The rule in plain words
Term deposits must equal these three added up:
- Retail
- Wholesale non-financial
- Wholesale financial
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 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.
EVE - Parallel shock up: Term deposits = Retail + Wholesale non-financial + Wholesale financial
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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
- 0420Term deposits
- 0440Retail
- 0450Wholesale non-financial
- 0460Wholesale financial
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.
Term deposits must then be 2,450.
A file that reports 2,450 passes. One that reports 2,550 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,r0420,c0040,} = {J_02.00,r0440,c0040,} + {J_02.00,r0450,c0040,} + {J_02.00,r0460,c0040,}The next five:
{J_02.00,r0420,c0070,} = {J_02.00,r0440,c0070,} + {J_02.00,r0450,c0070,} + {J_02.00,r0460,c0070,}{J_02.00,r0420,c0080,} = {J_02.00,r0440,c0080,} + {J_02.00,r0450,c0080,} + {J_02.00,r0460,c0080,}{J_02.00,r0420,c0120,} = {J_02.00,r0440,c0120,} + {J_02.00,r0450,c0120,} + {J_02.00,r0460,c0120,}{J_02.00,r0420,c0060,} = {J_02.00,r0440,c0060,} + {J_02.00,r0450,c0060,} + {J_02.00,r0460,c0060,}{J_02.00,r0420,c0090,} = {J_02.00,r0440,c0090,} + {J_02.00,r0450,c0090,} + {J_02.00,r0460,c0090,}And 4 more, the same formula for the other cells it covers.
Other rules on J 02.00
- Derivatives hedging assets must equal hedging debt securities plus hedging other assets (v22164_m)Warning
- Derivatives hedging liabilities must equal the sum of its two parts (v22166_m)Warning
- Total liabilities with MV impact must equal the sum of its three parts (v22163_m)Warning
- Total assets with MV impact must equal debt securities plus derivatives plus other (v22162_m)Warning
- Net interest rate position with derivatives must equal a calculation over five rows (v22161_m)Warning
- Net interest rate position without derivatives must equal a calculation over six rows (v22160_m)Warning
- Net derivatives must equal derivatives hedging assets minus derivatives hedging liabilities plus other derivatives (net asset or liability) (v22159_m)Warning
- Total liabilities must equal the sum of its ten parts (v22158_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.