The rule in plain words
Applicable weight cannot be negative.
EBA checks it for 126 rows, from level 1 assets (excl. EHQ covered bonds) (0030) to other Level 2B (2700). That makes 126 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: Level 2B: high quality covered bonds >= 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 75.01 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
Liquidity coverage, collateral swaps, significant currencies (DA) (C 75.01.w)
Rows
- 0030Level 1 assets (excl. EHQ covered bonds)
- 0050Level 1: extremely high quality covered bonds
- 0070Level 2A assets
- 0090Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0110Level 2B: high quality covered bonds
- 0130Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0150Other Level 2B
- 0170Non-liquid assets
- 0200Level 1 assets (excl. EHQ covered bonds)
- 0220Level 1: extremely high quality covered bonds
- 0240Level 2A assets
- 0260Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0280Level 2B: high quality covered bonds
- 0300Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0320Other Level 2B
- 0340Non-liquid assets
- 0370Level 1 assets (excl. EHQ covered bonds)
- 0390Level 1: extremely high quality covered bonds
- 0410Level 2A assets
- 0430Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0450Level 2B: high quality covered bonds
- 0470Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0490Other Level 2B
- 0510Non-liquid assets
- 0540Level 1 assets (excl. EHQ covered bonds)
- 0560Level 1: extremely high quality covered bonds
- 0580Level 2A assets
- 0600Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0620Level 2B: high quality covered bonds
- 0640Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0660Other Level 2B
- 0680Non-liquid assets
- 0710Level 1 assets (excl. EHQ covered bonds)
- 0730Level 1: extremely high quality covered bonds
- 0750Level 2A assets
- 0770Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0790Level 2B: high quality covered bonds
- 0810Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0830Other Level 2B
- 0850Non-liquid assets
And 86 more.
Column
- 0060Applicable weight
A worked example
The first of its checks, with simple numbers.
Level 2B: high quality covered bonds, applicable weight 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_75.01.w,r0450,c0060,} >= 0The next five:
{C_75.01.w,r2170,c0060,} >= 0{C_75.01.w,r0600,c0060,} >= 0{C_75.01.w,r1730,c0060,} >= 0{C_75.01.w,r1600,c0060,} >= 0{C_75.01.w,r2110,c0060,} >= 0And 120 more, the same formula for the other cells it covers.
Other rules on C 75.01.w
- Outflows cannot be negative (v7693_s)Warning
- Liquidity value of collateral lent cannot be negative (v7695_s)Warning
- None of the 261 values it checks in liquidity coverage can be negative (v7692_s)Warning
- Liquidity value of collateral borrowed cannot be negative (v7696_s)Warning
- None of the 548 values it checks in liquidity coverage can be negative (v7773_s)Warning
- Total collateral swaps (counterparty is non-central bank): totals for transactions in which non-liquid assets are lent and the following collateral is borrowed must equal the sum of its eight parts (v7470_m)Warning
- Total collateral swaps (counterparty is central bank): totals for transactions in which non-liquid assets are lent and the following collateral is borrowed must equal the sum of its eight parts (v7469_m)Warning
- Total collateral swaps (counterparty is non-central bank): totals for transactions in which other Level 2B assets are lent and the following collateral is borrowed must equal the sum of its eight parts (v7468_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.