The rule in plain words
Long plus short must equal these six added up:
- Sec-IRBA
- Sec-SA
- Sec-erba
- Internal assessment approach
- Specific treatment for senior tranches of qualifying NPE securitisations
- Other (RW=1250%)
EBA checks it for four rows: total exposures, originator: total exposures, investor: total exposures and sponsor: total exposures. That makes four 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, Long + ORIGINATOR: TOTAL EXPOSURES, Short = ORIGINATOR: TOTAL EXPOSURES, SEC-IRBA + ORIGINATOR: TOTAL EXPOSURES, SEC-SA + ORIGINATOR: TOTAL EXPOSURES, SEC-ERBA + ORIGINATOR: TOTAL EXPOSURES, INTERNAL ASSESSMENT APPROACH + ORIGINATOR: TOTAL EXPOSURES, SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS + ORIGINATOR: TOTAL EXPOSURES, OTHER (RW=1250%)
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 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
- 0030ORIGINATOR: TOTAL EXPOSURES
- 0060INVESTOR: TOTAL EXPOSURES
- 0090SPONSOR: TOTAL EXPOSURES
Columns
- 0050Long
- 0060Short
- 0402SEC-IRBA
- 0403SEC-SA
- 0404SEC-ERBA
- 0405INTERNAL ASSESSMENT APPROACH
- 0406OTHER (RW=1250%)
- 0900SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS
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,c0050,} + {C_19.00,r0030,c0060,} = {C_19.00,r0030,c0402,} + {C_19.00,r0030,c0403,} + {C_19.00,r0030,c0404,} + {C_19.00,r0030,c0405,} + {C_19.00,r0030,c0900,} + {C_19.00,r0030,c0406,}The next three:
{C_19.00,r0090,c0050,} + {C_19.00,r0090,c0060,} = {C_19.00,r0090,c0402,} + {C_19.00,r0090,c0403,} + {C_19.00,r0090,c0404,} + {C_19.00,r0090,c0405,} + {C_19.00,r0090,c0900,} + {C_19.00,r0090,c0406,}{C_19.00,r0010,c0050,} + {C_19.00,r0010,c0060,} = {C_19.00,r0010,c0402,} + {C_19.00,r0010,c0403,} + {C_19.00,r0010,c0404,} + {C_19.00,r0010,c0405,} + {C_19.00,r0010,c0900,} + {C_19.00,r0010,c0406,}{C_19.00,r0060,c0050,} + {C_19.00,r0060,c0060,} = {C_19.00,r0060,c0402,} + {C_19.00,r0060,c0403,} + {C_19.00,r0060,c0404,} + {C_19.00,r0060,c0405,} + {C_19.00,r0060,c0900,} + {C_19.00,r0060,c0406,}Other rules on C 19.00
- Sponsor: total exposures must equal re-securitisations plus securitisations (v5846_h)Warning
- Investor: total exposures must equal re-securitisations plus securitisations (v5845_h)Warning
- Originator: total exposures must equal re-securitisations plus securitisations (v5844_h)Warning
- Short must equal the sum of its 18 parts (v4842_m)Warning
- Long must equal the sum of its 18 parts (v4841_m)Warning
- Before cap cannot be less than after cap (v4832_m)Warning
- Re-securitisations must equal the sum of its three parts (v4827_m)Warning
- None of the 14 values it checks in market risk: standardised approach for specific risk in securitisations can be negative (v3772_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.