The rule in plain words
Own funds requirement for securitisation instruments, own funds requirements must be left empty.
EBA checks it on 22 sheets, from euro (0002) to other (0025). That makes 22 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.
Own funds requirements: Own funds requirement for securitisation instruments, Bulgarian Lev 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 18.00 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
Market risk: standardised approach for traded debt instruments (C 18.00)
Row
- 0325Own funds requirement for securitisation instruments
Column
- 0060Own funds requirements
Sheets
- 0002Euro
- 0003Lek
- 0004Bulgarian Lev
- 0005Czech Koruna
- 0006Danish Krone
- 0007Pound Sterling
- 0008Forint
- 0009Yen
- 0012Denar
- 0013Zloty
- 0014Romanian Leu
- 0015Russian Ruble
- 0016Serbian Dinar
- 0017Swedish Krona
- 0018Swiss Franc
- 0019Turkish Lira
- 0020Hryvnia
- 0021US Dollar
- 0022Iceland Krona
- 0023Norwegian Krone
- 0024Egyptian Pound
- 0025Other
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_18.00,r0325,c0060,s0004})The next five:
empty({C_18.00,r0325,c0060,s0016})empty({C_18.00,r0325,c0060,s0003})empty({C_18.00,r0325,c0060,s0022})empty({C_18.00,r0325,c0060,s0023})empty({C_18.00,r0325,c0060,s0012})And 16 more, the same formula for the other cells it covers.
Other rules on C 18.00
- Own funds requirement for the correlation trading portfolio, own funds requirements must be left empty (v7322_n)Blocking
- Specific risk: own funds requirements cannot be negative (v7780_m)Warning
- C 18.00 (sheet 0001) must equal the sum of its 22 parts (v6270_m)Warning
- A calculation check on market risk: standardised approach for traded debt instruments (v6019_m)Warning
- Duration-based approach must equal zone 1 plus zone 2 plus zone 3 (v4852_m)Warning
- Zone 3 must equal the sum of its eight parts (v4851_m)Warning
- Zone 2 must equal the sum of its three parts (v4850_m)Warning
- Zone 1 must equal the sum of its four parts (v4849_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.