The rule in plain words
Structured notes must equal these four added up:
- Residual maturity <= 1 month
- Residual maturity > 1 month < 1 year
- Residual maturity >= 1 year and < 2 years
- Residual maturity >= 2 years
EBA checks it for twelve columns, from carrying amount (0011) to carrying amount (0111). That makes twelve 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.
Carrying Amount: Structured notes = of which: residual maturity <= 1 month + of which: residual maturity > 1 month < 1 year + of which: residual maturity >= 1 year and < 2 years + of which: residual maturity >= 2 years
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 Z 02.00 as reported.
- 06This is a blocking check. A filing that fails it is normally rejected, so fix it before you submit.
The cells it reads
Liability structure (LIAB) (Z 02.00.b)
Rows
- 0350Structured notes
- 0351of which: residual maturity <= 1 month
- 0352of which: residual maturity > 1 month < 1 year
- 0353of which: residual maturity >= 1 year and < 2 years
- 0354of which: residual maturity >= 2 years
Columns
- 0011Carrying Amount
- 0021Carrying Amount
- 0031Carrying Amount
- 0041Carrying Amount
- 0051Carrying Amount
- 0056Carrying Amount
- 0061Carrying Amount
- 0071Carrying Amount
- 0081Carrying Amount
- 0091Carrying Amount
- 0101Carrying Amount
- 0111Carrying Amount
A worked example
The first of its checks, with simple numbers.
Structured notes must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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}.
{Z_02.00.b,r0350,c0056,} = {Z_02.00.b,r0351,c0056,} + {Z_02.00.b,r0352,c0056,} + {Z_02.00.b,r0353,c0056,} + {Z_02.00.b,r0354,c0056,}The next five:
{Z_02.00.b,r0350,c0101,} = {Z_02.00.b,r0351,c0101,} + {Z_02.00.b,r0352,c0101,} + {Z_02.00.b,r0353,c0101,} + {Z_02.00.b,r0354,c0101,}{Z_02.00.b,r0350,c0111,} = {Z_02.00.b,r0351,c0111,} + {Z_02.00.b,r0352,c0111,} + {Z_02.00.b,r0353,c0111,} + {Z_02.00.b,r0354,c0111,}{Z_02.00.b,r0350,c0041,} = {Z_02.00.b,r0351,c0041,} + {Z_02.00.b,r0352,c0041,} + {Z_02.00.b,r0353,c0041,} + {Z_02.00.b,r0354,c0041,}{Z_02.00.b,r0350,c0051,} = {Z_02.00.b,r0351,c0051,} + {Z_02.00.b,r0352,c0051,} + {Z_02.00.b,r0353,c0051,} + {Z_02.00.b,r0354,c0051,}{Z_02.00.b,r0350,c0081,} = {Z_02.00.b,r0351,c0081,} + {Z_02.00.b,r0352,c0081,} + {Z_02.00.b,r0353,c0081,} + {Z_02.00.b,r0354,c0081,}And 6 more, the same formula for the other cells it covers.
Other rules on Z 02.00.b
- Uncollateralized secured liabilities must equal the sum of its four parts (v6499_m)Blocking
- Senior unsecured liabilities must equal the sum of its four parts (v6503_m)Blocking
- Deposits, not covered and not preferential must equal the sum of its four parts (v6497_m)Blocking
- Senior non-preferred liabilities must equal the sum of its four parts (v6505_m)Blocking
- Deposits, not covered but preferential must equal the sum of its four parts (v6495_m)Blocking
- Subordinated liabilities (not recognised as own funds) must equal the sum of its four parts (v6507_m)Blocking
- Liabilities not excluded from bail-in must equal the sum of its eleven parts (v6493_m)Blocking
- Other MREL eligible liabilities must equal the sum of its two parts (v6509_m)Blocking
Every RESOL1 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.