The rule in plain words
For all positions: total positions in commodities must equal these four added up:
- Precious metals (except gold)
- Base metals
- Agricultural products (softs)
- Others
EBA checks it for five columns: long (0010), short (0020), long (0030), short (0040) and positions subject to capital charge. 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.
Long: TOTAL POSITIONS IN COMMODITIES = Precious metals (except gold) + Base metals + Agricultural products (softs) + Others
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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
- 0020Precious metals (except gold)
- 0030Base metals
- 0040Agricultural products (softs)
- 0050Others
Columns
- 0010Long
- 0020Short
- 0030Long
- 0040Short
- 0050Positions subject to capital charge
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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_23.00,r0010,c0010,} = {C_23.00,r0020,c0010,} + {C_23.00,r0030,c0010,} + {C_23.00,r0040,c0010,} + {C_23.00,r0050,c0010,}The next four:
{C_23.00,r0010,c0020,} = {C_23.00,r0020,c0020,} + {C_23.00,r0030,c0020,} + {C_23.00,r0040,c0020,} + {C_23.00,r0050,c0020,}{C_23.00,r0010,c0040,} = {C_23.00,r0020,c0040,} + {C_23.00,r0030,c0040,} + {C_23.00,r0040,c0040,} + {C_23.00,r0050,c0040,}{C_23.00,r0010,c0030,} = {C_23.00,r0020,c0030,} + {C_23.00,r0030,c0030,} + {C_23.00,r0040,c0030,} + {C_23.00,r0050,c0030,}{C_23.00,r0010,c0050,} = {C_23.00,r0020,c0050,} + {C_23.00,r0030,c0050,} + {C_23.00,r0040,c0050,} + {C_23.00,r0050,c0050,}Other rules on C 23.00
- Total positions in commodities must equal the sum of its four parts (v0631_m)Warning
- Total positions in commodities must equal the sum of its three parts (v0633_m)Warning
- 12.5 times own funds requirements must equal total risk exposure amount (v0630_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.