Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Long term credit quality steps: the absolute value of securitisations: off-balance sheet items and derivatives qualifying for differentiated capital treatment cannot be less than the absolute value of senior exposures (EBA rule v7408_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 long term credit quality steps: the absolute value of securitisations: off-balance sheet items and derivatives qualifying for differentiated capital treatment cannot be less than the absolute value of senior exposures.

EBA checks it for 101 columns, from total amount of securitisati0n exposures originated (0010) to specific treatment of senior tranches in qualifying NPE securitisations (0960). That makes 101 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.

CQS 8: the absolute value of QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT >= the absolute value of OF WHICH: SENIOR EXPOSURES

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark C 13.01 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

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

Rows

  • 0150QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT
  • 0160OF WHICH: SENIOR EXPOSURES

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*)
  • 0150OF WHICH: SUBJECT TO A CCF OF 0%
  • 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

And 61 more.

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}.

abs({C_13.01,r0150,c0470,}) >= abs({C_13.01,r0160,c0470,})

The next five:

abs({C_13.01,r0150,c0080,}) >= abs({C_13.01,r0160,c0080,})abs({C_13.01,r0150,c0670,}) >= abs({C_13.01,r0160,c0670,})abs({C_13.01,r0150,c0230,}) >= abs({C_13.01,r0160,c0230,})abs({C_13.01,r0150,c0260,}) >= abs({C_13.01,r0160,c0260,})abs({C_13.01,r0150,c0480,}) >= abs({C_13.01,r0160,c0480,})

And 95 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.