Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Originator: total exposures must equal securitisations plus other CTP positions (EBA rule v0612_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 20.00, market risk: standardised approach for specific risk in the correlation trading portfolio.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Originator: total exposures must equal securitisations plus other CTP positions.

EBA checks it for 38 columns, from long (0010) to specific treatment for senior tranches of qualifying NPE securitisations (0900). That makes 38 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.

[250-350%[: ORIGINATOR: TOTAL EXPOSURES = SECURITISATIONS + Other CTP positions

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 20.00 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

Market risk: standardised approach for specific risk in the correlation trading portfolio (C 20.00)

Rows

  • 0020ORIGINATOR: TOTAL EXPOSURES
  • 0030SECURITISATIONS
  • 0040Other CTP positions

Columns

  • 0010Long
  • 0020Short
  • 0030(-) Long
  • 0040(-) Short
  • 0050Long
  • 0060Short
  • 0071[0-10%[
  • 0072[10-12%[
  • 0073[12-20%[
  • 0074[20-40%[
  • 0075[40-100%[
  • 0076[100-250%[
  • 0077[250-350%[
  • 0078[350-425%[
  • 0079[425-650%[
  • 0081[650-1250%[
  • 00821250%
  • 0086[0-10%[
  • 0087[10-12%[
  • 0088[12-20%[
  • 0089[20-40%[
  • 0091[40-100%[
  • 0092[100-250%[
  • 0093[250-350%[
  • 0094[350-425%[
  • 0095[425-650%[
  • 0096[650-1250%[
  • 00971250%
  • 0402SEC-IRBA
  • 0403SEC-SA
  • 0404SEC-ERBA
  • 0405INTERNAL ASSESSMENT APPROACH
  • 0406OTHER (RW=1250%)
  • 0410WEIGHTED NET LONG POSITIONS
  • 0420WEIGHTED NET SHORT POSITIONS
  • 0430WEIGHTED NET LONG POSITIONS
  • 0440WEIGHTED NET SHORT POSITIONS
  • 0900SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

A worked example

The first of its checks, with simple numbers.

Illustrative values
Securitisations1,200
Other CTP positions800
Together2,000
What the rule then expects

Originator: total exposures must then be 2,000.

2,000Passes
2,100Fails

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 writtenShow

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

{C_20.00,r0020,c0077,} = {C_20.00,r0030,c0077,} + {C_20.00,r0040,c0077,}

The next five:

{C_20.00,r0020,c0405,} = {C_20.00,r0030,c0405,} + {C_20.00,r0040,c0405,}{C_20.00,r0020,c0088,} = {C_20.00,r0030,c0088,} + {C_20.00,r0040,c0088,}{C_20.00,r0020,c0092,} = {C_20.00,r0030,c0092,} + {C_20.00,r0040,c0092,}{C_20.00,r0020,c0073,} = {C_20.00,r0030,c0073,} + {C_20.00,r0040,c0073,}{C_20.00,r0020,c0094,} = {C_20.00,r0030,c0094,} + {C_20.00,r0040,c0094,}

And 32 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.