The rule in plain words
Total amount cannot be more than these three added up, all for amount:
- Senior
- Mezzanine
- First loss
The template it checks
Detailed information on securitisations (C 14.00)
Columns
- 0140TOTAL AMOUNT
- 0230AMOUNT
- 0240AMOUNT
- 0250AMOUNT
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_14.00,,c0140,} <= {C_14.00,,c0230,} + {C_14.00,,c0240,} + {C_14.00,,c0250,}Other rules on C 14.00
- Own funds requirements before securitisation Ksa must be between 0 and 1 (v7348_m)Warning
- Attachment point must be between 0 and 1 (column 0231, v7350_m)Warning
- Detachment point cannot be more than attachment point (v7351_m)Warning
- Ul must be less than 1 (v7346_m)Warning
- El must be less than 1 (v7345_m)Warning
- Date of latest issuance must be less than first foreseeable termination date (v7353_m)Not run yet
- Exposures in default w cannot be more than 1 (v7343_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.
