Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Each of the 28 values it checks in market risk: standardised approach for specific risk in securitisations cannot be more than zero (C 19.00, EBA rule v2056_s)

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

Each of the values it checks in market risk: standardised approach for specific risk in securitisations cannot be more than zero.

EBA checks it for two columns: (-) long and (-) short. And for 14 rows, from total exposures (0010) to re-securitisations (0110). That makes 28 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.

(-) Long: SECURITISATIONS <= 0

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  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

  • 0010TOTAL EXPOSURES
  • 0020Of which: RE-SECURITISATIONS
  • 0030ORIGINATOR: TOTAL EXPOSURES
  • 0040SECURITISATIONS
  • 0041OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0050RE-SECURITISATIONS
  • 0060INVESTOR: TOTAL EXPOSURES
  • 0070SECURITISATIONS
  • 0071OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0080RE-SECURITISATIONS
  • 0090SPONSOR: TOTAL EXPOSURES
  • 0100SECURITISATIONS
  • 0101OF WHICH: QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0110RE-SECURITISATIONS

Columns

  • 0030(-) Long
  • 0040(-) Short

A worked example

The first of its checks, with simple numbers.

What the rule then expects

Securitisations, (-) long can then be at most 0.

0Passes
100Fails

A file that reports 0 passes. One that reports 100 fails, by 100.

The numbers are illustrative.

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,r0040,c0030,} <= 0

The next five:

{C_19.00,r0020,c0030,} <= 0{C_19.00,r0060,c0030,} <= 0{C_19.00,r0101,c0030,} <= 0{C_19.00,r0030,c0040,} <= 0{C_19.00,r0080,c0040,} <= 0

And 22 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.