The rule in plain words
Total amount for general risk cannot be more than these four added up:
- TDI - general risk
- Equities - general risk
- Foreign exchange risk
- Commodities risk
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). That makes four 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): Total amount for general risk <= TDI - General risk + Equities - General risk + Foreign Exchange risk + Commodities risk
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 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
- 0030TDI - General risk
- 0060Equities - General risk
- 0080Foreign Exchange risk
- 0090Commodities risk
- 0100Total amount for general 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.
Total amount for general risk can then be at most 2,750.
A file that reports 2,750 passes. One that reports 2,850 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_24.00,r0100,c0050,} <= {C_24.00,r0030,c0050,} + {C_24.00,r0060,c0050,} + {C_24.00,r0080,c0050,} + {C_24.00,r0090,c0050,}The next three:
{C_24.00,r0100,c0030,} <= {C_24.00,r0030,c0030,} + {C_24.00,r0060,c0030,} + {C_24.00,r0080,c0030,} + {C_24.00,r0090,c0030,}{C_24.00,r0100,c0060,} <= {C_24.00,r0030,c0060,} + {C_24.00,r0060,c0060,} + {C_24.00,r0080,c0060,} + {C_24.00,r0090,c0060,}{C_24.00,r0100,c0040,} <= {C_24.00,r0030,c0040,} + {C_24.00,r0060,c0040,} + {C_24.00,r0080,c0040,} + {C_24.00,r0090,c0040,}Other rules on C 24.00
- Total amount for specific risk cannot be more than the sum of two rows (v4860_m)Warning
- None of the 44 values it checks in market risk: internal models: total can be negative (v3793_s)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.