Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Notionally eligible EHQLA and HQLA cannot be more than fair value of debt securities issued available for encumbrance (EBA rule v10066_m)

A warning in the asset encumbrance return (AE), on template F 32.03.b, asset encumbrance: not pledged, own covered bonds and ABS issued and not yet pledged (b).

Check your file against this ruleWhat to do if it fails

The rule in plain words

Notionally eligible EHQLA and HQLA cannot be more than fair value of debt securities issued available for encumbrance.

EBA checks it for six rows: own covered bonds and securitisations issued and not yet pledged, retained covered bonds issued, retained securitisations issued, senior, mezzanine, and first loss. That makes six 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.

Retained covered bonds issued, Of which notionally eligible EHQLA and HQLA <= Retained covered bonds issued, Fair value of debt securities issued available for encumbrance

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
  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 F 32.03 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

Asset encumbrance: not pledged, own covered bonds and ABS issued and not yet pledged (b) (F 32.03.b)

Rows

  • 0010Own covered bonds and securitisations issued and not yet pledged
  • 0020Retained covered bonds issued
  • 0030Retained securitisations issued
  • 0040Senior
  • 0050Mezzanine
  • 0060First Loss

Columns

  • 0020Fair value of debt securities issued available for encumbrance
  • 0035Of which notionally eligible EHQLA and HQLA

A worked example

The first of its checks, with simple numbers.

Illustrative values
notionally eligible EHQLA and HQLA1,200
What the rule then expects

Fair value of debt securities issued available for encumbrance must then be at least 1,200.

1,200Passes
1,100Fails

A file that reports 1,200 passes. One that reports 1,100 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}.

{F_32.03.b,r0020,c0035,} <= {F_32.03.b,r0020,c0020,}

The next five:

{F_32.03.b,r0010,c0035,} <= {F_32.03.b,r0010,c0020,}{F_32.03.b,r0030,c0035,} <= {F_32.03.b,r0030,c0020,}{F_32.03.b,r0050,c0035,} <= {F_32.03.b,r0050,c0020,}{F_32.03.b,r0040,c0035,} <= {F_32.03.b,r0040,c0020,}{F_32.03.b,r0060,c0035,} <= {F_32.03.b,r0060,c0020,}

Every AE rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.