Line4

2 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Securitisations: on-balance sheet items: sec-erba must equal the sum of its six parts (EBA rule v7428_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: on-balance sheet items: sec-erba must equal these six added up:

  • Auto loans, auto leases and equipment leases
  • Sec-erba option
  • Positions subject to article 254(2), POINT (a) of regulation (EU) NO 575/2013
  • Positions subject to article 254(2), POINT (b) of regulation (EU) NO 575/2013
  • Positions subject to articles 254 (4) or 258 (2) of regulation (EU) no 575/2013
  • Following the hierarchy of approaches

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.

QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, SEC-ERBA = QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, SEC-ERBA OPTION + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) NO 575/2013 + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) NO 575/2013 + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) NO 575/2013 + QUALIFYING FOR DIFFERENTIATED CAPITAL TREATMENT, FOLLOWING THE HIERARCHY OF APPROACHES

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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
  • 0580AUTO LOANS, AUTO LEASES AND EQUIPMENT LEASES
  • 0590SEC-ERBA OPTION
  • 0600POSITIONS SUBJECT TO ARTICLE 254(2), POINT (a) OF REGULATION (EU) NO 575/2013
  • 0610POSITIONS SUBJECT TO ARTICLE 254(2), POINT (b) OF REGULATION (EU) NO 575/2013
  • 0620POSITIONS SUBJECT TO ARTICLES 254 (4) OR 258 (2) OF REGULATION (EU) NO 575/2013
  • 0630FOLLOWING THE HIERARCHY OF APPROACHES

A worked example

The first of its checks, with simple numbers.

Illustrative values
Auto loans, auto leases and equipment leases1,200
Sec-erba option800
Positions subject to article 254(2), POINT (a) of regulation (EU) NO 575/2013450
Positions subject to article 254(2), POINT (b) of regulation (EU) NO 575/2013300
Positions subject to articles 254 (4) or 258 (2) of regulation (EU) no 575/2013150
Following the hierarchy of approaches100
Together3,000
What the rule then expects

Sec-erba must then be 3,000.

3,000Passes
3,100Fails

A file that reports 3,000 passes. One that reports 3,100 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,r0220,c0350,} = {C_13.01,r0220,c0580,} + {C_13.01,r0220,c0590,} + {C_13.01,r0220,c0600,} + {C_13.01,r0220,c0610,} + {C_13.01,r0220,c0620,} + {C_13.01,r0220,c0630,}

The next five:

{C_13.01,r0373,c0350,} = {C_13.01,r0373,c0580,} + {C_13.01,r0373,c0590,} + {C_13.01,r0373,c0600,} + {C_13.01,r0373,c0610,} + {C_13.01,r0373,c0620,} + {C_13.01,r0373,c0630,}{C_13.01,r0520,c0350,} = {C_13.01,r0520,c0580,} + {C_13.01,r0520,c0590,} + {C_13.01,r0520,c0600,} + {C_13.01,r0520,c0610,} + {C_13.01,r0520,c0620,} + {C_13.01,r0520,c0630,}{C_13.01,r0050,c0350,} = {C_13.01,r0050,c0580,} + {C_13.01,r0050,c0590,} + {C_13.01,r0050,c0600,} + {C_13.01,r0050,c0610,} + {C_13.01,r0050,c0620,} + {C_13.01,r0050,c0630,}{C_13.01,r0374,c0350,} = {C_13.01,r0374,c0580,} + {C_13.01,r0374,c0590,} + {C_13.01,r0374,c0600,} + {C_13.01,r0374,c0610,} + {C_13.01,r0374,c0620,} + {C_13.01,r0374,c0630,}{C_13.01,r0080,c0350,} = {C_13.01,r0080,c0580,} + {C_13.01,r0080,c0590,} + {C_13.01,r0080,c0600,} + {C_13.01,r0080,c0610,} + {C_13.01,r0080,c0620,} + {C_13.01,r0080,c0630,}

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.