The rule in plain words
Total positions must be at least 3.
EBA checks it for two columns: vaR Multiplication factor (mc) and SVaR Multiplication factor (ms). That makes two 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.
VaR Multiplication Factor (mc): TOTAL POSITIONS >= 3
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value outside the limit in these cells.
- 03If the value is a percentage, EBA expects it as a decimal: 12% is reported as 0.12.
- 04EBA compares the values exactly here: there is no rounding tolerance.
- 05It runs only when your filing indicators mark C 24.00 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: internal models - total (C 24.00)
Row
- 0010TOTAL POSITIONS
Columns
- 0150VaR Multiplication Factor (mc)
- 0160SVaR Multiplication Factor (ms)
A worked example
The first of its checks, with simple numbers.
Total positions, vaR Multiplication factor (mc) must then be at least 3.
A file that reports 3 passes. One that reports -97 fails, by 100.
The numbers are illustrative.
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,r0010,c0150,} >= 3The next one:
{C_24.00,r0010,c0160,} >= 3Other rules on C 24.00
- 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
- Total amount for specific risk cannot be more than the sum of two rows (v4860_m)Warning
- Total amount for general risk cannot be more than the sum of four rows (v4859_m)Warning
- None of the 44 values it checks in market risk: internal models: total can be negative (v3793_s)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.