The rule in plain words
Latest available (SVaRt-1) cannot be less than previous day (VaRt-1).
All the values are in the total positions row (0010) of C 24.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TOTAL POSITIONS, Latest available (SVaRt-1) >= TOTAL POSITIONS, Previous day (VaRt-1)
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 smaller 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)
Row
- 0010TOTAL POSITIONS
Columns
- 0040Previous day (VaRt-1)
- 0060Latest available (SVaRt-1)
A worked example
The first of its checks, with simple numbers.
Previous day (VaRt-1) can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 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_24.00,r0010,c0060,} >= {C_24.00,r0010,c0040,}Other rules on C 24.00
- Total positions, number of overshootings cannot be more than 30 (v6298_m)Warning
- Total positions, number of overshootings cannot be more than 250 (v6297_m)Warning
- Total positions must be at least 3 (v6296_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.