The rule in plain words
Total liabilities must equal these ten added up:
- Central bank
- Interbank
- Debt securities issued
- NMDs: retail transactional
- NMDs: retail non-transactional
- NMDs: wholesale non-financial
- NMDs: wholesale financial
- Term deposits
- Derivatives hedging liabilities
- Other
EBA checks it for three columns: carrying amount, level of EVE - Baseline scenario and level of NII - Baseline scenario. That makes three 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.
Level of EVE - Baseline scenario: Total liabilities = Central bank + Interbank + Debt securities issued + NMDs: Retail transactional + NMDs: Retail non-transactional + NMDs: Wholesale non-financial + NMDs: Wholesale financial + Term deposits + Derivatives hedging liabilities + Other
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark J 02.00 as reported.
- 06This 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
Breakdown of sensitivity estimates (J 02.00)
Rows
- 0200Total liabilities
- 0220Central bank
- 0230Interbank
- 0240Debt securities issued
- 0270NMDs: Retail transactional
- 0310NMDs: Retail non-transactional
- 0350NMDs: Wholesale non-financial
- 0390NMDs: Wholesale financial
- 0420Term deposits
- 0470Derivatives hedging liabilities
- 0510Other
Columns
- 0010Carrying amount
- 0030Level of EVE - Baseline scenario
- 0100Level of NII - Baseline scenario
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_02.00,r0200,c0030,} = {J_02.00,r0220,c0030,} + {J_02.00,r0230,c0030,} + {J_02.00,r0240,c0030,} + {J_02.00,r0270,c0030,} + {J_02.00,r0310,c0030,} + {J_02.00,r0350,c0030,} + {J_02.00,r0390,c0030,} + {J_02.00,r0420,c0030,} + {J_02.00,r0470,c0030,} + {J_02.00,r0510,c0030,}The next two:
{J_02.00,r0200,c0010,} = {J_02.00,r0220,c0010,} + {J_02.00,r0230,c0010,} + {J_02.00,r0240,c0010,} + {J_02.00,r0270,c0010,} + {J_02.00,r0310,c0010,} + {J_02.00,r0350,c0010,} + {J_02.00,r0390,c0010,} + {J_02.00,r0420,c0010,} + {J_02.00,r0470,c0010,} + {J_02.00,r0510,c0010,}{J_02.00,r0200,c0100,} = {J_02.00,r0220,c0100,} + {J_02.00,r0230,c0100,} + {J_02.00,r0240,c0100,} + {J_02.00,r0270,c0100,} + {J_02.00,r0310,c0100,} + {J_02.00,r0350,c0100,} + {J_02.00,r0390,c0100,} + {J_02.00,r0420,c0100,} + {J_02.00,r0470,c0100,} + {J_02.00,r0510,c0100,}Other rules on J 02.00
- Total assets must equal the sum of its six parts (v22157_m)Warning
- Net derivatives must equal derivatives hedging assets minus derivatives hedging liabilities plus other derivatives (net asset or liability) (v22159_m)Warning
- Net interest rate position without derivatives must equal a calculation over six rows (v22160_m)Warning
- Net interest rate position with derivatives must equal a calculation over five rows (v22161_m)Warning
- Total assets with MV impact must equal debt securities plus derivatives plus other (v22162_m)Warning
- Total liabilities with MV impact must equal the sum of its three parts (v22163_m)Warning
- Derivatives hedging assets must equal hedging debt securities plus hedging other assets (v22164_m)Warning
- Term deposits must equal retail plus wholesale non-financial plus wholesale financial (v22165_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.