The rule in plain words
For level 2B assets eligible for 25-35% LCR haircut and shares or units in CIUs eligible for 30-55% LCR haircuts: HQLA cannot be negative.
EBA checks it for 13 rows, from cash, reserves and HQLA exposures to central banks (0030) to RSF from contributions to CCP default fund (0380). That makes 13 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.
HQLA: encumbered for a residual maturity of one year or more >= 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), significant currencies (C 82.00.w)
Rows
- 0030cash, reserves and HQLA exposures to central banks
- 0070unencumbered or encumbered for a residual maturity of less than six months
- 0080encumbered for a residual maturity of at least six months but less than one year
- 0090encumbered for a residual maturity of one year or more
- 0110unencumbered or encumbered for a residual maturity of less than six months
- 0120encumbered for a residual maturity of at least six months but less than one year
- 0130encumbered for a residual maturity of one year or more
- 0150unencumbered or encumbered for a residual maturity of less than six months
- 0160encumbered for a residual maturity of at least six months but less than one year
- 0170encumbered for a residual maturity of one year or more
- 0190unencumbered or encumbered for a residual maturity of less than one year
- 0200encumbered for a residual maturity of one year or more
- 0380RSF from contributions to CCP default fund
Column
- 0090HQLA
A worked example
The first of its checks, with simple numbers.
RSF from liquid assets encumbered for a residual maturity of one year or more, HQLA 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.w,r0200,c0090,} >= 0The next five:
{C_82.00.w,r0070,c0090,} >= 0{C_82.00.w,r0110,c0090,} >= 0{C_82.00.w,r0380,c0090,} >= 0{C_82.00.w,r0170,c0090,} >= 0{C_82.00.w,r0130,c0090,} >= 0And 7 more, the same formula for the other cells it covers.
Other rules on C 82.00.w
- Level 2A assets eligible for 15% LCR haircut and shares or units in CIUs eligible for 0-20% LCR haircuts: HQLA cannot be negative (v11593_s)Warning
- Required stable funding cannot be negative (v11592_s)Warning
- None of the 36 values it checks in NSFR: simplified required stable funding (I) can be negative (v11591_s)Warning
- None of the 48 values it checks in NSFR: simplified required stable funding (I) can be negative (v11590_s)Warning
- RSF from OBS items: amount must equal ≥ 1 year plus < 1 year (C 84.00.w, v11428_m)Warning
- RSF from other assets: amount must equal ≥ 1 year plus < 1 year (v11424_m)Warning
- RSF from contributions to CCP default fund, amount must equal the sum of its three parts (C 84.00.w, v11420_m)Warning
- RSF from assets within a group or an IPS if subject to preferential treatment: amount must equal ≥ 1 year plus < 1 year (v11412_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.