The rule in plain words
Matching liabilities, contingent liabilities or securities lent cannot be negative.
EBA checks it for 17 rows, from carrying amount of selected financial liabilities (0010) to total sources of encumbrance (0170). That makes 17 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.
Matching liabilities, contingent liabilities or securities lent: Nominal of loan commitments received >= 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 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 (a) (F 32.04.a)
Rows
- 0010Carrying amount of selected financial liabilities
- 0020Derivatives
- 0030of which: Over-The-Counter
- 0040Deposits
- 0050Repurchase agreements
- 0060Of which: central banks
- 0070Collateralised deposits other than repurchase agreements
- 0080Of which: central banks
- 0090Debt securities issued
- 0100Of which: covered bonds issued
- 0110Of which: securitisations issued
- 0120Other sources of encumbrance
- 0130Nominal of loan commitments received
- 0140Nominal of financial guarantees received
- 0150Fair value of securities borrowed with non cash-collateral
- 0160Other
- 0170TOTAL SOURCES OF ENCUMBRANCE
Column
- 0010Matching liabilities, contingent liabilities or securities lent
A worked example
The first of its checks, with simple numbers.
Nominal of loan commitments received, matching liabilities, contingent liabilities or securities lent 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}.
{F_32.04.a,r0130,c0010,} >= 0The next five:
{F_32.04.a,r0080,c0010,} >= 0{F_32.04.a,r0050,c0010,} >= 0{F_32.04.a,r0140,c0010,} >= 0{F_32.04.a,r0110,c0010,} >= 0{F_32.04.a,r0120,c0010,} >= 0And 11 more, the same formula for the other cells it covers.
Other rules on F 32.04.a
- From other entities of the group cannot be negative (v4370_s)Warning
- Other sources of encumbrance, matching liabilities, contingent liabilities or securities lent must equal the sum of its two parts (v2928_m)Warning
- A balancing check across asset encumbrance and asset encumbrance: sources of encumbrance (F 36.01.b, F 36.02.b, row 0160, v2927_m)Warning
- Securitisations issued, matching liabilities, contingent liabilities or securities lent must equal the sum of its two parts (v2926_m)Warning
- Covered bonds issued, matching liabilities, contingent liabilities or securities lent must equal the sum of its two parts (v2925_m)Warning
- A balancing check across asset encumbrance and asset encumbrance: sources of encumbrance (F 36.01.b, F 36.02.b, row 0100, v2924_m)Warning
- The sum of two cells must equal repurchase agreements, matching liabilities, contingent liabilities or securities lent minus central banks, matching liabilities, contingent liabilities or securities lent (v2923_m)Warning
- A lower-limit check across asset encumbrance and asset encumbrance: sources of encumbrance (F 36.01.b, F 36.02.b, v2920_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.