)Not run yet
- The absolute value of guarantees plus the absolute value of credit derivatives plus the absolute value of other funded credit protection cannot be more than original exposure pre conversion factors (v4756_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.