The rule in plain words
Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is non - central Bank) must equal these three added up:
- Level 2B tradable assets
- Level 1 tradable assets
- Level 2A tradable assets
All the values are in the greater than 9 months up to 12 months column (0190) and on the total currencies sheet (0010) of C 66.01.a.
EBA writes it out 21 times. These words are for the first; the others are the same rule on other cells.
The template it checks
Maturity ladder, total, overnight and higher maturity (C 66.01.a)
Rows
- 0065Liabilities resulting from secured lending and capital market driven transactions collateralised by (Counterparty is non - Central Bank)
- 0075Level 1 tradable assets
- 0145Level 2A tradable assets
- 0185Level 2B tradable assets
Column
- 0190Greater than 9 months up to 12 months
Sheet
- 0010Total currencies
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,r0065,c0190,s0010} = {C_66.01.a,r0185,c0190,s0010} + {C_66.01.a,r0075,c0190,s0010} + {C_66.01.a,r0145,c0190,s0010}And 20 more, the same formula for the other cells it covers.
Other rules on C 66.01.a
- Committed credit facilities must equal the sum of its two parts (v903223_h)Warning
- Outflows from committed facilities cannot be less than intragroup or IPS (v11878_m)Warning
- Open maturity items cannot be negative (v11609_s)Warning
- Other inflows cannot be less than intragroup or IPS (v11501_m)Warning
- Credit institutions cannot be less than intragroup or IPS (v11499_m)Warning
- Monies due from secured lending and capital market driven transactions collateralised by cannot be less than intragroup or IPS (v11497_m)Warning
- Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) cannot be less than intragroup or IPS (v11495_m)Warning
- Liabilities resulting from secured lending and capital market driven transactions collateralised by (counterparty is non, central Bank) cannot be less than intragroup or IPS (v11493_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.