The rule in plain words
None of the values it checks in maturity ladder can be negative.
The value is on the total currencies sheet (0010) of C 66.01.a.
EBA checks it for 21 columns, from overnight (0020) to greater than 5 years (0220). And for 88 rows, from liabilities resulting from securities issued (if not treated as retail deposits) (0010) to liquidity facilities (1130). That makes 1,848 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.
Greater than 12 months up to 2 years: Credit institutions, Total currencies >= 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 66.01 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
Maturity ladder, total, overnight and higher maturity (C 66.01.a)
Rows
- 0010Liabilities resulting from securities issued (if not treated as retail deposits)
- 0011of which: Intragroup or IPS
- 0020Unsecured bonds due
- 0030Regulated covered bonds
- 0040Securitisations due
- 0050Other
- 0065Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is non - Central Bank)
- 0066Of which: Intragroup or IPS
- 0075Level 1 tradable assets
- 0085Level 1 excluding covered bonds
- 0095Level 1 central bank
- 0105Level 1 (CQS 1)
- 0115Level 1 (CQS2, CQS3)
- 0125Level 1 (CQS4+)
- 0135Level 1 covered bonds (CQS1)
- 0145Level 2A tradable assets
- 0155Level 2A corporate bonds (CQS1)
- 0165Level 2A covered bonds (CQS1, CQS2)
- 0175Level 2A public sector (CQS1, CQS2)
- 0185Level 2B tradable assets
- 0195Level 2B ABS (CQS1)
- 0205Level 2B covered bonds (CQS1-6)
- 0215Level 2B: corporate bonds (CQ1-3)
- 0225Level 2B shares
- 0235Level 2B public sector (CQS 3-5)
- 0245Other tradable assets
- 0251Other assets
- 0252Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is Central Bank):
- 0253Level 1 tradable assets
- 0254Level 2A tradable assets
- 0255Level 2B tradable assets
- 0256Other tradable assets
- 0257Other assets
- 0260Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral)
- 0261Of which: Intragroup or IPS
- 0270Stable retail deposits
- 0280Other retail deposits
- 0290Operational deposits
- 0300Non-operational deposits from credit institutions
- 0310Non-operational deposits from other financial customers
And 48 more.
Columns
- 0020Overnight
- 0030Greater than overnight up to 2 days
- 0040Greater than 2 days up to 3 days
- 0050Greater than 3 days up to 4 days
- 0060Greater than 4 days up to 5 days
- 0070Greater than 5 days up to 6 days
- 0080Greater than 6 days up to 7 days
- 0090Greater than 7 days up to 2 weeks
- 0100Greater than 2 weeks up to 3 weeks
- 0110Greater than 3 weeks up to 30 days
- 0120Greater than 30 days up to 5 weeks
- 0130Greater than 5 weeks up to 2 months
- 0140Greater than 2 months up to 3 months
- 0150Greater than 3 months up to 4 months
- 0160Greater than 4 months up to 5 months
- 0170Greater than 5 months up to 6 months
- 0180Greater than 6 months up to 9 months
- 0190Greater than 9 months up to 12 months
- 0200Greater than 12 months up to 2 years
- 0210Greater than 2 years up to 5 years
- 0220Greater than 5 years
Sheet
- 0010Total currencies
A worked example
The first of its checks, with simple numbers.
Credit institutions, greater than 12 months up to 2 years 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_66.01.a,r0620,c0200,s0010} >= 0The next five:
{C_66.01.a,r0430,c0120,s0010} >= 0{C_66.01.a,r1120,c0180,s0010} >= 0{C_66.01.a,r1090,c0040,s0010} >= 0{C_66.01.a,r0155,c0180,s0010} >= 0{C_66.01.a,r0261,c0130,s0010} >= 0And 1,842 more, the same formula for the other cells it covers.
Other rules on C 66.01.a
- Total outflows must equal the sum of its seven parts (v8733_m)Warning
- Liabilities resulting from securities issued (if not treated as retail deposits) must equal the sum of its four parts (v8734_m)Warning
- Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) must equal the sum of its eight parts (v8736_m)Warning
- Total inflows must equal the sum of its six parts (v8737_m)Warning
- Monies due from secured lending and capital market driven transactions collateralised by must equal the sum of its five parts (v8738_m)Warning
- Monies due not reported in 2.1 resulting from loans and advances granted to must equal the sum of its six parts (v8739_m)Warning
- Net change of Counterbalancing Capacity must equal the sum of its seven parts (v8741_m)Warning
- Counterbalancing capacity: level 1 tradable assets must equal the sum of its two parts (v8743_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.