The rule in plain words
C 18.00 (sheet 0001) must equal these 22 added up:
- C 18.00 (sheet 0008)
- C 18.00 (sheet 0009)
- C 18.00 (sheet 0023)
- C 18.00 (sheet 0020)
- C 18.00 (sheet 0016)
- C 18.00 (sheet 0024)
- C 18.00 (sheet 0003)
- C 18.00 (sheet 0025)
- C 18.00 (sheet 0022)
- C 18.00 (sheet 0019)
- C 18.00 (sheet 0018)
- C 18.00 (sheet 0017)
- C 18.00 (sheet 0021)
- C 18.00 (sheet 0012)
- C 18.00 (sheet 0007)
- C 18.00 (sheet 0015)
- C 18.00 (sheet 0014)
- C 18.00 (sheet 0005)
- C 18.00 (sheet 0002)
- C 18.00 (sheet 0013)
- C 18.00 (sheet 0006)
- C 18.00 (sheet 0004)
All the values are in the positions subject to capital charge column (0050) of C 18.00.
EBA checks it for eleven rows, from maturity-based approach (0020) to rated nth-to default credit derivatives (0321). That makes eleven 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.
Positions subject to capital charge: Debt securities under the first category, Total = Debt securities under the first category, Forint + Debt securities under the first category, Yen + Debt securities under the first category, Norwegian Krone + Debt securities under the first category, Hryvnia + Debt securities under the first category, Serbian Dinar + Debt securities under the first category, Egyptian Pound + Debt securities under the first category, Lek + Debt securities under the first category, Other + Debt securities under the first category, Iceland Krona + Debt securities under the first category, Turkish Lira + Debt securities under the first category, Swiss Franc + Debt securities under the first category, Swedish Krona + Debt securities under the first category, US Dollar + Debt securities under the first category, Denar + Debt securities under the first category, Pound Sterling + Debt securities under the first category, Russian Ruble + Debt securities under the first category, Romanian Leu + Debt securities under the first category, Czech Koruna + Debt securities under the first category, Euro + Debt securities under the first category, Zloty + Debt securities under the first category, Danish Krone + Debt securities under the first category, Bulgarian Lev
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 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
- 0020Maturity-based approach
- 0210Duration-based approach
- 0251Own funds requirement for non-securitisation debt instruments
- 0260Debt securities under the first category
- 0270Debt securities under the second category
- 0280With residual term <= 6 months
- 0290With a residual term > 6 months and <= 24 months
- 0300With a residual term > 24 months
- 0310Debt securities under the third category
- 0320Debt securities under the fourth category
- 0321Rated nth-to default credit derivatives
Column
- 0050Positions subject to capital charge
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
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,r0260,c0050,s0001} = sum({C_18.00,r0260,c0050,s0008},{C_18.00,r0260,c0050,s0009},{C_18.00,r0260,c0050,s0023},{C_18.00,r0260,c0050,s0020},{C_18.00,r0260,c0050,s0016},{C_18.00,r0260,c0050,s0024},{C_18.00,r0260,c0050,s0003},{C_18.00,r0260,c0050,s0025},{C_18.00,r0260,c0050,s0022},{C_18.00,r0260,c0050,s0019},{C_18.00,r0260,c0050,s0018},{C_18.00,r0260,c0050,s0017},{C_18.00,r0260,c0050,s0021},{C_18.00,r0260,c0050,s0012},{C_18.00,r0260,c0050,s0007},{C_18.00,r0260,c0050,s0015},{C_18.00,r0260,c0050,s0014},{C_18.00,r0260,c0050,s0005},{C_18.00,r0260,c0050,s0002},{C_18.00,r0260,c0050,s0013},{C_18.00,r0260,c0050,s0006},{C_18.00,r0260,c0050,s0004})The next five:
