The rule in plain words
None of the values it checks in NSFR: simplified required stable funding (I) can be negative.
EBA checks it for two columns, all for 1 year: < and ≥. And for 18 rows, from cash, reserves and HQLA exposures to central banks (0030) to other off-balance sheet exposures determined by competent authorities (0450). That makes 36 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.
< 1 year: other off-balance sheet exposures determined by competent authorities >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 82.00 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 - simplified required stable funding (I), total (C 82.00.a)
Rows
- 0030cash, reserves and HQLA exposures to central banks
- 0040other non-HQLA central bank exposures
- 0220unencumbered or encumbered for a residual maturity of less than one year
- 0230encumbered for a residual maturity of one year or more
- 0260unencumbered or encumbered for a residual maturity of less than one year
- 0270encumbered for a residual maturity of one year or more
- 0290unencumbered or encumbered for a residual maturity of less than one year
- 0300encumbered for a residual maturity of one year or more
- 0310trade finance on-balance sheet products
- 0320RSF from interdependent assets
- 0330RSF from assets within a group or an IPS if subject to preferential treatment
- 0380RSF from contributions to CCP default fund
- 0390RSF from other assets
- 0410committed facilities within a group or an IPS if subject to preferential treatment
- 0420commited facilities
- 0430trade finance off-balance sheet items
- 0440non-performing off-balance sheet items
- 0450other off-balance sheet exposures determined by competent authorities
Columns
- 0070< 1 year
- 0080≥ 1 year
A worked example
The first of its checks, with simple numbers.
Other off-balance sheet exposures determined by competent authorities, < 1 year must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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_82.00.a,r0450,c0070,} >= 0The next five:
{C_82.00.a,r0410,c0070,} >= 0{C_82.00.a,r0410,c0080,} >= 0{C_82.00.a,r0220,c0070,} >= 0{C_82.00.a,r0040,c0080,} >= 0{C_82.00.a,r0440,c0080,} >= 0And 30 more, the same formula for the other cells it covers.
Other rules on C 82.00.a
- None of the 48 values it checks in NSFR: simplified required stable funding (I) can be negative (v11541_s)Warning
- Required stable funding cannot be negative (v11543_s)Warning
- Level 2A assets eligible for 15% LCR haircut and shares or units in CIUs eligible for 0-20% LCR haircuts: HQLA cannot be negative (v11544_s)Warning
- Required stable funding: HQLA cannot be negative (v11545_s)Warning
- RSF from OBS items: amount must equal ≥ 1 year plus < 1 year (C 84.00.a, v11427_m)Warning
- RSF from other assets: amount must equal < 1 year plus ≥ 1 year (v11423_m)Warning
- RSF from contributions to CCP default fund, amount must equal the sum of its three parts (C 84.00.a, v11419_m)Warning
- RSF from assets within a group or an IPS if subject to preferential treatment: amount must equal < 1 year plus ≥ 1 year (v11411_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.