The rule in plain words
Synthetic securitisations cannot be negative.
EBA checks it for 52 rows, from total exposures (0010) to re-securitisations (0430). That makes 52 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.
OF WHICH: SYNTHETIC SECURITISATIONS: OF WHICH: SENIOR EXPOSURES >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 13.01 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
(CR sec) credit risk: securitisations (C 13.01)
Rows
- 0010TOTAL EXPOSURES
- 0020SECURITISATIONS
- 0030QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0050GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS
- 0051SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS
- 0060NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0070RE-SECURITISATIONS
- 0080ORIGINATOR: TOTAL EXPOSURES
- 0090SECURITISATIONS: ON-BALANCE SHEET ITEMS
- 0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0121EXPOSURES IN NON-NPE SECURITISATIONS
- 0131OF WHICH: SENIOR EXPOSURES
- 0133EXPOSURES IN NPE SECURITISATIONS
- 0134OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0135OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0136OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0140SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
- 0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0160OF WHICH: SENIOR EXPOSURES
- 0170NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0180OF WHICH: SENIOR EXPOSURES
- 0190RE-SECURITISATIONS
- 0200INVESTOR: TOTAL EXPOSURES
- 0210SECURITISATIONS: ON-BALANCE SHEET ITEMS
- 0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0241EXPOSURES IN NON-NPE SECURITISATIONS
- 0251OF WHICH: SENIOR EXPOSURES
- 0253EXPOSURES IN NPE SECURITISATIONS
- 0254OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0255OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0256OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
- 0260SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
- 0270QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0280OF WHICH: SENIOR EXPOSURES
- 0290NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
- 0300OF WHICH: SENIOR EXPOSURES
- 0310RE-SECURITISATIONS
- 0320SPONSOR: TOTAL EXPOSURES
- 0330SECURITISATIONS: ON-BALANCE SHEET ITEMS
- 0360NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
And 12 more.
Column
- 0860OF WHICH: SYNTHETIC SECURITISATIONS
A worked example
The first of its checks, with simple numbers.
Senior exposures, synthetic securitisations must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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,r0420,c0860,} >= 0The next five:
{C_13.01,r0180,c0860,} >= 0{C_13.01,r0190,c0860,} >= 0{C_13.01,r0120,c0860,} >= 0{C_13.01,r0375,c0860,} >= 0{C_13.01,r0390,c0860,} >= 0And 46 more, the same formula for the other cells it covers.
Other rules on C 13.01
- None of the 56 values it checks in (CR sec) credit risk: securitisations can be negative (v7674_s)Warning
- Each of the 100 values it checks in (CR sec) credit risk: securitisations cannot be more than zero (v7671_s)Warning
- None of the 50 values it checks in (CR sec) credit risk: securitisations can be negative (v7749_s)Warning
- None of the 171 values it checks in (CR sec) credit risk: securitisations can be negative (v7750_s)Warning
- Deducted from own funds cannot be more than zero (v7752_s)Warning
- Breakdown of outstanding positions according to CQS at inception: long term: sec-erba must equal the sum of its six parts (v7434_m)Warning
- The absolute value of sec-SA cannot be less than the absolute value of RW=1250% (w unknown) (v7433_m)Warning
- Exposures in NPE securitisations: the absolute value of sec-IRBA cannot be less than the absolute value of sec-IRBA calculated under article 255 (4) (purchased receivables) (v7432_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.