Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Funded credit protection: total exposures must equal the sum of its five parts (C 08.01.a, EBA rule v0337_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 08.01.a, credit and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL.

Check your file against this ruleWhat to do if it fails

The rule in plain words

For funded credit protection: total exposures must equal these five added up:

  • On balance sheet items subject to credit risk
  • Off balance sheet items subject to credit risk
  • Securities financing transactions netting sets
  • Derivatives & long settlement transactions netting sets
  • From contractual cross product netting sets

EBA checks it for 17 columns, from exposure value (0110) to (-) value adjustments and provisions (0290). That makes 17 checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Eligible financial collateral: Total exposures = On balance sheet items subject to credit risk + Off balance sheet items subject to credit risk + Securities Financing Transactions netting sets + Derivatives & Long Settlement Transactions netting sets + From Contractual Cross Product netting sets

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Add up the parts in your file and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark C 08.01 as reported.
  6. 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

Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL (C 08.01.a)

Rows

  • 0010Total exposures
  • 0020On balance sheet items subject to credit risk
  • 0030Off balance sheet items subject to credit risk
  • 0040Securities Financing Transactions netting sets
  • 0050Derivatives & Long Settlement Transactions netting sets
  • 0060From Contractual Cross Product netting sets

Columns

  • 0110Exposure value
  • 0150Guarantees
  • 0160Credit derivatives
  • 0170Own estimates of LGD's are used: other funded credit protection
  • 0171Cash on deposit
  • 0172Life insurance policies
  • 0173Instruments held by a third party
  • 0180Eligible financial collateral
  • 0190Real estate
  • 0200Other physical collateral
  • 0210Receivables
  • 0255Risk weighted exposure amount pre supporting factors
  • 0256(-) Adjustment to risk-weighted exposure amount due to SME supporting factor
  • 0257(-) Adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor
  • 0260Risk weighted exposure amount after supporting factor
  • 0280Expected loss amount
  • 0290(-) value adjustments and provisions

A worked example

The first of its checks, with simple numbers.

Illustrative values
On balance sheet items subject to credit risk1,200
Off balance sheet items subject to credit risk800
Securities financing transactions netting sets450
Derivatives & long settlement transactions netting sets300
From contractual cross product netting sets150
Together2,900
What the rule then expects

Total exposures must then be 2,900.

2,900Passes
3,000Fails

A file that reports 2,900 passes. One that reports 3,000 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_08.01.a,r0010,c0180,} = {C_08.01.a,r0020,c0180,} + {C_08.01.a,r0030,c0180,} + {C_08.01.a,r0040,c0180,} + {C_08.01.a,r0050,c0180,} + {C_08.01.a,r0060,c0180,}

The next five:

{C_08.01.a,r0010,c0110,} = {C_08.01.a,r0020,c0110,} + {C_08.01.a,r0030,c0110,} + {C_08.01.a,r0040,c0110,} + {C_08.01.a,r0050,c0110,} + {C_08.01.a,r0060,c0110,}{C_08.01.a,r0010,c0173,} = {C_08.01.a,r0020,c0173,} + {C_08.01.a,r0030,c0173,} + {C_08.01.a,r0040,c0173,} + {C_08.01.a,r0050,c0173,} + {C_08.01.a,r0060,c0173,}{C_08.01.a,r0010,c0256,} = {C_08.01.a,r0020,c0256,} + {C_08.01.a,r0030,c0256,} + {C_08.01.a,r0040,c0256,} + {C_08.01.a,r0050,c0256,} + {C_08.01.a,r0060,c0256,}{C_08.01.a,r0010,c0150,} = {C_08.01.a,r0020,c0150,} + {C_08.01.a,r0030,c0150,} + {C_08.01.a,r0040,c0150,} + {C_08.01.a,r0050,c0150,} + {C_08.01.a,r0060,c0150,}{C_08.01.a,r0010,c0171,} = {C_08.01.a,r0020,c0171,} + {C_08.01.a,r0030,c0171,} + {C_08.01.a,r0040,c0171,} + {C_08.01.a,r0050,c0171,} + {C_08.01.a,r0060,c0171,}

And 11 more, the same formula for the other cells it covers.

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.