The rule in plain words
Required stable funding must equal these four worked out:
- < 6 months (column 0010) times < 6 months (column 0090)
- ≥ 6 months to < 1 year (column 0020) times ≥ 6 months to < 1 year (column 0100)
- ≥ 1 year (column 0030) times ≥ 1 year (column 0110)
- HQLA, amount times HQLA, applicable RSF factor
EBA checks it for four rows: unencumbered or encumbered for a residual maturity of less than six months, RSF from central bank assets encumbered for a residual maturity of at least six months but less than one year, RSF from central bank assets encumbered for a residual maturity of one year or more, and RSF from contributions to CCP default fund. That makes four checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
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.
RSF from contributions to CCP default fund, Required stable funding = RSF from contributions to CCP default fund, Non-HQLA by maturity, < 6 months (column 0010) × RSF from contributions to CCP default fund, Non-HQLA by maturity, < 6 months (column 0090) + RSF from contributions to CCP default fund, Non-HQLA by maturity, ≥ 6 months to < 1 year (column 0020) × RSF from contributions to CCP default fund, Non-HQLA by maturity, ≥ 6 months to < 1 year (column 0100) + RSF from contributions to CCP default fund, Non-HQLA by maturity, ≥ 1 year (column 0030) × RSF from contributions to CCP default fund, Non-HQLA by maturity, ≥ 1 year (column 0110) + RSF from contributions to CCP default fund, Amount, HQLA × RSF from contributions to CCP default fund, Applicable RSF factor, HQLA
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 80.00 as reported.
- 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
NSFR - required stable funding (I), significant currencies (C 80.00.w)
Rows
- 0040unencumbered or encumbered for a residual maturity of less than six months
- 0050encumbered for a residual maturity of at least six months but less than one year
- 0060encumbered for a residual maturity of one year or more
- 0960RSF from contributions to CCP default fund
Columns
- 0010< 6 months
- 0020≥ 6 months to < 1 year
- 0030≥ 1 year
- 0040HQLA
- 0090< 6 months
- 0100≥ 6 months to < 1 year
- 0110≥ 1 year
- 0120HQLA
- 0130Required stable funding
Show the rule as writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_80.00.w,r0960,c0130,} = {C_80.00.w,r0960,c0010,} * {C_80.00.w,r0960,c0090,} + {C_80.00.w,r0960,c0020,} * {C_80.00.w,r0960,c0100,} + {C_80.00.w,r0960,c0030,} * {C_80.00.w,r0960,c0110,} + {C_80.00.w,r0960,c0040,} * {C_80.00.w,r0960,c0120,}The next three:
{C_80.00.w,r0060,c0130,} = {C_80.00.w,r0060,c0010,} * {C_80.00.w,r0060,c0090,} + {C_80.00.w,r0060,c0020,} * {C_80.00.w,r0060,c0100,} + {C_80.00.w,r0060,c0030,} * {C_80.00.w,r0060,c0110,} + {C_80.00.w,r0060,c0040,} * {C_80.00.w,r0060,c0120,}{C_80.00.w,r0040,c0130,} = {C_80.00.w,r0040,c0010,} * {C_80.00.w,r0040,c0090,} + {C_80.00.w,r0040,c0020,} * {C_80.00.w,r0040,c0100,} + {C_80.00.w,r0040,c0030,} * {C_80.00.w,r0040,c0110,} + {C_80.00.w,r0040,c0040,} * {C_80.00.w,r0040,c0120,}{C_80.00.w,r0050,c0130,} = {C_80.00.w,r0050,c0010,} * {C_80.00.w,r0050,c0090,} + {C_80.00.w,r0050,c0020,} * {C_80.00.w,r0050,c0100,} + {C_80.00.w,r0050,c0030,} * {C_80.00.w,r0050,c0110,} + {C_80.00.w,r0050,c0040,} * {C_80.00.w,r0050,c0120,}Other rules on C 80.00.w
- RSF from central bank assets must equal the sum of its two parts (v10119_m)Warning
- RSF from loans must equal the sum of its seven parts (v10120_m)Warning
- Securities financing transactions with financial customers must equal the sum of its two parts (v10121_m)Warning
- Other loans to non-financial customers other than central banks must equal the sum of its two parts (v10122_m)Warning
- Loans to non-financial customers other than central banks where those loans are assigned a risk weight of 35% or less cannot be less than residential mortgages (v10123_m)Warning
- Other loans to non-financial customers other than central banks cannot be less than residential mortgages (v10124_m)Warning
- RSF from interdependent assets must equal the sum of its five parts (v10125_m)Warning
- RSF from other assets must equal the sum of its four parts (v10127_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.