Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Retained securitisations issued must equal first loss plus mezzanine plus senior (EBA rule v2841_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

Retained securitisations issued must equal these three added up:

  • First loss
  • Mezzanine
  • Senior

EBA checks it for four columns: fair value of debt securities issued available for encumbrance, central bank's eligible, notionally eligible EHQLA and HQLA, and nominal of own debt securities issued non available for encumbrance. That makes four 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.

Of which: central bank's eligible: Retained securitisations issued = First Loss + Mezzanine + Senior

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 F 32.03 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

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

Rows

  • 0030Retained securitisations issued
  • 0040Senior
  • 0050Mezzanine
  • 0060First Loss

Columns

  • 0020Fair value of debt securities issued available for encumbrance
  • 0030Of which: central bank's eligible
  • 0035Of which notionally eligible EHQLA and HQLA
  • 0040Nominal of own debt securities issued non available for encumbrance

A worked example

The first of its checks, with simple numbers.

Illustrative values
First loss1,200
Mezzanine800
Senior450
Together2,450
What the rule then expects

Retained securitisations issued must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 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,r0030,c0030,} = sum({F_32.03.b,r0060,c0030,},{F_32.03.b,r0050,c0030,},{F_32.03.b,r0040,c0030,})

The next three:

{F_32.03.b,r0030,c0040,} = sum({F_32.03.b,r0060,c0040,},{F_32.03.b,r0050,c0040,},{F_32.03.b,r0040,c0040,}){F_32.03.b,r0030,c0035,} = sum({F_32.03.b,r0060,c0035,},{F_32.03.b,r0040,c0035,},{F_32.03.b,r0050,c0035,}){F_32.03.b,r0030,c0020,} = sum({F_32.03.b,r0040,c0020,},{F_32.03.b,r0060,c0020,},{F_32.03.b,r0050,c0020,})

Every AE rule, by template

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