The rule in plain words
None of the values it checks in detailed information on securitisations can be negative.
EBA checks it for 29 columns, from % of retention at reporting date (0090) to risk transfer claimed by originator institution (%) (0304). That makes 29 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.
AMOUNT: AMOUNT >= 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 14.00 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
Detailed information on securitisations (C 14.00)
Columns
- 0090% OF RETENTION AT REPORTING DATE
- 0130TOTAL AMOUNT OF SECURITISED EXPOSURES AT ORIGINATION DATE
- 0140TOTAL AMOUNT
- 0150INSTITUTION'S SHARE (%)
- 0201LGD (%)
- 0202EL (%)
- 0203UL (%)
- 0204EXPOSURE-WEIGHTED AVERAGE MATURITY OF ASSETS
- 0221OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Kirb
- 0222% OF RETAIL EXPOSURES IN IRB POOLS
- 0223OWN FUNDS REQUIREMENTS BEFORE SECURITISATION (%) Ksa
- 0230AMOUNT
- 0231ATTACHMENT POINT (%)
- 0240AMOUNT
- 0241NUMBER OF TRANCHES
- 0250AMOUNT
- 0251DETACHMENT POINT (%)
- 0254AMOUNT
- 0255OF WHICH: NON-REFUNDABLE PURCHASE PRICE DISCOUNT
- 0260AMOUNT
- 0265ATTACHMENT POINT (%)
- 0270AMOUNT
- 0275NUMBER OF TRANCHES
- 0280AMOUNT
- 0285DETACHMENT POINT (%)
- 0287SYNTHETIC EXCESS SPREAD
- 0302ATTACHMENT POINT OF RISK SOLD (%)
- 0303DETACHMENT POINT OF RISK SOLD (%)
- 0304RISK TRANSFER CLAIMED BY ORIGINATOR INSTITUTION (%)
A worked example
The first of its checks, with simple numbers.
Amount must then be at least 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_14.00,,c0254,} >= 0The next five:
{C_14.00,,c0090,} >= 0{C_14.00,,c0251,} >= 0{C_14.00,,c0270,} >= 0{C_14.00,,c0130,} >= 0{C_14.00,,c0240,} >= 0And 23 more, the same formula for the other cells it covers.
Other rules on C 14.00
- LGD cannot be more than 1 (v4796_m)Warning
- The absolute value of value adjustments and provisions cannot be more than total amount (v4797_m)Warning
- Own funds requirements before securitisation Kirb cannot be more than 1 (v4798_m)Warning
- Value adjustments and provisions cannot be more than zero (v2054_s)Warning
- Origination date cannot be more than date of latest issuance (v7339_m)Not run yet
- The absolute value of value adjustments and provisions must be less than total amount (v7340_m)Warning
- Institution's share cannot be more than 1 (v7341_m)Warning
- % of IRB in approach applied cannot be more than 1 (v7342_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.