The rule in plain words
Before cap cannot be less than after cap.
EBA checks it for 14 rows, from total exposures (0010) to re-securitisations (0110). That makes 14 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.
ORIGINATOR: TOTAL EXPOSURES, BEFORE CAP >= ORIGINATOR: TOTAL EXPOSURES, AFTER CAP
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 19.00 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
Market risk: standardised approach for specific risk in securitisations (C 19.00)
Rows
- 0010TOTAL EXPOSURES
- 0020Of which: RE-SECURITISATIONS
- 0030ORIGINATOR: TOTAL EXPOSURES
- 0040SECURITISATIONS
- 0041OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0050RE-SECURITISATIONS
- 0060INVESTOR: TOTAL EXPOSURES
- 0070SECURITISATIONS
- 0071OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0080RE-SECURITISATIONS
- 0090SPONSOR: TOTAL EXPOSURES
- 0100SECURITISATIONS
- 0101OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0110RE-SECURITISATIONS
Columns
- 0570BEFORE CAP
- 0601AFTER CAP
A worked example
The first of its checks, with simple numbers.
After cap can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 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_19.00,r0030,c0570,} >= {C_19.00,r0030,c0601,}The next five:
{C_19.00,r0040,c0570,} >= {C_19.00,r0040,c0601,}{C_19.00,r0060,c0570,} >= {C_19.00,r0060,c0601,}{C_19.00,r0080,c0570,} >= {C_19.00,r0080,c0601,}{C_19.00,r0050,c0570,} >= {C_19.00,r0050,c0601,}{C_19.00,r0101,c0570,} >= {C_19.00,r0101,c0601,}And 8 more, the same formula for the other cells it covers.
Other rules on C 19.00
- Re-securitisations must equal the sum of its three parts (v4827_m)Warning
- Long must equal the sum of its 18 parts (v4841_m)Warning
- Short must equal the sum of its 18 parts (v4842_m)Warning
- Originator: total exposures must equal re-securitisations plus securitisations (v5844_h)Warning
- Investor: total exposures must equal re-securitisations plus securitisations (v5845_h)Warning
- Sponsor: total exposures must equal re-securitisations plus securitisations (v5846_h)Warning
- None of the 14 values it checks in market risk: standardised approach for specific risk in securitisations can be negative (v3772_s)Warning
- None of the 672 values it checks in market risk: standardised approach for specific risk in securitisations can be negative (v3770_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.