The rule in plain words
Own debt securities encumbered cannot be negative.
EBA checks it for five rows: derivatives, over-the-Counter, deposits, repurchase agreements and collateralised deposits other than repurchase agreements. 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.
Of which: own debt securities encumbered: Derivatives >= 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 (b) (F 32.04.b)
Rows
- 0020Derivatives
- 0030Of which: Over-The-Counter
- 0040Deposits
- 0050Repurchase agreements
- 0070Collateralised deposits other than repurchase agreements
Column
- 0050Of which: own debt securities encumbered
A worked example
The first of its checks, with simple numbers.
Derivatives, own debt securities encumbered 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.b,r0020,c0050,} >= 0The next four:
{F_32.04.b,r0050,c0050,} >= 0{F_32.04.b,r0040,c0050,} >= 0{F_32.04.b,r0070,c0050,} >= 0{F_32.04.b,r0030,c0050,} >= 0Other rules on F 32.04.b
- Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered cannot be negative (v4373_s)Warning
- Repurchase agreements. encumbered collateral received, own debt securities issued other than own covered bonds or securitisations cannot be more than repurchase agreements, own debt securities encumbered (v2942_m)Warning
- Derivatives, own debt securities encumbered must equal the sum of its two parts (v2941_m)Warning
- An upper-limit check across asset encumbrance and asset encumbrance: sources of encumbrance (F 36.02.a, v2940_m)Warning
- A calculation over four cells must equal derivatives, collateral received re-used (v2939_m)Warning
- A balancing check across asset encumbrance and asset encumbrance: sources of encumbrance (F 36.02.a, v2938_m)Warning
- Other sources of encumbrance, assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered must equal the sum of its two parts (v2937_m)Warning
- A balancing check across asset encumbrance and asset encumbrance: sources of encumbrance (F 36.01.a, F 36.02.a, row 0150, v2936_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.