The rule in plain words
None of the values it checks in trading book and market risk thresholds (TBT) can be negative.
EBA checks it for eight columns: on - and off - balance sheet business subject to market risk, trading book, total, in % of total assets (0040), positions subject to foreign exchange risk, positions subject to commodities risk, in % of total assets (0070), and total assets. And for three rows: month 3, month 2 and month 1. That makes 24 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.
Positions subject to foreign exchange risk: Month 3 >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 90.00 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
Trading book and market risk thresholds (TBT) (C 90.00)
Rows
- 0010Month 3
- 0020Month 2
- 0030Month 1
Columns
- 0010On - and off - balance sheet business subject to market risk
- 0020Trading book
- 0030Total
- 0040In % of total assets
- 0050Positions subject to foreign exchange risk
- 0060Positions subject to Commodities risk
- 0070In % of total assets
- 0080Total assets
A worked example
The first of its checks, with simple numbers.
Month 3, positions subject to foreign exchange risk must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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_90.00,r0010,c0050,} >= 0The next five:
{C_90.00,r0030,c0010,} >= 0{C_90.00,r0030,c0030,} >= 0{C_90.00,r0010,c0040,} >= 0{C_90.00,r0030,c0060,} >= 0{C_90.00,r0030,c0070,} >= 0And 18 more, the same formula for the other cells it covers.
Other rules on C 90.00
- In % of total assets times total assets must equal on, and off, balance sheet business subject to market risk (v10101_m)Warning
- In % of total assets times total assets must equal total (v10100_m)Warning
- On, and off, balance sheet business subject to market risk must equal the sum of its three parts (v10099_m)Warning
Checks like this one, run at the point of submission, are the first step to real-time supervision.