The rule in plain words
Own funds requirements cannot be negative.
EBA checks it for nine rows, from equities in trading book (0010) to scenario matrix approach (0130). And on 25 sheets, from total (0001) to euro area (0044). That makes 225 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.
Own funds requirements: Specific risk, Croatia >= 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 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
- 0010EQUITIES IN TRADING BOOK
- 0020General risk
- 0050Specific risk
- 0090Additional requirements for options (non-delta risks)
- 0100Simplified method
- 0110Delta plus approach - additional requirements for gamma risk
- 0120Delta plus approach - additional requirements for vega risk
- 0125Delta plus approach - non-continuous options and warrants
- 0130Scenario matrix approach
Column
- 0060Own funds requirements
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.
Specific risk, own funds requirements 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_21.00,r0050,c0060,s0043} >= 0The next five:
{C_21.00,r0120,c0060,s0021} >= 0{C_21.00,r0120,c0060,s0013} >= 0{C_21.00,r0120,c0060,s0027} >= 0{C_21.00,r0130,c0060,s0034} >= 0{C_21.00,r0010,c0060,s0006} >= 0And 219 more, the same formula for the other cells it covers.
Other rules on C 21.00
- Equities in trading book, total risk exposure amount cannot be negative (v3778_s)Warning
- None of the 300 values it checks in market risk: standardised approach for position risk in equities can be negative (v3780_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
- Positions subject to capital charge cannot be negative (v3782_s)Warning
- Total must equal the sum of its 24 parts (row 0010, v6020_m)Warning
- 0.08 times positions subject to capital charge must equal own funds requirements (row 0050, v0623_m)Warning
- General risk must equal the sum of its two parts (v0622_m)Warning
- 0.08 times positions subject to capital charge must equal own funds requirements (row 0020, v0621_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.