The rule in plain words
General risk cannot be less than derivatives plus other assets and liabilities.
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.
Short: General risk, Czech Republic >= Derivatives, Czech Republic + Other assets and liabilities, Czech Republic
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 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 21.00 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: standardised approach for position risk in equities (C 21.00)
Rows
- 0020General risk
- 0021Derivatives
- 0022Other assets and liabilities
Columns
- 0010Long
- 0020Short
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 at least 2,000.
A file that reports 2,000 passes. One that reports 1,900 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,c0020,s0006} >= {C_21.00,r0021,c0020,s0006} + {C_21.00,r0022,c0020,s0006}The next five:
{C_21.00,r0020,c0020,s0037} >= {C_21.00,r0021,c0020,s0037} + {C_21.00,r0022,c0020,s0037}{C_21.00,r0020,c0020,s0038} >= {C_21.00,r0021,c0020,s0038} + {C_21.00,r0022,c0020,s0038}{C_21.00,r0020,c0020,s0042} >= {C_21.00,r0021,c0020,s0042} + {C_21.00,r0022,c0020,s0042}{C_21.00,r0020,c0010,s0007} >= {C_21.00,r0021,c0010,s0007} + {C_21.00,r0022,c0010,s0007}{C_21.00,r0020,c0010,s0041} >= {C_21.00,r0021,c0010,s0041} + {C_21.00,r0022,c0010,s0041}And 44 more, the same formula for the other cells it covers.
Other rules on C 21.00
- Total must equal the sum of its 24 parts (row 0010, v23613_m)Warning
- Total must equal the sum of its 24 parts (row 0090, v23614_m)Warning
- General risk, all positions: total must equal the sum of its 24 parts (v23615_m)Warning
- General risk, net positions: total must equal the sum of its 24 parts (v23616_m)Warning
- Total must equal the sum of its 24 parts (row 0020, v23617_m)Warning
- Total must equal the sum of its 24 parts (row 0010, v6020_m)Warning
- Positions subject to capital charge cannot be negative (v3782_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.