The rule in plain words
Total exposures, (-) deducted from own funds must equal these six added up, all for (-) exposure value deducted from own funds:
- Internal ratings-based approach for securitisation positions (sec-IRBA)
- Internal assessment approach
- Specific treatment for senior tranches of qualifying NPE securitisations
- Standardised approach for securitisations (sec-SA)
- External ratings-based approach for securitisation positions (sec-erba)
- 1250% for positions not subject to any method
The template it checks
(CR sec) credit risk: securitisations (C 13.01)
Row
- 0010TOTAL EXPOSURES
Column
- 0190(-) DEDUCTED FROM OWN FUNDS
(CR sec details) Detailed information on securitisations by approach (C 14.01)
Column
- 0420(-) EXPOSURE VALUE DEDUCTED FROM OWN FUNDS
Sheets
- 0010Standardised approach for securitisations (SEC-SA)
- 0020External ratings-based approach for securitisation positions (SEC-ERBA)
- 0030Internal ratings-based approach for securitisation positions (SEC-IRBA)
- 00401250% for positions not subject to any method
- 0050Internal assessment approach
- 0060Specific treatment for senior tranches of qualifying NPE securitisations
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_14.01,,c0420,s0030},{C_14.01,,c0420,s0050},{C_14.01,,c0420,s0060},{C_14.01,,c0420,s0010},{C_14.01,,c0420,s0020},{C_14.01,,c0420,s0040}) = {C_13.01,r0010,c0190,}Other rules on C 13.01
- Securitisations must equal the sum of its two parts (v7402_m)Warning
- Securitisations qualifying for differentiated capital treatment must equal the sum of its three parts (v7403_m)Warning
- Originator: total exposures: securitisations: on-balance sheet items must equal the sum of its two parts (v7404_m)Warning
- The absolute value of securitisations: on-balance sheet items qualifying for differentiated capital treatment cannot be less than the absolute value of senior exposures (v7405_m)Warning
- Long term credit quality steps: the absolute value of exposures in non-NPE securitisations cannot be less than the absolute value of senior exposures (row 0121, v7406_m)Warning
- Originator: total exposures: securitisations: off-balance sheet items and derivatives must equal the sum of its two parts (v7407_m)Warning
- Long term credit quality steps: the absolute value of securitisations: off-balance sheet items and derivatives qualifying for differentiated capital treatment cannot be less than the absolute value of senior exposures (v7408_m)Warning
- Breakdown by RW bands: the absolute value of not qualifying for differentiated capital treatment cannot be less than the absolute value of senior exposures (row 0170, v7409_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.