The rule in plain words
12.5 times own funds requirements must equal total risk exposure amount.
All the values are in the traded debt instruments in trading book row (0010) of C 18.00.
EBA checks it on 23 sheets, from total (0001) to other (0025). That makes 23 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.
12.5 × TRADED DEBT INSTRUMENTS IN TRADING BOOK, Own funds requirements, Danish Krone = TRADED DEBT INSTRUMENTS IN TRADING BOOK, Total risk exposure amount, Danish Krone
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 18.00 as reported.
- 05This 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
Market risk: standardised approach for traded debt instruments (C 18.00)
Row
- 0010TRADED DEBT INSTRUMENTS IN TRADING BOOK
Columns
- 0060Own funds requirements
- 0070Total risk exposure amount
Sheets
- 0001Total
- 0002Euro
- 0003Lek
- 0004Bulgarian Lev
- 0005Czech Koruna
- 0006Danish Krone
- 0007Pound Sterling
- 0008Forint
- 0009Yen
- 0012Denar
- 0013Zloty
- 0014Romanian Leu
- 0015Russian Ruble
- 0016Serbian Dinar
- 0017Swedish Krona
- 0018Swiss Franc
- 0019Turkish Lira
- 0020Hryvnia
- 0021US Dollar
- 0022Iceland Krona
- 0023Norwegian Krone
- 0024Egyptian Pound
- 0025Other
A worked example
The first of its checks, with simple numbers.
Total risk exposure amount must then be 15,000.
A file that reports 15,000 passes. One that reports 15,100 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}.
{C_18.00,r0010,c0060,s0006} * 12.5 = {C_18.00,r0010,c0070,s0006}The next five:
{C_18.00,r0010,c0060,s0015} * 12.5 = {C_18.00,r0010,c0070,s0015}{C_18.00,r0010,c0060,s0018} * 12.5 = {C_18.00,r0010,c0070,s0018}{C_18.00,r0010,c0060,s0020} * 12.5 = {C_18.00,r0010,c0070,s0020}{C_18.00,r0010,c0060,s0003} * 12.5 = {C_18.00,r0010,c0070,s0003}{C_18.00,r0010,c0060,s0025} * 12.5 = {C_18.00,r0010,c0070,s0025}And 17 more, the same formula for the other cells it covers.
Other rules on C 18.00
- Traded debt instruments in trading book must equal the sum of its three parts (v0570_m)Warning
- Specific risk must equal the sum of its three parts (v0571_m)Warning
- Own funds requirement for non-securitisation debt instruments must equal the sum of its five parts (v0572_m)Warning
- Debt securities under the second category must equal the sum of its three parts (v0574_m)Warning
- 0.08 times positions subject to capital charge must equal own funds requirements (v0578_m)Warning
- 0.12 times positions subject to capital charge must equal own funds requirements (v0579_m)Warning
- Additional requirements for options (non-delta risks) must equal the sum of its five parts (v0006_h)Warning
- Own funds requirement for non-securitisation debt instruments: own funds requirements cannot be negative (v3764_s)Warning
Every COREP own funds rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.