The rule in plain words
Net derivatives must equal these three worked out:
- Derivatives hedging assets
- Minus derivatives hedging liabilities
- Other derivatives (net asset or liability)
EBA checks it for two columns: level of EVE - Baseline scenario and level of NII - Baseline scenario. That makes two 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 NII - Baseline scenario: Net derivatives = Derivatives hedging assets - Derivatives hedging liabilities + Other derivatives (Net asset/liability)
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 J 02.00 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
Breakdown of sensitivity estimates (J 02.00)
Rows
- 0140Derivatives hedging assets
- 0470Derivatives hedging liabilities
- 0530Other derivatives (Net asset/liability)
- 0540Net derivatives
Columns
- 0030Level of EVE - Baseline scenario
- 0100Level of NII - Baseline scenario
A worked example
The first of its checks, with simple numbers.
Net derivatives must then be 850.
A file that reports 850 passes. One that reports 950 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}.
{J_02.00,r0540,c0100,} = {J_02.00,r0140,c0100,} - {J_02.00,r0470,c0100,} + {J_02.00,r0530,c0100,}The next one:
{J_02.00,r0540,c0030,} = {J_02.00,r0140,c0030,} - {J_02.00,r0470,c0030,} + {J_02.00,r0530,c0030,}Other rules on J 02.00
- Total liabilities must equal the sum of its ten parts (v22158_m)Warning
- Net interest rate position without derivatives must equal a calculation over six rows (v22160_m)Warning
- Total assets must equal the sum of its six parts (v22157_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.