The rule in plain words
12.5 times own funds requirements must equal total risk exposure amount.
All the values are in the total positions row (0010) of C 22.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
12.5 × TOTAL POSITIONS, Own funds requirements = TOTAL POSITIONS, Total risk exposure amount
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 22.00 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 approaches for foreign exchange risk (C 22.00)
Row
- 0010TOTAL POSITIONS
Columns
- 0090Own funds requirements
- 0100Total risk exposure amount
A worked example
The first of its checks, with simple numbers.
Total risk exposure amount must then be 15,000.
A file that reports 15,000 passes. One that reports 15,100 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_22.00,r0010,c0090,} * 12.5 = {C_22.00,r0010,c0100,}Other rules on C 22.00
- Total positions must equal the sum of its four parts (v0626_m)Warning
- Total positions must equal the sum of its three parts (v0627_m)Warning
- Total positions cannot be more than the sum of three rows (v0628_m)Warning
- Total positions, total risk exposure amount cannot be negative (v3783_s)Warning
- Matched cannot be negative (v3784_s)Warning
- Own funds requirements cannot be negative (v3785_s)Warning
- None of the six values it checks in market risk: standardised approaches for foreign exchange risk can be negative (v3788_s)Warning
- Long, all positions cannot be less than long, net positions (v4884_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.