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 in commodities row (0010) of C 23.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
12.5 × TOTAL POSITIONS IN COMMODITIES, Own funds requirements = TOTAL POSITIONS IN COMMODITIES, 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 23.00 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 position risk in commodities (C 23.00)
Row
- 0010TOTAL POSITIONS IN COMMODITIES
Columns
- 0060Own funds requirements
- 0070Total 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_23.00,r0010,c0060,} * 12.5 = {C_23.00,r0010,c0070,}Other rules on C 23.00
- Total positions in commodities must equal the sum of its four parts (v0631_m)Warning
- All positions: total positions in commodities must equal the sum of its four parts (v0632_m)Warning
- Total positions in commodities must equal the sum of its three parts (v0633_m)Warning
- Total positions in commodities, total risk exposure amount cannot be negative (v3789_s)Warning
- None of the 45 values it checks in market risk: standardised approach for position risk in commodities can be negative (v3790_s)Warning
- Own funds requirements cannot be negative (v3791_s)Warning
- Others cannot be less than energy products (oil, gas) (v4826_m)Warning
- Additional requirements for options (non-delta risks) must equal the sum of its five parts (v23619_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.