The rule in plain words
For investor: total exposures: securitisations: on-balance sheet items must equal securitisations: on-balance sheet items qualifying for differentiated capital treatment plus not qualifying for differentiated capital treatment.
EBA checks it for 92 columns, from original exposure pre conversion factors (0050) to specific treatment of senior tranches in qualifying NPE securitisations (0960). That makes 92 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.
CQS 2: SECURITISATIONS: ON-BALANCE SHEET ITEMS = QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT + NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 13.01 as reported.
- 06This 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
(CR sec) credit risk: securitisations (C 13.01)
Rows
- 0210SECURITISATIONS: ON-BALANCE SHEET ITEMS
- 0220QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
Columns
- 0050ORIGINAL EXPOSURE PRE CONVERSION FACTORS
- 0060(-) VALUE ADJUSTMENTS AND PROVISIONS
- 0070EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
- 0080(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
- 0090(-) FUNDED CREDIT PROTECTION
- 0100(-) TOTAL OUTFLOWS
- 0110TOTAL INFLOWS
- 0120NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
- 0130(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METH
- 0140FULLY ADJUSTED EXPOSURE VALUE (E*)
- 0180EXPOSURE VALUE
- 0190(-) DEDUCTED FROM OWN FUNDS
- 0200SUBJECT TO RISK WEIGHTS
- 0210SEC-IRBA
- 0220<=20% RW
- 0230>20% TO 50% RW
- 0240>50% TO 100% RW
- 0250>100% TO 1250% RW
- 02601250% RW
- 0270OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)
- 0280SEC-SA
- 0290<=20% RW
- 0300>20% TO 50% RW
- 0310>50% TO 100% RW
- 0320>100% TO 1250% RW
- 03301250% RW (W UNKNOWN)
- 03401250% RW (OTHER)
- 0350SEC-ERBA
- 0360CQS 1
- 0370CQS 2
- 0380CQS 3
- 0390ALL OTHER CQS
- 0400CQS 1
- 0410CQS 2
- 0420CQS 3
- 0430CQS 4
- 0440CQS 5
- 0450CQS 6
- 0460CQS 7
- 0470CQS 8
And 52 more.
A worked example
The first of its checks, with simple numbers.
Securitisations: on-balance sheet items must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 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_13.01,r0210,c0410,} = {C_13.01,r0220,c0410,} + {C_13.01,r0240,c0410,}The next five:
{C_13.01,r0210,c0640,} = {C_13.01,r0220,c0640,} + {C_13.01,r0240,c0640,}{C_13.01,r0210,c0650,} = {C_13.01,r0220,c0650,} + {C_13.01,r0240,c0650,}{C_13.01,r0210,c0630,} = {C_13.01,r0220,c0630,} + {C_13.01,r0240,c0630,}{C_13.01,r0210,c0740,} = {C_13.01,r0220,c0740,} + {C_13.01,r0240,c0740,}{C_13.01,r0210,c0770,} = {C_13.01,r0220,c0770,} + {C_13.01,r0240,c0770,}And 86 more, the same formula for the other cells it covers.
Other rules on C 13.01
- 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
- Long term credit quality steps: the absolute value of securitisations: on-balance sheet items qualifying for differentiated capital treatment cannot be less than the absolute value of senior exposures (v7411_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
- Sec-erba: the absolute value of exposures in non-NPE securitisations cannot be less than the absolute value of senior exposures (v7412_m)Warning
- Originator: total exposures: securitisations: off-balance sheet items and derivatives must equal the sum of its two parts (v7407_m)Warning
- Investor: total exposures: securitisations: off-balance sheet items and derivatives must equal the sum of its two parts (v7413_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
- Breakdown by reasons for application of sec-erba: 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 (v7414_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.