The rule in plain words
Sec-SA must equal these four added up:
- >50% to 100% RW
- >100% to 1250% RW
- 1250% RW (w unknown)
- 1250% RW (other)
EBA checks it for two rows: exposures in NPE securitisations (0253) and exposures in NPE securitisations (0373). That makes two 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.
EXPOSURES IN NPE SECURITISATIONS, SEC-SA = EXPOSURES IN NPE SECURITISATIONS, >50% TO 100% RW + EXPOSURES IN NPE SECURITISATIONS, >100% TO 1250% RW + EXPOSURES IN NPE SECURITISATIONS, 1250% RW (W UNKNOWN) + EXPOSURES IN NPE SECURITISATIONS, 1250% RW (OTHER)
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 13.01 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
(CR sec) credit risk: securitisations (C 13.01)
Rows
- 0253EXPOSURES IN NPE SECURITISATIONS
- 0373EXPOSURES IN NPE SECURITISATIONS
Columns
- 0280SEC-SA
- 0310>50% TO 100% RW
- 0320>100% TO 1250% RW
- 03301250% RW (W UNKNOWN)
- 03401250% RW (OTHER)
A worked example
The first of its checks, with simple numbers.
Sec-SA must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_13.01,r0253,c0280,} = {C_13.01,r0253,c0310,} + {C_13.01,r0253,c0320,} + {C_13.01,r0253,c0330,} + {C_13.01,r0253,c0340,}The next one:
{C_13.01,r0373,c0280,} = {C_13.01,r0373,c0310,} + {C_13.01,r0373,c0320,} + {C_13.01,r0373,c0330,} + {C_13.01,r0373,c0340,}Other rules on C 13.01
- Sec-IRBA must equal the sum of its four parts (v11512_m)Warning
- Breakdown by reasons for application of sec-erba: a lower-limit check on (CR sec) credit risk: securitisations (row 0133, v11891_m)Warning
- Breakdown by reasons for application of sec-erba: a lower-limit check on (CR sec) credit risk: securitisations (row 0253, v11892_m)Warning
- Credit risk mitigation (CRM) techniques with substitution effects on the exposure: a lower-limit check on (CR sec) credit risk: securitisations (v11893_m)Warning
- None of the 3,969 values it checks in (CR sec) credit risk: securitisations can be negative (v10329_s)Warning
- Deducted from own funds cannot be more than zero (v7752_s)Warning
- None of the 171 values it checks in (CR sec) credit risk: securitisations can be negative (v7750_s)Warning
- None of the 50 values it checks in (CR sec) credit risk: securitisations can be negative (v7749_s)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.