The rule in plain words
Particular approach for position risk in CIUs must equal memo item: CIUs exclusively invested in traded debt instruments plus memo item: CIUs invested exclusively in equity instruments or in mixed instruments.
All the values are in the TREA column (0010) of C 02.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TREA: Particular approach for position risk in CIUs = Memo item: CIUs exclusively invested in traded debt instruments + Memo item: CIUs invested exclusively in equity instruments or in mixed instruments
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 02.00 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Rows
- 0555Particular approach for position risk in CIUs
- 0556Memo item: CIUs exclusively invested in traded debt instruments
- 0557Memo item: CIUs invested exclusively in equity instruments or in mixed instruments
Column
- 0010TREA
A worked example
The first of its checks, with simple numbers.
Particular approach for position risk in CIUs must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 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. Cells are written as {template, row, column, sheet}.
{C_02.00.a,r0555,c0010,} = {C_02.00.a,r0556,c0010,} + {C_02.00.a,r0557,c0010,}Other rules on C 02.00.a
- A check on capital adequacy: risk exposure amounts, capital adequacy: ratios and capital adequacy: Memorandum items (C 03.00, C 04.00, v6263_m)Not run yet
- A check on capital adequacy: risk exposure amounts, capital adequacy: ratios and capital adequacy: Memorandum items (C 03.00, C 04.00, v6264_m)Not run yet
- Total risk exposure amount cannot be less than investment firms (v4818_m)Warning
- Total risk exposure amount cannot be less than investment firms (v4817_m)Warning
- Additional stricter prudential requirements cannot be more than standardised approach (SA) (v7479_m)Warning
- Additional stricter prudential requirements cannot be more than internal ratings based approach(IRB) (row 0241, v7480_m)Warning
- Additional stricter prudential requirements cannot be more than internal ratings based approach(IRB) (row 0242, v7481_m)Warning
- Capital conservation buffer must equal 0.025 times total risk exposure amount (v8714_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.