The rule in plain words
The absolute value of equities cannot be more than the absolute value of equities - general risk plus the absolute value of equities - specific risk.
All the values are in the multiplication factor (mc) x average of previous 60 working days (VaRavg) column (0030) of C 24.00.
EBA writes it out five times. These words are for the first; the others are the same rule on other cells.
The template it checks
Market risk: internal models - total (C 24.00)
Rows
- 0050Equities
- 0060Equities - General risk
- 0070Equities - Specific Risk
Column
- 0030Multiplication factor (mc) x average of previous 60 working days (VaRavg)
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}.
abs({C_24.00,r0050,c0030,}) <= abs({C_24.00,r0060,c0030,}) + abs({C_24.00,r0070,c0030,})And 4 more, the same formula for the other cells it covers.
Other rules on C 24.00
- The absolute value of traded debt instruments cannot be more than the absolute value of TDI, general risk plus the absolute value of TDI, specific risk (v903650_h)Warning
- Total positions cannot be negative (v90220_s)Warning
- 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
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.