The rule in plain words
None of the values it checks in liquidity coverage, collateral swaps, total (DA) can be negative.
EBA checks it for two columns: market value of collateral lent and market value of collateral borrowed. And for 274 rows, from total collateral swaps (counterparty is central bank) (0010) to total collateral swaps with intragroup counterparties (2740). That makes 548 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.
Market value of collateral lent: Other Level 2B >= 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, total (DA) (C 75.01.a)
Rows
- 0010TOTAL COLLATERAL SWAPS (counterparty is central bank)
- 0020Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:
- 0030Level 1 assets (excl. EHQ covered bonds)
- 0040Of which collateral swapped meets operational requirements
- 0050Level 1: extremely high quality covered bonds
- 0060Of which collateral swapped meets operational requirements
- 0070Level 2A assets
- 0080Of which collateral swapped meets operational requirements
- 0090Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0100Of which collateral swapped meets operational requirements
- 0110Level 2B: high quality covered bonds
- 0120Of which collateral swapped meets operational requirements
- 0130Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0140Of which collateral swapped meets operational requirements
- 0150Other Level 2B
- 0160Of which collateral swapped meets operational requirements
- 0170Non-liquid assets
- 0180Of which collateral swapped meets operational requirements
- 0190Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:
- 0200Level 1 assets (excl. EHQ covered bonds)
- 0210Of which collateral swapped meets operational requirements
- 0220Level 1: extremely high quality covered bonds
- 0230Of which collateral swapped meets operational requirements
- 0240Level 2A assets
- 0250Of which collateral swapped meets operational requirements
- 0260Level 2B: asset-backed securities (residential or automobile, CQS1)
- 0270Of which collateral swapped meets operational requirements
- 0280Level 2B: high quality covered bonds
- 0290Of which collateral swapped meets operational requirements
- 0300Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)
- 0310Of which collateral swapped meets operational requirements
- 0320Other Level 2B
- 0330Of which collateral swapped meets operational requirements
- 0340Non-liquid assets
- 0350Of which collateral swapped meets operational requirements
- 0360Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:
- 0370Level 1 assets (excl. EHQ covered bonds)
- 0380Of which collateral swapped meets operational requirements
- 0390Level 1: extremely high quality covered bonds
- 0400Of which collateral swapped meets operational requirements
And 234 more.
Columns
- 0010Market value of collateral lent
- 0030Market value of collateral borrowed
A worked example
The first of its checks, with simple numbers.
Other Level 2B, market value of collateral 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}.
{C_75.01.a,r0490,c0010,} >= 0The next five:
{C_75.01.a,r0690,c0010,} >= 0{C_75.01.a,r1640,c0030,} >= 0{C_75.01.a,r1120,c0030,} >= 0{C_75.01.a,r1800,c0030,} >= 0{C_75.01.a,r1050,c0030,} >= 0And 542 more, the same formula for the other cells it covers.
Other rules on C 75.01.a
- Liquidity value of collateral borrowed cannot be negative (v7691_s)Warning
- Liquidity value of collateral lent cannot be negative (v7690_s)Warning
- Applicable weight cannot be negative (v7689_s)Warning
- Outflows cannot be negative (v7688_s)Warning
- None of the 261 values it checks in liquidity coverage, collateral swaps, total (DA) can be negative (v7687_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 (v7452_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 (v7451_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 (v7450_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.