The rule in plain words
Total positions in commodities must equal these four added up:
- Maturity ladder approach
- Extended maturity ladder approach
- Simplified approach: all positions
- Additional requirements for options (non-delta risks)
All the values are in the own funds requirements column (0060) of C 23.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Own funds requirements: TOTAL POSITIONS IN COMMODITIES = Maturity ladder approach + Extended maturity ladder approach + Simplified approach: All positions + Additional requirements for options (non-delta risks)
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 23.00 as reported.
- 06This 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)
Rows
- 0010TOTAL POSITIONS IN COMMODITIES
- 0070Maturity ladder approach
- 0080Extended maturity ladder approach
- 0090Simplified approach: All positions
- 0100Additional requirements for options (non-delta risks)
Column
- 0060Own funds requirements
A worked example
The first of its checks, with simple numbers.
Total positions in commodities must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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,} = {C_23.00,r0070,c0060,} + {C_23.00,r0080,c0060,} + {C_23.00,r0090,c0060,} + {C_23.00,r0100,c0060,}Other rules on C 23.00
- 12.5 times own funds requirements must equal total risk exposure amount (v0630_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.