Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Sec-erba must equal the sum of its 22 parts (EBA rule v7427_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

Sec-erba must equal these 22 added up:

  • CQS 1, short term credit quality steps
  • CQS 2, short term credit quality steps
  • CQS 3, short term credit quality steps
  • All other CQS, short term credit quality steps
  • CQS 1, long term credit quality steps
  • CQS 2, long term credit quality steps
  • CQS 3, long term credit quality steps
  • CQS 4
  • CQS 5
  • CQS 6
  • CQS 7
  • CQS 8
  • CQS 9
  • CQS 10
  • CQS 11
  • CQS 12
  • CQS 13
  • CQS 14
  • CQS 15
  • CQS 16
  • CQS 17
  • All other CQS, long term credit quality steps

EBA checks it for 81 rows, from total exposures (0010) to all other CQS and unrated (0670). That makes 81 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 13, SEC-ERBA = CQS 13, SHORT TERM CREDIT QUALITY STEPS, CQS 1 + CQS 13, SHORT TERM CREDIT QUALITY STEPS, CQS 2 + CQS 13, SHORT TERM CREDIT QUALITY STEPS, CQS 3 + CQS 13, SHORT TERM CREDIT QUALITY STEPS, ALL OTHER CQS + CQS 13, LONG TERM CREDIT QUALITY STEPS, CQS 1 + CQS 13, LONG TERM CREDIT QUALITY STEPS, CQS 2 + CQS 13, LONG TERM CREDIT QUALITY STEPS, CQS 3 + CQS 13, CQS 4 + CQS 13, CQS 5 + CQS 13, CQS 6 + CQS 13, CQS 7 + CQS 13, CQS 8 + CQS 13, CQS 9 + CQS 13, CQS 10 + CQS 13, CQS 11 + CQS 13, CQS 12 + CQS 13, CQS 13 + CQS 13, CQS 14 + CQS 13, CQS 15 + CQS 13, CQS 16 + CQS 13, CQS 17 + CQS 13, LONG TERM CREDIT QUALITY STEPS, ALL OTHER CQS

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 41 more.

Columns

  • 0350SEC-ERBA
  • 0360CQS 1
  • 0370CQS 2
  • 0380CQS 3
  • 0390ALL OTHER CQS
  • 0400CQS 1
  • 0410CQS 2
  • 0420CQS 3
  • 0430CQS 4
  • 0440CQS 5
  • 0450CQS 6
  • 0460CQS 7
  • 0470CQS 8
  • 0480CQS 9
  • 0490CQS 10
  • 0500CQS 11
  • 0510CQS 12
  • 0520CQS 13
  • 0530CQS 14
  • 0540CQS 15
  • 0550CQS 16
  • 0560CQS 17
  • 0570ALL OTHER CQS
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,r0620,c0350,} = {C_13.01,r0620,c0360,} + {C_13.01,r0620,c0370,} + {C_13.01,r0620,c0380,} + {C_13.01,r0620,c0390,} + {C_13.01,r0620,c0400,} + {C_13.01,r0620,c0410,} + {C_13.01,r0620,c0420,} + {C_13.01,r0620,c0430,} + {C_13.01,r0620,c0440,} + {C_13.01,r0620,c0450,} + {C_13.01,r0620,c0460,} + {C_13.01,r0620,c0470,} + {C_13.01,r0620,c0480,} + {C_13.01,r0620,c0490,} + {C_13.01,r0620,c0500,} + {C_13.01,r0620,c0510,} + {C_13.01,r0620,c0520,} + {C_13.01,r0620,c0530,} + {C_13.01,r0620,c0540,} + {C_13.01,r0620,c0550,} + {C_13.01,r0620,c0560,} + {C_13.01,r0620,c0570,}

The next five:

