The rule in plain words
Total assets with MV impact must equal these three added up:
- Debt securities
- Derivatives
- Other
EBA checks it for three columns: level of MV - Baseline scenario, MV - Parallel shock up and MV - Parallel shock down. 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.
MV - Parallel shock down: Total Assets with MV impact = Debt securities + Derivatives + 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 03.00 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 (simplified for 'other' institutions) (J 03.00)
Rows
- 0570Total Assets with MV impact
- 0580Debt securities
- 0590Derivatives
- 0600Other
Columns
- 0130Level of MV - Baseline scenario
- 0140MV - Parallel shock up
- 0150MV - Parallel shock down
A worked example
The first of its checks, with simple numbers.
Total assets with MV impact 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_03.00,r0570,c0150,} = {J_03.00,r0580,c0150,} + {J_03.00,r0590,c0150,} + {J_03.00,r0600,c0150,}The next two:
{J_03.00,r0570,c0140,} = {J_03.00,r0580,c0140,} + {J_03.00,r0590,c0140,} + {J_03.00,r0600,c0140,}{J_03.00,r0570,c0130,} = {J_03.00,r0580,c0130,} + {J_03.00,r0590,c0130,} + {J_03.00,r0600,c0130,}Other rules on J 03.00
- Net interest rate position with derivatives must equal a calculation over five rows (v22171_m)Warning
- Total liabilities with MV impact must equal the sum of its three parts (v22173_m)Warning
- Net interest rate position without derivatives must equal a calculation over six rows (v22170_m)Warning
- Derivatives hedging assets must equal hedging debt securities plus hedging other assets (v22174_m)Warning
- Net derivatives must equal derivatives hedging assets minus derivatives hedging liabilities plus other derivatives (net asset or liability) (v22169_m)Warning
- Derivatives hedging liabilities must equal the sum of its two parts (v22175_m)Warning
- Total liabilities must equal the sum of its ten parts (v22168_m)Warning
- Total assets must equal the sum of its six parts (v22167_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.