The rule in plain words
Collateral received re-used cannot be more than assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered.
EBA checks it for five rows: derivatives, over-the-Counter, repurchase agreements, collateralised deposits other than repurchase agreements and fair value of securities borrowed with non cash-collateral. That makes five 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.
Derivatives, Of which: collateral received re-used <= Derivatives, Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark F 32.04 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
Asset encumbrance: sources of encumbrance (b) (F 32.04.b)
Rows
- 0020Derivatives
- 0030Of which: Over-The-Counter
- 0050Repurchase agreements
- 0070Collateralised deposits other than repurchase agreements
- 0150Fair value of securities borrowed with non cash-collateral
Columns
- 0030Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered
- 0040Of which: collateral received re-used
A worked example
The first of its checks, with simple numbers.
Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered must then be at least 1,200.
A file that reports 1,200 passes. One that reports 1,100 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{F_32.04.b,r0020,c0040,} <= {F_32.04.b,r0020,c0030,}The next four:
{F_32.04.b,r0150,c0040,} <= {F_32.04.b,r0150,c0030,}{F_32.04.b,r0070,c0040,} <= {F_32.04.b,r0070,c0030,}{F_32.04.b,r0050,c0040,} <= {F_32.04.b,r0050,c0030,}{F_32.04.b,r0030,c0040,} <= {F_32.04.b,r0030,c0030,}Other rules on F 32.04.b
- Own debt securities encumbered cannot be more than assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered (v2865_m)Warning
- Over-the-Counter cannot be more than derivatives (v2866_m)Warning
- Central banks cannot be more than repurchase agreements (v2867_m)Warning
- Central banks cannot be more than collateralised deposits other than repurchase agreements (v2868_m)Warning
- Covered bonds issued cannot be more than debt securities issued (v2869_m)Warning
- Securitisations issued cannot be more than debt securities issued (v2870_m)Warning
- Deposits must equal the sum of its two parts (v2871_m)Warning
- Carrying amount of selected financial liabilities must equal the sum of its three parts (v2872_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.