The rule in plain words
For weighted net long positions: before cap cannot be less than after cap.
EBA checks it for twelve rows, from total exposures (0010) to other CTP positions (0120). That makes twelve 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.
TOTAL EXPOSURES, BEFORE CAP, WEIGHTED NET LONG POSITIONS >= TOTAL EXPOSURES, AFTER CAP, WEIGHTED NET LONG POSITIONS
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 20.00 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: standardised approach for specific risk in the correlation trading portfolio (C 20.00)
Rows
- 0010TOTAL EXPOSURES
- 0020ORIGINATOR: TOTAL EXPOSURES
- 0030SECURITISATIONS
- 0040Other CTP positions
- 0050INVESTOR: TOTAL EXPOSURES
- 0060SECURITISATIONS
- 0070Other CTP positions
- 0080SPONSOR: TOTAL EXPOSURES
- 0090SECURITISATIONS
- 0100Other CTP positions
- 0110N-th to default credit derivatives
- 0120Other CTP positions
Columns
- 0410WEIGHTED NET LONG POSITIONS
- 0430WEIGHTED NET LONG POSITIONS
A worked example
The first of its checks, with simple numbers.
Weighted net long positions, after cap 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_20.00,r0010,c0410,} >= {C_20.00,r0010,c0430,}The next five:
{C_20.00,r0060,c0410,} >= {C_20.00,r0060,c0430,}{C_20.00,r0100,c0410,} >= {C_20.00,r0100,c0430,}{C_20.00,r0080,c0410,} >= {C_20.00,r0080,c0430,}{C_20.00,r0020,c0410,} >= {C_20.00,r0020,c0430,}{C_20.00,r0090,c0410,} >= {C_20.00,r0090,c0430,}And 6 more, the same formula for the other cells it covers.
Other rules on C 20.00
- Weighted net short positions: before cap cannot be less than after cap (v0605_m)Warning
- Short must equal the sum of its eleven parts (v0602_m)Warning
- Long must equal the sum of its eleven parts (v0600_m)Warning
- Originator: total exposures must equal securitisations plus other CTP positions (v0612_m)Warning
- Investor: total exposures must equal securitisations plus other CTP positions (v0614_m)Warning
- Sponsor: total exposures must equal securitisations plus other CTP positions (v0616_m)Warning
- Each of the 24 values it checks in market risk: standardised approach for specific risk in the correlation trading portfolio cannot be more than zero (v2057_s)Warning
- Total exposures, total own funds requirements cannot be negative (v3774_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.