The rule in plain words
Hedging debt securities, duration cannot be negative.
EBA writes it out 51 times. These words are for the first; the others are the same rule on other cells.
The template it checks
Breakdown of sensitivity estimates (J 02.00)
Row
- 0160Hedging debt securities
Column
- 0020Duration
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,r0160,c0020,} >= 0And 50 more, the same formula for the other cells it covers.
Other rules on J 02.00
- Derivatives hedging liabilities must equal the sum of its two parts (v22166_m)Warning
- Term deposits must equal retail plus wholesale non-financial plus wholesale financial (v22165_m)Warning
- Derivatives hedging assets must equal hedging debt securities plus hedging other assets (v22164_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
Checks like this one, run at the point of submission, are the first step to real-time supervision.