Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Originator: total exposures: securitisations: on-balance sheet items must equal the sum of its two parts (EBA rule v7404_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 originator: total exposures: securitisations: on-balance sheet items must equal securitisations: on-balance sheet items qualifying for differentiated capital treatment plus not qualifying for differentiated capital treatment.

EBA checks it for 98 columns, from total amount of securitisati0n exposures originated (0010) to specific treatment of senior tranches in qualifying NPE securitisations (0960). That makes 98 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.

<=20% RW: SECURITISATIONS: ON-BALANCE SHEET ITEMS = QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT + NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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

  • 0090SECURITISATIONS: ON-BALANCE SHEET ITEMS
  • 0100QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0120NOT QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT

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 58 more.

A worked example

The first of its checks, with simple numbers.

Illustrative values
Securitisations: on-balance sheet items qualifying for differentiated capital treatment1,200
Not qualifying for differentiated capital treatment800
Together2,000
What the rule then expects

Securitisations: on-balance sheet items must then be 2,000.

2,000Passes
2,100Fails

A file that reports 2,000 passes. One that reports 2,100 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,r0090,c0220,} = {C_13.01,r0100,c0220,} + {C_13.01,r0120,c0220,}

The next five:

{C_13.01,r0090,c0160,} = {C_13.01,r0100,c0160,} + {C_13.01,r0120,c0160,}{C_13.01,r0090,c0080,} = {C_13.01,r0100,c0080,} + {C_13.01,r0120,c0080,}{C_13.01,r0090,c0390,} = {C_13.01,r0100,c0390,} + {C_13.01,r0120,c0390,}{C_13.01,r0090,c0420,} = {C_13.01,r0100,c0420,} + {C_13.01,r0120,c0420,}{C_13.01,r0090,c0924,} = {C_13.01,r0100,c0924,} + {C_13.01,r0120,c0924,}

And 92 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.