The rule in plain words
Applicable weight cannot be more than 0.8.
EBA checks it for two rows: alternative liquidity approaches: inclusion of Level 2A assets recognised as Level 1, and qualifying CIU shares or units: underlying is Level 2A assets. That makes two 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.
Applicable weight: Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1 <= 0.8
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value outside the limit in these cells.
- 03If the value is a percentage, EBA expects it as a decimal: 12% is reported as 0.12.
- 04EBA compares the values exactly here: there is no rounding tolerance.
- 05It runs only when your filing indicators mark C 72.00 as reported.
- 06This 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
Liquidity coverage, liquid assets, significant currencies (DA) (C 72.00.w)
Rows
- 0170Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1
- 0290Qualifying CIU shares/units: underlying is Level 2A assets
Column
- 0030Applicable weight
A worked example
The first of its checks, with simple numbers.
Alternative liquidity approaches: inclusion of Level 2A assets recognised as Level 1, applicable weight can then be at most 0.8.
A file that reports 0.8 passes. One that reports 0.9 fails, by 0.1.
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_72.00.w,r0170,c0030,} <= 0.8The next one:
{C_72.00.w,r0290,c0030,} <= 0.8Other rules on C 72.00.w
- Qualifying CIU shares or units: underlying is Level 1 assets excluding extremely high quality covered bonds, applicable weight cannot be more than 0.95 (v7605_m)Warning
- Applicable weight cannot be more than 0.85 (v7607_m)Warning
- Applicable weight cannot be more than 1 (v7604_m)Warning
- Applicable weight cannot be more than 0.75 (v7608_m)Warning
- Total unadjusted level 2B assets must equal the sum of its 16 parts (row 0310, v7603_m)Warning
- Extremely high quality covered bonds, applicable weight cannot be more than 0.93 (v7609_m)Warning
- Total unadjusted level 2A assets must equal the sum of its seven parts (row 0230, v7602_m)Warning
- Qualifying CIU shares or units: underlying is extremely high quality covered bonds, applicable weight cannot be more than 0.88 (v7610_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.