{C_18.00,r0300,c0050,s0001} = sum({C_18.00,r0300,c0050,s0018},{C_18.00,r0300,c0050,s0007},{C_18.00,r0300,c0050,s0017},{C_18.00,r0300,c0050,s0019},{C_18.00,r0300,c0050,s0012},{C_18.00,r0300,c0050,s0015},{C_18.00,r0300,c0050,s0025},{C_18.00,r0300,c0050,s0022},{C_18.00,r0300,c0050,s0014},{C_18.00,r0300,c0050,s0020},{C_18.00,r0300,c0050,s0003},{C_18.00,r0300,c0050,s0006},{C_18.00,r0300,c0050,s0008},{C_18.00,r0300,c0050,s0021},{C_18.00,r0300,c0050,s0004},{C_18.00,r0300,c0050,s0016},{C_18.00,r0300,c0050,s0013},{C_18.00,r0300,c0050,s0002},{C_18.00,r0300,c0050,s0009},{C_18.00,r0300,c0050,s0005},{C_18.00,r0300,c0050,s0023},{C_18.00,r0300,c0050,s0024}){C_18.00,r0270,c0050,s0001} = sum({C_18.00,r0270,c0050,s0003},{C_18.00,r0270,c0050,s0025},{C_18.00,r0270,c0050,s0015},{C_18.00,r0270,c0050,s0006},{C_18.00,r0270,c0050,s0022},{C_18.00,r0270,c0050,s0014},{C_18.00,r0270,c0050,s0024},{C_18.00,r0270,c0050,s0012},{C_18.00,r0270,c0050,s0004},{C_18.00,r0270,c0050,s0013},{C_18.00,r0270,c0050,s0008},{C_18.00,r0270,c0050,s0019},{C_18.00,r0270,c0050,s0007},{C_18.00,r0270,c0050,s0020},{C_18.00,r0270,c0050,s0005},{C_18.00,r0270,c0050,s0018},{C_18.00,r0270,c0050,s0009},{C_18.00,r0270,c0050,s0002},{C_18.00,r0270,c0050,s0021},{C_18.00,r0270,c0050,s0023},{C_18.00,r0270,c0050,s0016},{C_18.00,r0270,c0050,s0017}){C_18.00,r0280,c0050,s0001} = sum({C_18.00,r0280,c0050,s0009},{C_18.00,r0280,c0050,s0007},{C_18.00,r0280,c0050,s0015},{C_18.00,r0280,c0050,s0024},{C_18.00,r0280,c0050,s0023},{C_18.00,r0280,c0050,s0003},{C_18.00,r0280,c0050,s0020},{C_18.00,r0280,c0050,s0025},{C_18.00,r0280,c0050,s0012},{C_18.00,r0280,c0050,s0014},{C_18.00,r0280,c0050,s0013},{C_18.00,r0280,c0050,s0018},{C_18.00,r0280,c0050,s0005},{C_18.00,r0280,c0050,s0016},{C_18.00,r0280,c0050,s0008},{C_18.00,r0280,c0050,s0006},{C_18.00,r0280,c0050,s0002},{C_18.00,r0280,c0050,s0004},{C_18.00,r0280,c0050,s0017},{C_18.00,r0280,c0050,s0022},{C_18.00,r0280,c0050,s0021},{C_18.00,r0280,c0050,s0019}){C_18.00,r0320,c0050,s0001} = sum({C_18.00,r0320,c0050,s0003},{C_18.00,r0320,c0050,s0012},{C_18.00,r0320,c0050,s0002},{C_18.00,r0320,c0050,s0009},{C_18.00,r0320,c0050,s0013},{C_18.00,r0320,c0050,s0023},{C_18.00,r0320,c0050,s0020},{C_18.00,r0320,c0050,s0016},{C_18.00,r0320,c0050,s0015},{C_18.00,r0320,c0050,s0019},{C_18.00,r0320,c0050,s0005},{C_18.00,r0320,c0050,s0017},{C_18.00,r0320,c0050,s0021},{C_18.00,r0320,c0050,s0006},{C_18.00,r0320,c0050,s0025},{C_18.00,r0320,c0050,s0018},{C_18.00,r0320,c0050,s0024},{C_18.00,r0320,c0050,s0007},{C_18.00,r0320,c0050,s0022},{C_18.00,r0320,c0050,s0014},{C_18.00,r0320,c0050,s0008},{C_18.00,r0320,c0050,s0004}){C_18.00,r0321,c0050,s0001} = sum({C_18.00,r0321,c0050,s0025},{C_18.00,r0321,c0050,s0020},{C_18.00,r0321,c0050,s0021},{C_18.00,r0321,c0050,s0013},{C_18.00,r0321,c0050,s0008},{C_18.00,r0321,c0050,s0012},{C_18.00,r0321,c0050,s0016},{C_18.00,r0321,c0050,s0018},{C_18.00,r0321,c0050,s0014},{C_18.00,r0321,c0050,s0017},{C_18.00,r0321,c0050,s0023},{C_18.00,r0321,c0050,s0015},{C_18.00,r0321,c0050,s0007},{C_18.00,r0321,c0050,s0003},{C_18.00,r0321,c0050,s0022},{C_18.00,r0321,c0050,s0006},{C_18.00,r0321,c0050,s0019},{C_18.00,r0321,c0050,s0002},{C_18.00,r0321,c0050,s0024},{C_18.00,r0321,c0050,s0005},{C_18.00,r0321,c0050,s0004},{C_18.00,r0321,c0050,s0009})And 5 more, the same formula for the other cells it covers.
Other rules on C 18.00
- A calculation check on market risk: standardised approach for traded debt instruments (v6019_m)Warning
- Own funds requirement for securitisation instruments, own funds requirements must be left empty (v7321_n)Warning
- Own funds requirement for the correlation trading portfolio, own funds requirements must be left empty (v7322_n)Blocking
- Duration-based approach must equal zone 1 plus zone 2 plus zone 3 (v4852_m)Warning
- 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
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.
