Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Securitisations: off-balance sheet items and derivatives: the absolute value of sec-IRBA cannot be less than the absolute value of sec-IRBA calculated under article 255 (4) (purchased receivables) (EBA rule v7425_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 securitisations: off-balance sheet items and derivatives: the absolute value of sec-IRBA cannot be less than the absolute value of sec-IRBA calculated under article 255 (4) (purchased receivables).

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.

the absolute value of QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, SEC-IRBA >= the absolute value of QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)

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

  • 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

  • 0210SEC-IRBA
  • 0270OF WHICH: CALCULATED UNDER ARTICLE 255 (4) (PURCHASED RECEIVABLES)
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,c0210,}) >= abs({C_13.01,r0150,c0270,})

The next five:

abs({C_13.01,r0136,c0210,}) >= abs({C_13.01,r0136,c0270,})abs({C_13.01,r0290,c0210,}) >= abs({C_13.01,r0290,c0270,})abs({C_13.01,r0376,c0210,}) >= abs({C_13.01,r0376,c0270,})abs({C_13.01,r0170,c0210,}) >= abs({C_13.01,r0170,c0270,})abs({C_13.01,r0340,c0210,}) >= abs({C_13.01,r0340,c0270,})

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.