The rule in plain words
Weighted average maturity (contractual) cannot be negative.
EBA checks it for 26 rows, from total assets (0010) to other derivatives (net asset or liability) (0530). That makes 26 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.
Weighted average maturity (contractual): Debt securities >= 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 J 05.00 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
Repricing cash flows (II) (J 05.00.b)
Rows
- 0010Total assets
- 0030Central bank
- 0040Interbank
- 0050Loans and advances
- 0060Of which: non-performing
- 0070Retail
- 0090Of which: secured by residential real estate
- 0100Wholesale non-financial
- 0110Wholesale financial
- 0120Debt securities
- 0140Derivatives hedging assets
- 0180Other
- 0190Off-balance sheet assets: contingent assets
- 0200Total liabilities
- 0220Central bank
- 0230Interbank
- 0240Debt securities issued
- 0260Of which: AT1 or T2
- 0420Term deposits
- 0440Retail
- 0450Wholesale non-financial
- 0460Wholesale financial
- 0470Derivatives hedging liabilities
- 0510Other
- 0520Off-balance sheet liabilities: contingent liabilities
- 0530Other derivatives (Net asset/liability)
Column
- 0310Weighted average maturity (contractual)
A worked example
The first of its checks, with simple numbers.
Debt securities, weighted average maturity (contractual) 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}.
{J_05.00.b,r0120,c0310,} >= 0The next five:
{J_05.00.b,r0140,c0310,} >= 0{J_05.00.b,r0030,c0310,} >= 0{J_05.00.b,r0110,c0310,} >= 0{J_05.00.b,r0460,c0310,} >= 0{J_05.00.b,r0190,c0310,} >= 0And 20 more, the same formula for the other cells it covers.
Other rules on J 05.00.b
- % subject to behavioural modelling cannot be negative (v16327_s)Warning
- None of the 74 values it checks in repricing cash flows (II) can be negative (v16326_s)Warning
- Notional amount cannot be negative (v16325_s)Warning
- Total assets must equal the sum of its six parts (v22178_m)Warning
- Total liabilities must equal the sum of its ten parts (v22179_m)Warning
- Total assets with MV impact must equal debt securities plus derivatives plus other (v22180_m)Warning
- Total liabilities with MV impact must equal the sum of its three parts (v22181_m)Warning
- Derivatives hedging assets must equal hedging debt securities plus hedging other assets (v22182_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.