Line4

2 min readSwitched off by EBA on 10 June 2026EBA reporting framework 4.2Updated 10 November 2026

A balancing check across (CR sec details) Detailed information on securitisations and three other templates (C 14.01, C 13.01, C 19.00, C 20.00, column 0430, EBA rule v7380_m)

A check in the own funds and capital requirements return (COREP own funds), on templates C 13.01, (CR sec) credit risk: securitisations, C 14.01, (CR sec details) Detailed information on securitisations by approach, C 19.00, market risk: standardised approach for specific risk in securitisations and C 20.00, market risk: standardised approach for specific risk in the correlation trading portfolio.

EBA switched this rule off for filings submitted from 10 June 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

Take these six added up, all for before cap:

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

The result must equal these eight worked out:

  • Total exposures, before cap in C 13.01
  • 12.5 times total exposures, before cap in C 19.00
  • 12.5 times total exposures, weighted net long positions
  • 12.5 times total exposures, weighted net short positions
  • 12.5 times N-th to default credit derivatives, weighted net long positions
  • 12.5 times N-th to default credit derivatives, weighted net short positions
  • 12.5 times other CTP positions, weighted net long positions
  • 12.5 times other CTP positions, weighted net short positions

The headline gives only the kind of check and the template, because some of its cells have no name of their own in EBA’s template.

The template it checks

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

Row

  • 0010TOTAL EXPOSURES

Column

  • 0890BEFORE CAP

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

Column

  • 0430BEFORE CAP

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

Market risk: standardised approach for specific risk in securitisations (C 19.00)

Row

  • 0010TOTAL EXPOSURES

Column

  • 0570BEFORE CAP

Market risk: standardised approach for specific risk in the correlation trading portfolio (C 20.00)

Rows

  • 0010TOTAL EXPOSURES
  • 0110N-th to default credit derivatives
  • 0120Other CTP positions

Columns

  • 0410WEIGHTED NET LONG POSITIONS
  • 0420WEIGHTED NET SHORT POSITIONS
Show the rule as writtenShow

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

sum({C_14.01,,c0430,s0060},{C_14.01,,c0430,s0040},{C_14.01,,c0430,s0030},{C_14.01,,c0430,s0010},{C_14.01,,c0430,s0050},{C_14.01,,c0430,s0020}) = {C_13.01,r0010,c0890,} + {C_19.00,r0010,c0570,} * 12.5 + {C_20.00,r0010,c0410,} * 12.5 + {C_20.00,r0010,c0420,} * 12.5 + {C_20.00,r0110,c0410,} * 12.5 + {C_20.00,r0110,c0420,} * 12.5 + {C_20.00,r0120,c0410,} * 12.5 + {C_20.00,r0120,c0420,} * 12.5

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.