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
All the values are in the initial margin posted row (0950) of C 80.00.y.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Initial margin posted, Required stable funding = initial margin posted, Non-HQLA by maturity, < 6 months (column 0010) × initial margin posted, Non-HQLA by maturity, < 6 months (column 0090) + initial margin posted, Non-HQLA by maturity, ≥ 6 months to < 1 year (column 0020) × initial margin posted, Non-HQLA by maturity, ≥ 6 months to < 1 year (column 0100) + initial margin posted, Non-HQLA by maturity, ≥ 1 year (column 0030) × initial margin posted, Non-HQLA by maturity, ≥ 1 year (column 0110) + initial margin posted, Amount, HQLA × initial margin posted, 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 (II), significant currencies (C 80.00.y)
Row
- 0950initial margin posted
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. Cells are written as {template, row, column, sheet}.
{C_80.00.y,r0950,c0130,} = {C_80.00.y,r0950,c0010,} * {C_80.00.y,r0950,c0090,} + {C_80.00.y,r0950,c0020,} * {C_80.00.y,r0950,c0100,} + {C_80.00.y,r0950,c0030,} * {C_80.00.y,r0950,c0110,} + {C_80.00.y,r0950,c0040,} * {C_80.00.y,r0950,c0120,}Other rules on C 80.00.y
- RSF from derivatives must equal the sum of its three parts (v10126_m)Warning
- RSF from derivatives must equal initial margin posted (v11354_m)Warning
- RSF from derivatives, amount must equal the sum of its four parts (C 84.00.y, v11414_m)Warning
- None of the twelve values it checks in NSFR: required stable funding (II) can be negative (v11598_s)Warning
- None of the eight values it checks in NSFR: required stable funding (II) can be negative (v11599_s)Warning
- Initial margin posted cannot be negative (v11600_s)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.