The rule in plain words
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.
EBA checks it for five columns: multiplication factor (mc) x average of previous 60 working days (VaRavg), previous day (VaRt-1), multiplication factor (ms) x average of previous 60 working days (SVaRavg), latest available (SVaRt-1) and total risk exposure amount. That makes five 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.
Multiplication factor (mc) x average of previous 60 working days (VaRavg): the absolute value of Traded debt instruments <= the absolute value of TDI - General risk + the absolute value of TDI - Specific Risk
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 bigger 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)
Rows
- 0020Traded debt instruments
- 0030TDI - General risk
- 0040TDI - Specific Risk
Columns
- 0030Multiplication factor (mc) x average of previous 60 working days (VaRavg)
- 0040Previous day (VaRt-1)
- 0050Multiplication factor (ms) x average of previous 60 working days (SVaRavg)
- 0060Latest available (SVaRt-1)
- 0130Total risk exposure amount
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,r0020,c0030,}) <= abs({C_24.00,r0030,c0030,}) + abs({C_24.00,r0040,c0030,})The next four:
abs({C_24.00,r0020,c0040,}) <= abs({C_24.00,r0030,c0040,}) + abs({C_24.00,r0040,c0040,})abs({C_24.00,r0020,c0050,}) <= abs({C_24.00,r0030,c0050,}) + abs({C_24.00,r0040,c0050,})abs({C_24.00,r0020,c0060,}) <= abs({C_24.00,r0030,c0060,}) + abs({C_24.00,r0040,c0060,})abs({C_24.00,r0020,c0130,}) <= abs({C_24.00,r0030,c0130,}) + abs({C_24.00,r0040,c0130,})Other rules on C 24.00
- 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
- None of the 44 values it checks in market risk: internal models: total can be negative (v3793_s)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.