{C_13.01,r0160,c0350,} = {C_13.01,r0160,c0360,} + {C_13.01,r0160,c0370,} + {C_13.01,r0160,c0380,} + {C_13.01,r0160,c0390,} + {C_13.01,r0160,c0400,} + {C_13.01,r0160,c0410,} + {C_13.01,r0160,c0420,} + {C_13.01,r0160,c0430,} + {C_13.01,r0160,c0440,} + {C_13.01,r0160,c0450,} + {C_13.01,r0160,c0460,} + {C_13.01,r0160,c0470,} + {C_13.01,r0160,c0480,} + {C_13.01,r0160,c0490,} + {C_13.01,r0160,c0500,} + {C_13.01,r0160,c0510,} + {C_13.01,r0160,c0520,} + {C_13.01,r0160,c0530,} + {C_13.01,r0160,c0540,} + {C_13.01,r0160,c0550,} + {C_13.01,r0160,c0560,} + {C_13.01,r0160,c0570,}{C_13.01,r0430,c0350,} = {C_13.01,r0430,c0360,} + {C_13.01,r0430,c0370,} + {C_13.01,r0430,c0380,} + {C_13.01,r0430,c0390,} + {C_13.01,r0430,c0400,} + {C_13.01,r0430,c0410,} + {C_13.01,r0430,c0420,} + {C_13.01,r0430,c0430,} + {C_13.01,r0430,c0440,} + {C_13.01,r0430,c0450,} + {C_13.01,r0430,c0460,} + {C_13.01,r0430,c0470,} + {C_13.01,r0430,c0480,} + {C_13.01,r0430,c0490,} + {C_13.01,r0430,c0500,} + {C_13.01,r0430,c0510,} + {C_13.01,r0430,c0520,} + {C_13.01,r0430,c0530,} + {C_13.01,r0430,c0540,} + {C_13.01,r0430,c0550,} + {C_13.01,r0430,c0560,} + {C_13.01,r0430,c0570,}{C_13.01,r0050,c0350,} = {C_13.01,r0050,c0360,} + {C_13.01,r0050,c0370,} + {C_13.01,r0050,c0380,} + {C_13.01,r0050,c0390,} + {C_13.01,r0050,c0400,} + {C_13.01,r0050,c0410,} + {C_13.01,r0050,c0420,} + {C_13.01,r0050,c0430,} + {C_13.01,r0050,c0440,} + {C_13.01,r0050,c0450,} + {C_13.01,r0050,c0460,} + {C_13.01,r0050,c0470,} + {C_13.01,r0050,c0480,} + {C_13.01,r0050,c0490,} + {C_13.01,r0050,c0500,} + {C_13.01,r0050,c0510,} + {C_13.01,r0050,c0520,} + {C_13.01,r0050,c0530,} + {C_13.01,r0050,c0540,} + {C_13.01,r0050,c0550,} + {C_13.01,r0050,c0560,} + {C_13.01,r0050,c0570,}{C_13.01,r0510,c0350,} = {C_13.01,r0510,c0360,} + {C_13.01,r0510,c0370,} + {C_13.01,r0510,c0380,} + {C_13.01,r0510,c0390,} + {C_13.01,r0510,c0400,} + {C_13.01,r0510,c0410,} + {C_13.01,r0510,c0420,} + {C_13.01,r0510,c0430,} + {C_13.01,r0510,c0440,} + {C_13.01,r0510,c0450,} + {C_13.01,r0510,c0460,} + {C_13.01,r0510,c0470,} + {C_13.01,r0510,c0480,} + {C_13.01,r0510,c0490,} + {C_13.01,r0510,c0500,} + {C_13.01,r0510,c0510,} + {C_13.01,r0510,c0520,} + {C_13.01,r0510,c0530,} + {C_13.01,r0510,c0540,} + {C_13.01,r0510,c0550,} + {C_13.01,r0510,c0560,} + {C_13.01,r0510,c0570,}{C_13.01,r0230,c0350,} = {C_13.01,r0230,c0360,} + {C_13.01,r0230,c0370,} + {C_13.01,r0230,c0380,} + {C_13.01,r0230,c0390,} + {C_13.01,r0230,c0400,} + {C_13.01,r0230,c0410,} + {C_13.01,r0230,c0420,} + {C_13.01,r0230,c0430,} + {C_13.01,r0230,c0440,} + {C_13.01,r0230,c0450,} + {C_13.01,r0230,c0460,} + {C_13.01,r0230,c0470,} + {C_13.01,r0230,c0480,} + {C_13.01,r0230,c0490,} + {C_13.01,r0230,c0500,} + {C_13.01,r0230,c0510,} + {C_13.01,r0230,c0520,} + {C_13.01,r0230,c0530,} + {C_13.01,r0230,c0540,} + {C_13.01,r0230,c0550,} + {C_13.01,r0230,c0560,} + {C_13.01,r0230,c0570,}

And 75 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.