The rule in plain words
Each of the values it checks in market risk: standardised approach for specific risk in the correlation trading portfolio cannot be more than zero.
EBA checks it for two columns: (-) long and (-) short. And for twelve rows, from total exposures (0010) to other CTP positions (0120). That makes 24 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.
(-) Short: SECURITISATIONS <= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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
- 0030(-) Long
- 0040(-) Short
A worked example
The first of its checks, with simple numbers.
Securitisations, (-) short can then be at most 0.
A file that reports 0 passes. One that reports 100 fails, by 100.
The numbers are illustrative.
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,r0030,c0040,} <= 0The next five:
{C_20.00,r0050,c0030,} <= 0{C_20.00,r0010,c0030,} <= 0{C_20.00,r0080,c0030,} <= 0{C_20.00,r0100,c0030,} <= 0{C_20.00,r0070,c0040,} <= 0And 18 more, the same formula for the other cells it covers.
Other rules on C 20.00
- Sponsor: total exposures must equal securitisations plus other CTP positions (v0616_m)Warning
- Investor: total exposures must equal securitisations plus other CTP positions (v0614_m)Warning
- Originator: total exposures must equal securitisations plus other CTP positions (v0612_m)Warning
- Weighted net short positions: before cap cannot be less than after cap (v0605_m)Warning
- Weighted net long positions: before cap cannot be less than after cap (v0604_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
- 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.