The rule in plain words
Net contractual gap must equal total inflows minus total outflows.
EBA checks it for 21 columns, from overnight (0020) to greater than 5 years (0220). That makes 21 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 30 days up to 5 weeks: Net contractual gap = Total inflows - Total outflows
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 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, significant currencies, overnight and higher maturity (C 66.01.w)
Rows
- 0380Total outflows
- 0700Total inflows
- 0710Net contractual gap
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
A worked example
The first of its checks, with simple numbers.
Net contractual gap must then be 400.
A file that reports 400 passes. One that reports 500 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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.w,r0710,c0120,} = {C_66.01.w,r0700,c0120,} - {C_66.01.w,r0380,c0120,}The next five:
{C_66.01.w,r0710,c0050,} = {C_66.01.w,r0700,c0050,} - {C_66.01.w,r0380,c0050,}{C_66.01.w,r0710,c0190,} = {C_66.01.w,r0700,c0190,} - {C_66.01.w,r0380,c0190,}{C_66.01.w,r0710,c0220,} = {C_66.01.w,r0700,c0220,} - {C_66.01.w,r0380,c0220,}{C_66.01.w,r0710,c0110,} = {C_66.01.w,r0700,c0110,} - {C_66.01.w,r0380,c0110,}{C_66.01.w,r0710,c0180,} = {C_66.01.w,r0700,c0180,} - {C_66.01.w,r0380,c0180,}And 15 more, the same formula for the other cells it covers.
Other rules on C 66.01.w
- Undrawn committed facilities received must equal the sum of its four parts (v8772_m)Warning
- Other tradable assets (row 0920) must equal the sum of its six parts (v8771_m)Warning
- Counterbalancing capacity: level 2B tradable assets must equal the sum of its five parts (v8770_m)Warning
- Counterbalancing capacity: level 2A tradable assets must equal the sum of its three parts (v8769_m)Warning
- Monies due from secured lending and capital market driven transactions collateralised by: level 1 tradable assets must equal the sum of its two parts (v8778_m)Warning
- Level 1 excluding covered bonds must equal the sum of its four parts (row 0410, v8779_m)Warning
- Net change of Counterbalancing Capacity must equal the sum of its seven parts (v8766_m)Warning
- Monies due from secured lending and capital market driven transactions collateralised by: level 2A tradable assets must equal the sum of its three parts (v8780_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.