Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Net interest rate position with derivatives must equal a calculation over five rows (J 02.00, EBA rule v22161_m)

A warning in the interest rate risk in the banking book return (IRRBB), on template J 02.00, breakdown of sensitivity estimates.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Net interest rate position with derivatives must equal these five worked out:

  • Total assets
  • Off-balance sheet assets: contingent assets
  • Minus total liabilities
  • Minus off-balance sheet liabilities: contingent liabilities
  • Other derivatives (net asset or liability)

EBA checks it for ten columns, from level of EVE - Baseline scenario (0030) to EVE - Parallel shock down (0120). That makes ten checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

EVE - Parallel shock down: Net interest rate position with derivatives = Total assets + Off-balance sheet assets: contingent assets - Total liabilities - Off-balance sheet liabilities: Contingent liabilities + Other derivatives (Net asset/liability)

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark J 02.00 as reported.
  5. 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

  • 0010Total assets
  • 0190Off-balance sheet assets: contingent assets
  • 0200Total liabilities
  • 0520Off-balance sheet liabilities: Contingent liabilities
  • 0530Other derivatives (Net asset/liability)
  • 0560Net interest rate position with derivatives

Columns

  • 0030Level of EVE - Baseline scenario
  • 0040EVE - Parallel shock up
  • 0050EVE - Parallel shock down
  • 0060EVE - Steepener shock
  • 0070EVE - Flattener shock
  • 0080EVE - Short rates shock up
  • 0090EVE - Short rates shock down
  • 0100Level of NII - Baseline scenario
  • 0110NII - Parallel shock up
  • 0120EVE - Parallel shock down

A worked example

The first of its checks, with simple numbers.

Illustrative values
Total assets1,200
Off-balance sheet assets: contingent assets800
Total liabilities (taken away)450
Off-balance sheet liabilities: contingent liabilities (taken away)300
Other derivatives (net asset or liability)150
Together1,400
What the rule then expects

Net interest rate position with derivatives must then be 1,400.

1,400Passes
1,500Fails

A file that reports 1,400 passes. One that reports 1,500 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{J_02.00,r0560,c0050,} = {J_02.00,r0010,c0050,} + {J_02.00,r0190,c0050,} - {J_02.00,r0200,c0050,} - {J_02.00,r0520,c0050,} + {J_02.00,r0530,c0050,}

The next five:

{J_02.00,r0560,c0060,} = {J_02.00,r0010,c0060,} + {J_02.00,r0190,c0060,} - {J_02.00,r0200,c0060,} - {J_02.00,r0520,c0060,} + {J_02.00,r0530,c0060,}{J_02.00,r0560,c0100,} = {J_02.00,r0010,c0100,} + {J_02.00,r0190,c0100,} - {J_02.00,r0200,c0100,} - {J_02.00,r0520,c0100,} + {J_02.00,r0530,c0100,}{J_02.00,r0560,c0040,} = {J_02.00,r0010,c0040,} + {J_02.00,r0190,c0040,} - {J_02.00,r0200,c0040,} - {J_02.00,r0520,c0040,} + {J_02.00,r0530,c0040,}{J_02.00,r0560,c0070,} = {J_02.00,r0010,c0070,} + {J_02.00,r0190,c0070,} - {J_02.00,r0200,c0070,} - {J_02.00,r0520,c0070,} + {J_02.00,r0530,c0070,}{J_02.00,r0560,c0120,} = {J_02.00,r0010,c0120,} + {J_02.00,r0190,c0120,} - {J_02.00,r0200,c0120,} - {J_02.00,r0520,c0120,} + {J_02.00,r0530,c0120,}

And 4 more, the same formula for the other cells it covers.

Every IRRBB rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.