The rule in plain words
Own funds requirements must equal these four worked out:
- The larger of multiplication factor (mc) x average of previous 60 working days (VaRavg) and previous day (VaRt-1)
- The larger of multiplication factor (ms) x average of previous 60 working days (SVaRavg) and latest available (SVaRt-1)
- The larger of weeks average measure, incremental default and migration risk capital charge and last measure, incremental default and migration risk capital charge
- The largest of floor, weeks average measure, all price risks capital charge for CTP and last measure, all price risks capital charge for CTP
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, Own funds requirements = the larger of TOTAL POSITIONS, Multiplication factor (mc) x average of previous 60 working days (VaRavg) and TOTAL POSITIONS, Previous day (VaRt-1) + the larger of TOTAL POSITIONS, Multiplication factor (ms) x average of previous 60 working days (SVaRavg) and TOTAL POSITIONS, Latest available (SVaRt-1) + the larger of TOTAL POSITIONS, Incremental default and migration risk capital charge, 12 weeks average measure and TOTAL POSITIONS, Incremental default and migration risk capital charge, last measure + the largest of TOTAL POSITIONS, Floor, TOTAL POSITIONS, All price risks capital charge for CTP, 12 weeks average measure and TOTAL POSITIONS, All price risks capital charge for CTP, last measure
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
- 0030Multiplication factor (mc) x average of previous 60 working days (VaRavg)
- 0040Previous day (VaRt-1)
- 0050Multiplication factor (ms) x average of previous 60 working days (SVaRavg)
- 0060Latest available (SVaRt-1)
- 007012 weeks average measure
- 0080Last measure
- 0090Floor
- 010012 weeks average measure
- 0110Last measure
- 0120Own funds requirements
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_24.00,r0010,c0120,} = max({C_24.00,r0010,c0030,},{C_24.00,r0010,c0040,}) + max({C_24.00,r0010,c0050,},{C_24.00,r0010,c0060,}) + max({C_24.00,r0010,c0070,},{C_24.00,r0010,c0080,}) + max({C_24.00,r0010,c0090,},{C_24.00,r0010,c0100,},{C_24.00,r0010,c0110,})Other rules on C 24.00
- 12.5 times own funds requirements must equal total risk exposure amount (v0636_m)Warning
- Floor must equal the larger of two values times 0.08 (v0635_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.