The rule in plain words
General risk must equal exchange traded stock-index futures broadly diversified subject to particular approach plus other equities than exchange traded stock-index futures broadly diversified.
EBA checks it for two columns: long and short. And on 25 sheets, from total (0001) to euro area (0044). That makes 50 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.
Long: General risk, Hungary = Exchange traded stock-index futures broadly diversified subject to particular approach, Hungary + Other equities than exchange traded stock-index futures broadly diversified, Hungary
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C 21.00 as reported.
- 06This 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)
Rows
- 0020General risk
- 0030Exchange traded stock-index futures broadly diversified subject to particular approach
- 0040Other equities than exchange traded stock-index futures broadly diversified
Columns
- 0030Long
- 0040Short
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.
General risk must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 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,r0020,c0030,s0013} = {C_21.00,r0030,c0030,s0013} + {C_21.00,r0040,c0030,s0013}The next five:
{C_21.00,r0020,c0040,s0031} = {C_21.00,r0030,c0040,s0031} + {C_21.00,r0040,c0040,s0031}{C_21.00,r0020,c0030,s0029} = {C_21.00,r0030,c0030,s0029} + {C_21.00,r0040,c0030,s0029}{C_21.00,r0020,c0040,s0035} = {C_21.00,r0030,c0040,s0035} + {C_21.00,r0040,c0040,s0035}{C_21.00,r0020,c0030,s0007} = {C_21.00,r0030,c0030,s0007} + {C_21.00,r0040,c0030,s0007}{C_21.00,r0020,c0030,s0035} = {C_21.00,r0030,c0030,s0035} + {C_21.00,r0040,c0030,s0035}And 44 more, the same formula for the other cells it covers.
Other rules on C 21.00
- 0.08 times positions subject to capital charge must equal own funds requirements (row 0020, v0621_m)Warning
- 0.08 times positions subject to capital charge must equal own funds requirements (row 0050, v0623_m)Warning
- Equities in trading book must equal the sum of its three parts (v0620_m)Warning
- 12.5 times own funds requirements must equal total risk exposure amount (v0619_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.