The rule in plain words
For economic value of equity: the absolute value of total liabilities must equal these ten worked out:
- The absolute value of central bank
- The absolute value of interbank
- The absolute value of debt securities issued
- The absolute value of NMDs: retail transactional
- The absolute value of NMDs: retail non-transactional
- The absolute value of NMDs: wholesale non-financial
- The absolute value of NMDs: wholesale financial
- The absolute value of term deposits
- The absolute value of derivatives hedging liabilities
- The absolute value of other
All the values are in the EVE - Parallel shock down column (0050) of J 02.00.
EBA writes it out six 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)
Rows
- 0200Total liabilities
- 0220Central bank
- 0230Interbank
- 0240Debt securities issued
- 0270NMDs: Retail transactional
- 0310NMDs: Retail non-transactional
- 0350NMDs: Wholesale non-financial
- 0390NMDs: Wholesale financial
- 0420Term deposits
- 0470Derivatives hedging liabilities
- 0510Other
Column
- 0050EVE - Parallel shock down
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}.
abs({J_02.00,r0200,c0050,}) = abs({J_02.00,r0220,c0050,}) + abs({J_02.00,r0230,c0050,}) + abs({J_02.00,r0240,c0050,}) + abs({J_02.00,r0270,c0050,}) + abs({J_02.00,r0310,c0050,}) + abs({J_02.00,r0350,c0050,}) + abs({J_02.00,r0390,c0050,}) + abs({J_02.00,r0420,c0050,}) + abs({J_02.00,r0470,c0050,}) + abs({J_02.00,r0510,c0050,})And 5 more, the same formula for the other cells it covers.
Other rules on J 02.00
- Net interest income: the absolute value of total liabilities must equal a sum of ten rows (v903577_m)Warning
- 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
Checks like this one, run at the point of submission, are the first step to real-time supervision.