Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

None of the 50 values it checks in (CR sec) credit risk: securitisations can be negative (C 13.01, EBA rule v7749_s)

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

None of the values it checks in (CR sec) credit risk: securitisations can be negative.

EBA checks it for two columns: total amount of securitisati0n exposures originated, and notional amount retained or repurchased of credit protection. And for 25 rows, from total exposures (0010) to re-securitisations (0190). That makes 50 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.

TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED: SECURITISATIONS >= 0

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  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

Columns

  • 0010TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED
  • 0040NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION

A worked example

The first of its checks, with simple numbers.

What the rule then expects

Securitisations, total amount of securitisati0n exposures originated must then be at least 0.

0Passes
-100Fails

A file that reports 0 passes. One that reports -100 fails, by 100.

The numbers are illustrative.

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,r0020,c0010,} >= 0

The next five:

{C_13.01,r0030,c0040,} >= 0{C_13.01,r0070,c0010,} >= 0{C_13.01,r0134,c0040,} >= 0{C_13.01,r0150,c0010,} >= 0{C_13.01,r0133,c0010,} >= 0

And 44 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.