Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Breakdown by reasons for application of sec-erba: a lower-limit check on (CR sec) credit risk: securitisations (C 13.01, row 0133, EBA rule v11891_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 13.01, (CR sec) credit risk: securitisations.

Check your file against this ruleWhat to do if it fails

The rule in plain words

For breakdown by reasons for application of sec-erba: the absolute value of exposures in NPE securitisations cannot be less than these three worked out:

  • The absolute value of senior exposures in qualifying traditional NPE securitisations
  • The absolute value of senior exposures in non-qualifying traditional NPE securitisations
  • The absolute value of non-senior exposures in qualifying traditional NPE securitisations

EBA checks it for 99 columns, from total amount of securitisati0n exposures originated (0010) to specific treatment of senior tranches in qualifying NPE securitisations (0960). That makes 99 checks. A failure names the one that failed.

The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.

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.

POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) NO 575/2013: the absolute value of EXPOSURES IN NPE SECURITISATIONS >= the absolute value of OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS + the absolute value of OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS + the absolute value of OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

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 smaller 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 C 13.01 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

(CR sec) credit risk: securitisations (C 13.01)

Rows

  • 0133EXPOSURES IN NPE SECURITISATIONS
  • 0134OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
  • 0135OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS
  • 0136OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS

Columns

  • 0010TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED
  • 0020(-) FUNDED CREDIT PROTECTION (Cva)
  • 0030(-) UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*)
  • 0040NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION
  • 0050ORIGINAL EXPOSURE PRE CONVERSION FACTORS
  • 0060(-) VALUE ADJUSTMENTS AND PROVISIONS
  • 0070EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
  • 0080(-) UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga)
  • 0090(-) FUNDED CREDIT PROTECTION
  • 0100(-) TOTAL OUTFLOWS
  • 0110TOTAL INFLOWS
  • 0120NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS
  • 0130(-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METH
  • 0140FULLY ADJUSTED EXPOSURE VALUE (E*)
  • 0160(-) NON REFUNDABLE PRICE PURCHASE DISCOUNT
  • 0170(-) SPECIFIC CREDIT RISK ADJUSTMENTS ON UNDERLYING EXPOSURES
  • 0180EXPOSURE VALUE
  • 0190(-) DEDUCTED FROM OWN FUNDS
  • 0200SUBJECT TO RISK WEIGHTS
  • 0210SEC-IRBA
  • 0220<=20% RW
  • 0230>20% TO 50% RW
  • 0240>50% TO 100% RW
  • 0250>100% TO 1250% RW
  • 02601250% RW
  • 0270OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)
  • 0280SEC-SA
  • 0290<=20% RW
  • 0300>20% TO 50% RW
  • 0310>50% TO 100% RW
  • 0320>100% TO 1250% RW
  • 03301250% RW (W UNKNOWN)
  • 03401250% RW (OTHER)
  • 0350SEC-ERBA
  • 0360CQS 1
  • 0370CQS 2
  • 0380CQS 3
  • 0390ALL OTHER CQS
  • 0400CQS 1
  • 0410CQS 2

And 59 more.

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}.

abs({C_13.01,r0133,c0610,}) >= abs({C_13.01,r0134,c0610,}) + abs({C_13.01,r0135,c0610,}) + abs({C_13.01,r0136,c0610,})

The next five:

abs({C_13.01,r0133,c0480,}) >= abs({C_13.01,r0134,c0480,}) + abs({C_13.01,r0135,c0480,}) + abs({C_13.01,r0136,c0480,})abs({C_13.01,r0133,c0290,}) >= abs({C_13.01,r0134,c0290,}) + abs({C_13.01,r0135,c0290,}) + abs({C_13.01,r0136,c0290,})abs({C_13.01,r0133,c0490,}) >= abs({C_13.01,r0134,c0490,}) + abs({C_13.01,r0135,c0490,}) + abs({C_13.01,r0136,c0490,})abs({C_13.01,r0133,c0910,}) >= abs({C_13.01,r0134,c0910,}) + abs({C_13.01,r0135,c0910,}) + abs({C_13.01,r0136,c0910,})abs({C_13.01,r0133,c0750,}) >= abs({C_13.01,r0134,c0750,}) + abs({C_13.01,r0135,c0750,}) + abs({C_13.01,r0136,c0750,})

And 93 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.