The rule in plain words
None of the values it checks in market risk: internal models: total can be negative.
EBA checks it for four columns: multiplication factor (mc) x average of previous 60 working days (VaRavg), previous day (VaRt-1), multiplication factor (ms) x average of previous 60 working days (SVaRavg) and latest available (SVaRt-1). And for eleven rows, from total positions (0010) to total amount for specific risk (0110). That makes 44 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.
Multiplication factor (ms) x average of previous 60 working days (SVaRavg): Equities - Specific Risk >= 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 24.00 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: internal models - total (C 24.00)
Rows
- 0010TOTAL POSITIONS
- 0020Traded debt instruments
- 0030TDI - General risk
- 0040TDI - Specific Risk
- 0050Equities
- 0060Equities - General risk
- 0070Equities - Specific Risk
- 0080Foreign Exchange risk
- 0090Commodities risk
- 0100Total amount for general risk
- 0110Total amount for specific risk
Columns
- 0030Multiplication factor (mc) x average of previous 60 working days (VaRavg)
- 0040Previous day (VaRt-1)
- 0050Multiplication factor (ms) x average of previous 60 working days (SVaRavg)
- 0060Latest available (SVaRt-1)
A worked example
The first of its checks, with simple numbers.
Equities - specific risk, multiplication factor (ms) x average of previous 60 working days (SVaRavg) 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_24.00,r0070,c0050,} >= 0The next five:
{C_24.00,r0010,c0040,} >= 0{C_24.00,r0100,c0050,} >= 0{C_24.00,r0020,c0040,} >= 0{C_24.00,r0100,c0040,} >= 0{C_24.00,r0030,c0030,} >= 0And 38 more, the same formula for the other cells it covers.
Other rules on C 24.00
- Total amount for general risk cannot be more than the sum of four rows (v4859_m)Warning
- Total amount for specific risk cannot be more than the sum of two rows (v4860_m)Warning
- Total positions must be at least 3 (v6296_m)Warning
- Total positions, number of overshootings cannot be more than 250 (v6297_m)Warning
- Total positions, number of overshootings cannot be more than 30 (v6298_m)Warning
- Latest available (SVaRt-1) cannot be less than previous day (VaRt-1) (v6303_m)Warning
- Own funds requirements must equal a sum of four terms (v0637_m)Warning
- 12.5 times own funds requirements must equal total risk exposure amount (v0636_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.