The rule in plain words
Additional requirements for options (non-delta risks) must equal these five added up:
- Simplified method
- Delta plus approach - additional requirements for gamma risk
- Delta plus approach - additional requirements for vega risk
- Delta plus approach - non-continuous options and warrants
- Scenario matrix approach
All the values are in the own funds requirements column (0090) of C 22.00.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Own funds requirements: Additional requirements for options (non-delta risks) = Simplified method + Delta plus approach - additional requirements for gamma risk + Delta plus approach - additional requirements for vega risk + Delta plus approach - non-continuous options and warrants + Scenario matrix approach
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 22.00 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 approaches for foreign exchange risk (C 22.00)
Rows
- 0050Additional requirements for options (non-delta risks)
- 0060Simplified method
- 0070Delta plus approach - additional requirements for gamma risk
- 0080Delta plus approach - additional requirements for vega risk
- 0085Delta plus approach - non-continuous options and warrants
- 0090Scenario matrix approach
Column
- 0090Own funds requirements
A worked example
The first of its checks, with simple numbers.
Additional requirements for options (non-delta risks) must then be 2,900.
A file that reports 2,900 passes. One that reports 3,000 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,r0050,c0090,} = {C_22.00,r0060,c0090,} + {C_22.00,r0070,c0090,} + {C_22.00,r0080,c0090,} + {C_22.00,r0085,c0090,} + {C_22.00,r0090,c0090,}Other rules on C 22.00
- None of the 80 values it checks in market risk: standardised approaches for foreign exchange risk can be negative (v23689_s)Warning
- None of the 76 values it checks in market risk: standardised approaches for foreign exchange risk can be negative (v23690_s)Warning
- Currencies closely correlated cannot be less than reporting currency (v6021_m)Warning
- Other assets and liabilities other than off-balance sheet items and derivatives plus off-balance sheet items plus derivatives must equal the sum of 34 rows (v4907_m)Warning
- Short, all positions cannot be less than short, net positions (v4885_m)Warning
- Long, all positions cannot be less than long, net positions (v4884_m)Warning
- None of the six values it checks in market risk: standardised approaches for foreign exchange risk can be negative (v3788_s)Warning
- Own funds requirements cannot be negative (v3785_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.