Line4

1 min readSwitched off by EBA on 13 September 2026EBA reporting framework 4.2Updated 10 November 2026

The sum of six sheets cannot be more than synthetic excess spread (EBA rule v11511_m)

A check in the own funds and capital requirements return (COREP own funds), on templates C 14.00, detailed information on securitisations and C 14.01, (CR sec details) Detailed information on securitisations by approach.

EBA switched this rule off for filings submitted from 13 September 2026, in a quarterly update to its list of validation rules. It no longer applies, so a failure here does not count, and Line4 Check does not run it.

The rule in plain words

These six added up, all for synthetic excess spread cannot be more than synthetic excess spread:

  • Specific treatment for senior tranches of qualifying NPE securitisations
  • Internal ratings-based approach for securitisation positions (sec-IRBA)
  • Internal assessment approach
  • External ratings-based approach for securitisation positions (sec-erba)
  • Standardised approach for securitisations (sec-SA)
  • 1250% for positions not subject to any method

The template it checks

Detailed information on securitisations (C 14.00)

Column

  • 0287SYNTHETIC EXCESS SPREAD

(CR sec details) Detailed information on securitisations by approach (C 14.01)

Column

  • 0362SYNTHETIC EXCESS SPREAD

Sheets

  • 0010Standardised approach for securitisations (SEC-SA)
  • 0020External ratings-based approach for securitisation positions (SEC-ERBA)
  • 0030Internal ratings-based approach for securitisation positions (SEC-IRBA)
  • 00401250% for positions not subject to any method
  • 0050Internal assessment approach
  • 0060Specific treatment for senior tranches of qualifying NPE securitisations
Show the rule as writtenShow

EBA's formula. Cells are written as {template, row, column, sheet}.

sum({C_14.01,,c0362,s0060},{C_14.01,,c0362,s0030},{C_14.01,,c0362,s0050},{C_14.01,,c0362,s0020},{C_14.01,,c0362,s0010},{C_14.01,,c0362,s0040}) <= {C_14.00,,c0287,}

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.