The rule in plain words
None of the values it checks in market risk: standardised approach for traded debt instruments can be negative.
EBA checks it for two columns: long and short. And for 19 rows, from derivatives (0012) to rated nth-to default credit derivatives (0321). And on 23 sheets, from total (0001) to other (0025). That makes 874 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.
Long: Zone 1, Serbian Dinar >= 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)
Rows
- 0012Derivatives
- 0013Other assets and liabilities
- 0020Maturity-based approach
- 0030Zone 1
- 00801.2 Zone 2
- 01201.3 Zone 3
- 0210Duration-based approach
- 0220Zone 1
- 0230Zone 2
- 0240Zone 3
- 0251Own funds requirement for non-securitisation debt instruments
- 0260Debt securities under the first category
- 0270Debt securities under the second category
- 0280With residual term <= 6 months
- 0290With a residual term > 6 months and <= 24 months
- 0300With a residual term > 24 months
- 0310Debt securities under the third category
- 0320Debt securities under the fourth category
- 0321Rated nth-to default credit derivatives
Columns
- 0010Long
- 0020Short
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.
Zone 1, long 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,r0220,c0010,s0016} >= 0The next five:
{C_18.00,r0260,c0020,s0007} >= 0{C_18.00,r0310,c0020,s0001} >= 0{C_18.00,r0321,c0010,s0008} >= 0{C_18.00,r0030,c0020,s0015} >= 0{C_18.00,r0020,c0020,s0022} >= 0And 868 more, the same formula for the other cells it covers.
Other rules on C 18.00
- Own funds requirement for non-securitisation debt instruments: own funds requirements cannot be negative (v3764_s)Warning
- None of the 1,472 values it checks in market risk: standardised approach for traded debt instruments can be negative (v3766_s)Warning
- Positions subject to capital charge cannot be negative (v3767_s)Warning
- Maturity-based approach must equal zone 1 plus zone 2 plus zone 3 (v4848_m)Warning
- Zone 1 must equal the sum of its four parts (v4849_m)Warning
- Zone 2 must equal the sum of its three parts (v4850_m)Warning
- Zone 3 must equal the sum of its eight parts (v4851_m)Warning
- Duration-based approach must equal zone 1 plus zone 2 plus zone 3 (v4852_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.