The rule in plain words
12.5 times own funds requirements must equal total risk exposure amount.
All the values are in the equities in trading book row (0010) of C 21.00.
EBA checks it on 25 sheets, from total (0001) to euro area (0044). That makes 25 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 × EQUITIES IN TRADING BOOK, Own funds requirements, Japan = EQUITIES IN TRADING BOOK, Total risk exposure amount, Japan
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 21.00 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 position risk in equities (C 21.00)
Row
- 0010EQUITIES IN TRADING BOOK
Columns
- 0060Own funds requirements
- 0070Total risk exposure amount
Sheets
- 0001Total
- 0004Bulgaria
- 0006Czech Republic
- 0007Denmark
- 0013Hungary
- 0021Poland
- 0023Romania
- 0027Sweden
- 0028United Kingdom
- 0029Albania
- 0030Japan
- 0031Macedonia
- 0032Russian Federation
- 0033Serbia
- 0034Switzerland
- 0035Turkey
- 0036Ukraine
- 0037USA
- 0038Norway
- 0039Egypt
- 0040Iceland
- 0041Liechtenstein
- 0042Other
- 0043Croatia
- 0044Euro Area
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_21.00,r0010,c0060,s0030} * 12.5 = {C_21.00,r0010,c0070,s0030}The next five:
{C_21.00,r0010,c0060,s0043} * 12.5 = {C_21.00,r0010,c0070,s0043}{C_21.00,r0010,c0060,s0028} * 12.5 = {C_21.00,r0010,c0070,s0028}{C_21.00,r0010,c0060,s0039} * 12.5 = {C_21.00,r0010,c0070,s0039}{C_21.00,r0010,c0060,s0001} * 12.5 = {C_21.00,r0010,c0070,s0001}{C_21.00,r0010,c0060,s0037} * 12.5 = {C_21.00,r0010,c0070,s0037}And 19 more, the same formula for the other cells it covers.
Other rules on C 21.00
- Equities in trading book must equal the sum of its three parts (v0620_m)Warning
- 0.08 times positions subject to capital charge must equal own funds requirements (row 0020, v0621_m)Warning
- General risk must equal the sum of its two parts (v0622_m)Warning
- 0.08 times positions subject to capital charge must equal own funds requirements (row 0050, v0623_m)Warning
- Equities in trading book, total risk exposure amount cannot be negative (v3778_s)Warning
- Own funds requirements cannot be negative (v3779_s)Warning
- None of the 300 values it checks in market risk: standardised approach for position risk in equities can be negative (v3780_s)Warning
- None of the 200 values it checks in market risk: standardised approach for position risk in equities can be negative (v3781_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.