The rule in plain words
Cumulated net contractual gap must equal net contractual gap.
All the values are in the overnight column (0020) and on the total currencies sheet (0010) of C 66.01.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Overnight: Cumulated net contractual gap, Total currencies = Net contractual gap, Total currencies
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 66.01 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
Maturity ladder, total, overnight and higher maturity (C 66.01.a)
Rows
- 0710Net contractual gap
- 0720Cumulated net contractual gap
Column
- 0020Overnight
Sheet
- 0010Total currencies
A worked example
The first of its checks, with simple numbers.
Net contractual gap must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_66.01.a,r0720,c0020,s0010} = {C_66.01.a,r0710,c0020,s0010}Other rules on C 66.01.a
- Cumulated Counterbalancing Capacity, overnight must equal the sum of its two parts (v10660_m)Warning
- Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is non, central Bank) must equal the sum of its five parts (v11477_m)Warning
- Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is central Bank) must equal the sum of its five parts (v11479_m)Warning
- Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is non - central Bank): level 1 tradable assets must equal the sum of its two parts (v11481_m)Warning
- Level 1 excluding covered bonds must equal the sum of its four parts (row 0085, v11483_m)Warning
- Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is non - central Bank): level 2A tradable assets must equal the sum of its three parts (v11485_m)Warning
- Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is non - central Bank): level 2B tradable assets must equal the sum of its five parts (v11487_m)Warning
- Liabilities resulting from securities issued (if not treated as retail deposits) cannot be less than intragroup or IPS (v11489_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.