Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Net exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (C 13.01, EBA rule v7323_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

Net exposure after CRM substitution effects pre conversion factors must equal these three added up:

  • Exposure net of value adjustments and provisions
  • (-) total outflows
  • Total inflows

EBA checks it for 59 rows, from total exposures (0010) to re-securitisations (0430). That makes 59 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.

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS = QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, (-) TOTAL OUTFLOWS + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, TOTAL INFLOWS

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C 13.01 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

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

Rows

  • 0010TOTAL EXPOSURES
  • 0020SECURITISATIONS
  • 0030QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0040EXPOSURES IN STS ABCP AND NON-ABCP TRADITIONAL SECURITISATIONS
  • 0050GRANDFATHERED SENIOR POSITION IN SMEs SYNTHETIC SECURITISATIONS
  • 0051SENIOR POSITIONS IN STS ON-BALANCE SHEET SECURITISATIONS
  • 0060NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0070RE-SECURITISATIONS
  • 0080ORIGINATOR: TOTAL EXPOSURES
  • 0090SECURITISATIONS: ON-BALANCE SHEET ITEMS
  • 0100QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0110OF WHICH: SENIOR EXPOSURES
  • 0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0121EXPOSURES IN NON-NPE SECURITISATIONS
  • 0131OF WHICH: SENIOR EXPOSURES
  • 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
  • 0140SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
  • 0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0160OF WHICH: SENIOR EXPOSURES
  • 0170NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0180OF WHICH: SENIOR EXPOSURES
  • 0190RE-SECURITISATIONS
  • 0200INVESTOR: TOTAL EXPOSURES
  • 0210SECURITISATIONS: ON-BALANCE SHEET ITEMS
  • 0220QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0230OF WHICH: SENIOR EXPOSURES
  • 0240NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0241EXPOSURES IN NON-NPE SECURITISATIONS
  • 0251OF WHICH: SENIOR EXPOSURES
  • 0253EXPOSURES IN NPE SECURITISATIONS
  • 0254OF WHICH: SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
  • 0255OF WHICH: SENIOR EXPOSURES IN NON-QUALIFYING TRADITIONAL NPE SECURITISATIONS
  • 0256OF WHICH: NON-SENIOR EXPOSURES IN QUALIFYING TRADITIONAL NPE SECURITISATIONS
  • 0260SECURITISATIONS: OFF-BALANCE SHEET ITEMS AND DERIVATIVES
  • 0270QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0280OF WHICH: SENIOR EXPOSURES
  • 0290NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

And 19 more.

Columns

  • 0070EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS
  • 0100(-) TOTAL OUTFLOWS
  • 0110TOTAL INFLOWS
  • 0120NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

A worked example

The first of its checks, with simple numbers.

Illustrative values
Exposure net of value adjustments and provisions1,200
(-) total outflows800
Total inflows450
Together2,450
What the rule then expects

Net exposure after CRM substitution effects pre conversion factors 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}.

{C_13.01,r0150,c0120,} = {C_13.01,r0150,c0070,} + {C_13.01,r0150,c0100,} + {C_13.01,r0150,c0110,}

The next five:

{C_13.01,r0410,c0120,} = {C_13.01,r0410,c0070,} + {C_13.01,r0410,c0100,} + {C_13.01,r0410,c0110,}{C_13.01,r0380,c0120,} = {C_13.01,r0380,c0070,} + {C_13.01,r0380,c0100,} + {C_13.01,r0380,c0110,}{C_13.01,r0120,c0120,} = {C_13.01,r0120,c0070,} + {C_13.01,r0120,c0100,} + {C_13.01,r0120,c0110,}{C_13.01,r0320,c0120,} = {C_13.01,r0320,c0070,} + {C_13.01,r0320,c0100,} + {C_13.01,r0320,c0110,}{C_13.01,r0255,c0120,} = {C_13.01,r0255,c0070,} + {C_13.01,r0255,c0100,} + {C_13.01,r0255,c0110,}

And 53 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.