Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Investor: total exposures must equal securitisations (EBA rule v0593_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 19.00, market risk: standardised approach for specific risk in securitisations.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Investor: total exposures must equal securitisations.

EBA checks it for two columns: weighted net long positions and weighted net short positions. That makes two 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.

WEIGHTED NET LONG POSITIONS: INVESTOR: TOTAL EXPOSURES = SECURITISATIONS

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02The two values must be the same. Find which of the two is right, and correct the other one.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark C 19.00 as reported.
  5. 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

  • 0060INVESTOR: TOTAL EXPOSURES
  • 0070SECURITISATIONS

Columns

  • 0530WEIGHTED NET LONG POSITIONS
  • 0540WEIGHTED NET SHORT POSITIONS

A worked example

The first of its checks, with simple numbers.

Illustrative values
Investor: total exposures1,200
What the rule then expects

Securitisations must then be 1,200.

1,200Passes
1,300Fails

A file that reports 1,200 passes. One that reports 1,300 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_19.00,r0060,c0530,} = {C_19.00,r0070,c0530,}

The next one:

{C_19.00,r0060,c0540,} = {C_19.00,r0070,c0540,}

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.