The rule in plain words
Floor must equal the larger of assumed charge for CTP floor - weighted net long positions after cap and assumed charge for CTP floor - weighted net short positions after cap times 0.08.
All the values are in the total positions row (0010) of C 24.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TOTAL POSITIONS, Floor = the larger of TOTAL POSITIONS, Assumed charge for CTP floor - weighted net long positions after cap and TOTAL POSITIONS, Assumed charge for CTP floor - weighted net short positions after cap × 0.08
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 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 24.00 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: internal models - total (C 24.00)
Row
- 0010TOTAL POSITIONS
Columns
- 0090Floor
- 0170Assumed charge for CTP floor - weighted net long positions after cap
- 0180Assumed charge for CTP floor - weighted net short positions after cap
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_24.00,r0010,c0090,} = max({C_24.00,r0010,c0170,},{C_24.00,r0010,c0180,}) * 0.08Other rules on C 24.00
- 12.5 times own funds requirements must equal total risk exposure amount (v0636_m)Warning
- Own funds requirements must equal a sum of four terms (v0637_m)Warning
- None of the 44 values it checks in market risk: internal models: total can be negative (v3793_s)Warning
- Total amount for general risk cannot be more than the sum of four rows (v4859_m)Warning
- Total amount for specific risk cannot be more than the sum of two rows (v4860_m)Warning
- Total positions must be at least 3 (v6296_m)Warning
- Total positions, number of overshootings cannot be more than 250 (v6297_m)Warning
- Total positions, number of overshootings cannot be more than 30 (v6298_m)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.