The rule in plain words
Duration-based approach must equal these three added up:
- Zone 1
- Zone 2
- Zone 3
EBA checks it for four columns: long (0010), short (0020), long (0030) and short (0040). And on 23 sheets, from total (0001) to other (0025). That makes 92 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: Duration-based approach, Iceland Krona = Zone 1, Iceland Krona + Zone 2, Iceland Krona + Zone 3, Iceland Krona
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 18.00 as reported.
- 06This 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
- 0210Duration-based approach
- 0220Zone 1
- 0230Zone 2
- 0240Zone 3
Columns
- 0010Long
- 0020Short
- 0030Long
- 0040Short
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.
Duration-based approach must then be 2,450.
A file that reports 2,450 passes. One that reports 2,550 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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,r0210,c0010,s0022} = {C_18.00,r0220,c0010,s0022} + {C_18.00,r0230,c0010,s0022} + {C_18.00,r0240,c0010,s0022}The next five:
{C_18.00,r0210,c0030,s0014} = {C_18.00,r0220,c0030,s0014} + {C_18.00,r0230,c0030,s0014} + {C_18.00,r0240,c0030,s0014}{C_18.00,r0210,c0020,s0004} = {C_18.00,r0220,c0020,s0004} + {C_18.00,r0230,c0020,s0004} + {C_18.00,r0240,c0020,s0004}{C_18.00,r0210,c0010,s0006} = {C_18.00,r0220,c0010,s0006} + {C_18.00,r0230,c0010,s0006} + {C_18.00,r0240,c0010,s0006}{C_18.00,r0210,c0030,s0019} = {C_18.00,r0220,c0030,s0019} + {C_18.00,r0230,c0030,s0019} + {C_18.00,r0240,c0030,s0019}{C_18.00,r0210,c0020,s0016} = {C_18.00,r0220,c0020,s0016} + {C_18.00,r0230,c0020,s0016} + {C_18.00,r0240,c0020,s0016}And 86 more, the same formula for the other cells it covers.
Other rules on C 18.00
- 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
- Zone 1 must equal the sum of its four parts (v4849_m)Warning
- Maturity-based approach must equal zone 1 plus zone 2 plus zone 3 (v4848_m)Warning
- Positions subject to capital charge cannot be negative (v3767_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
- None of the 874 values it checks in market risk: standardised approach for traded debt instruments can be negative (v3765_s)Warning
- Own funds requirement for non-securitisation debt instruments: own funds requirements cannot be negative (v3764_s)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.