The rule in plain words
Traded debt instruments in trading book, total risk exposure amount cannot be negative.
EBA checks it on 23 sheets, from total (0001) to other (0025). That makes 23 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.
Total risk exposure amount: TRADED DEBT INSTRUMENTS IN TRADING BOOK, Pound Sterling >= 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 18.00 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 traded debt instruments (C 18.00)
Row
- 0010TRADED DEBT INSTRUMENTS IN TRADING BOOK
Column
- 0070Total risk exposure amount
Sheets
- 0001Total
- 0002Euro
- 0003Lek
- 0004Bulgarian Lev
- 0005Czech Koruna
- 0006Danish Krone
- 0007Pound Sterling
- 0008Forint
- 0009Yen
- 0012Denar
- 0013Zloty
- 0014Romanian Leu
- 0015Russian Ruble
- 0016Serbian Dinar
- 0017Swedish Krona
- 0018Swiss Franc
- 0019Turkish Lira
- 0020Hryvnia
- 0021US Dollar
- 0022Iceland Krona
- 0023Norwegian Krone
- 0024Egyptian Pound
- 0025Other
A worked example
The first of its checks, with simple numbers.
Traded debt instruments in trading book, total risk exposure amount 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_18.00,r0010,c0070,s0007} >= 0The next five:
{C_18.00,r0010,c0070,s0012} >= 0{C_18.00,r0010,c0070,s0022} >= 0{C_18.00,r0010,c0070,s0024} >= 0{C_18.00,r0010,c0070,s0004} >= 0{C_18.00,r0010,c0070,s0005} >= 0And 17 more, the same formula for the other cells it covers.
Other rules on C 18.00
- Specific risk: own funds requirements cannot be negative (v7780_m)Warning
- Own funds requirement for the correlation trading portfolio, own funds requirements must be left empty (v7322_n)Blocking
- Own funds requirement for securitisation instruments, own funds requirements must be left empty (v7321_n)Warning
- C 18.00 (sheet 0001) must equal the sum of its 22 parts (v6270_m)Warning
- A calculation check on market risk: standardised approach for traded debt instruments (v6019_m)Warning
- Duration-based approach must equal zone 1 plus zone 2 plus zone 3 (v4852_m)Warning
- Zone 3 must equal the sum of its eight parts (v4851_m)Warning
- Zone 2 must equal the sum of its three parts (v4850_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.