Line4

1 min readSwitched off by EBAEBA reporting framework 4.2Updated 10 November 2026

VaR cannot be negative (EBA rule v4330_s)

A check in the benchmarking of market risk models return (SBP market risk), on template C 107.02, vaR and SVaR non-CTP, EBA portfolio currency results.

EBA switched this rule off in its 4.2 severity package (January 2026), so it does not run on reporting framework 4.2 filings. EBA's list of validation rules of 12 October 2026 still has it switched off. Line4 Check does not run it either.

The rule in plain words

VaR cannot be negative.

EBA writes it out two times. These words are for the first; the others are the same rule on other cells.

The template it checks

VaR and SVaR non-CTP, EBA portfolio currency results (C 107.02)

Column

  • 0020VaR
Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_107.02,,c0020,} >= 0

And 1 more, the same formula for the other cells it covers.

Checks like this one, run at the point of submission, are the first step to real-time supervision.