The rule in plain words
Total risk exposure amount for the business subject to market risk must equal these four added up:
- Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
- Risk exposure amount for business subject to market risk calculated by entities exclusively applying the simplified standardised approach (S
- Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying exclusively the alternative standardised appr
- Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the alternative internal models approach
All the values are in the TREA column (0010) of C 02.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TREA: TOTAL RISK EXPOSURE AMOUNT FOR THE BUSINESS SUBJECT TO MARKET RISK = Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM) + Risk exposure amount for business subject to market risk calculated by entities exclusively applying the simplified standardised approach (S + Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying exclusively the Alternative standardised appr + Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the Alternative Internal Models Approach
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 02.00 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Rows
- 0520TOTAL RISK EXPOSURE AMOUNT FOR THE BUSINESS SUBJECT TO MARKET RISK
- 0530Risk exposure amount for business subject to market risk calculated by entities exclusively applying the simplified standardised approach (S
- 0580Risk exposure amount for Position, foreign exchange and commodities risks under internal models (IM)
- 0581Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying exclusively the Alternative standardised appr
- 0585Risk exposure amount for on- and off-balance sheet subject to market risk of entities applying only the Alternative Internal Models Approach
Column
- 0010TREA
A worked example
The first of its checks, with simple numbers.
Total risk exposure amount for the business subject to market risk must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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. Cells are written as {template, row, column, sheet}.
{C_02.00.a,r0520,c0010,} = {C_02.00.a,r0580,c0010,} + {C_02.00.a,r0530,c0010,} + {C_02.00.a,r0581,c0010,} + {C_02.00.a,r0585,c0010,}Other rules on C 02.00.a
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal standardised approach (SA), TREA (v22973_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal full basic approach (F-BA), TREA (v22974_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal reduced basic approach (R-BA), TREA (v22975_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal simplified approach, TREA (v22976_m)Warning
- 12.5 times transactions in scope of the own funds requirement for CVA risk, own funds requirements must equal simplified treatment for derivative positions in CIUs, TREA (v22977_m)Warning
- A calculation check on capital adequacy: risk exposure amounts (v22999_m)Warning
- Central governments or central banks, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23269_m)Warning
- Regional governments or local authorities, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23270_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.