The rule in plain words
Each of the values it checks in (CR sec) credit risk: securitisations cannot be more than zero.
EBA checks it for nine columns, from (-) value adjustments and provisions (0060) to (-) reduction due to overall cap (0923). And for 59 rows, from total exposures (0010) to re-securitisations (0430). That makes 531 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.
(-) REDUCTION DUE TO OVERALL CAP: EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS <= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 13.01 as reported.
- 05This 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
- 0010TOTAL EXPOSURES
- 0020SECURITISATIONS
- 0030QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0040EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS
- 0050GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS
- 0051SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS
- 0060NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0070RE-SECURITISATIONS
- 0080ORIGINATOR: TOTAL EXPOSURES
- 0090SECURITISATIONS: ON-BALANCE SHEET ITEMS
- 0100QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0110OF WHICH: SENIOR EXPOSURES
- 0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0121EXPOSURES IN NON-NPE SECURITISATIONS
- 0131OF WHICH: SENIOR EXPOSURES
- 0133EXPOSURES IN NPE SECURITISATIONS
- 0134OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0135OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0136OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0140SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
- 0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0160OF WHICH: SENIOR EXPOSURES
- 0170NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0180OF WHICH: SENIOR EXPOSURES
- 0190RE-SECURITISATIONS
- 0200INVESTOR: TOTAL EXPOSURES
- 0210SECURITISATIONS: ON-BALANCE SHEET ITEMS
- 0220QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0230OF WHICH: SENIOR EXPOSURES
- 0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0241EXPOSURES IN NON-NPE SECURITISATIONS
- 0251OF WHICH: SENIOR EXPOSURES
- 0253EXPOSURES IN NPE SECURITISATIONS
- 0254OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0255OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0256OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0260SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
- 0270QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0280OF WHICH: SENIOR EXPOSURES
- 0290NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
And 19 more.
Columns
- 0060(-) VALUE ADJUSTMENTS AND PROVISIONS
- 0080(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
- 0090(-) FUNDED CREDIT PROTECTION
- 0100(-) TOTAL OUTFLOWS
- 0130(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METH
- 0900(-) REDUCTION DUE TO RISK WEIGHT CAP
- 0910(-) REDUCTION DUE TO OVERALL CAP
- 0922(-) REDUCTION DUE TO RISK WEIGHT CAP
- 0923(-) REDUCTION DUE TO OVERALL CAP
A worked example
The first of its checks, with simple numbers.
Exposures in STS ABCP and non-ABCP traditional securitisations, (-) reduction due to overall cap can then be at most 0.
A file that reports 0 passes. One that reports 100 fails, by 100.
The numbers are illustrative.
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,r0040,c0910,} <= 0The next five:
{C_13.01,r0241,c0090,} <= 0{C_13.01,r0400,c0922,} <= 0{C_13.01,r0050,c0080,} <= 0{C_13.01,r0133,c0910,} <= 0{C_13.01,r0010,c0130,} <= 0And 525 more, the same formula for the other cells it covers.
Other rules on C 13.01
- None of the 1,829 values it checks in (CR sec) credit risk: securitisations can be negative (v23159_s)Warning
- Qualifying for differentiated capital treatment: after cap must equal the sum of its three parts (v22984_m)Warning
- Exposure net of value adjustments and provisions must equal the sum of its two parts (v23332_m)Warning
- Risk-weighted exposure amount: not qualifying for differentiated capital treatment must equal the sum of its two parts (v23527_h)Warning
- Not qualifying for differentiated capital treatment must equal the sum of its two parts (v23528_h)Warning
- Credit risk mitigation (CRM) techniques with substitution effects on the exposure: not qualifying for differentiated capital treatment must equal the sum of its two parts (v23529_h)Warning
- Total exposures must equal re-securitisations plus securitisations (v23729_h)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
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.