The rule in plain words
Total positions cannot be negative.
EBA checks it for ten columns, from weeks average measure (0070) to assumed charge for CTP floor - weighted net short positions after cap (0180). That makes ten 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 >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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
- 007012 weeks average measure
- 0080Last measure
- 0090Floor
- 010012 weeks average measure
- 0110Last measure
- 0120Own funds requirements
- 0150VaR Multiplication Factor (mc)
- 0160SVaR Multiplication Factor (ms)
- 0170Assumed charge for CTP floor - weighted net long positions after cap
- 0180Assumed charge for CTP floor - weighted net short positions after cap
A worked example
The first of its checks, with simple numbers.
Total positions, vaR Multiplication factor (mc) must then be at least 0.
A file that reports 0 passes. One that reports -100 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,} >= 0The next five:
{C_24.00,r0010,c0180,} >= 0{C_24.00,r0010,c0070,} >= 0{C_24.00,r0010,c0080,} >= 0{C_24.00,r0010,c0120,} >= 0{C_24.00,r0010,c0090,} >= 0And 4 more, the same formula for the other cells it covers.
Other rules on C 24.00
- Latest available (SVaRt-1) cannot be less than previous day (VaRt-1) (v6303_m)Warning
- 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
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.