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 (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: 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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 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
- 0100Additional requirements for options (non-delta risks)
- 0110Simplified method
- 0120Delta plus approach - additional requirements for gamma risk
- 0130Delta plus approach - additional requirements for vega risk
- 0135Delta plus approach - non-continuous options and warrants
- 0140Scenario matrix approach
Column
- 0060Own 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_23.00,r0100,c0060,} = {C_23.00,r0110,c0060,} + {C_23.00,r0120,c0060,} + {C_23.00,r0130,c0060,} + {C_23.00,r0135,c0060,} + {C_23.00,r0140,c0060,}Other rules on C 23.00
- Others cannot be less than energy products (oil, gas) (v4826_m)Warning
- Own funds requirements cannot be negative (v3791_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
- Total positions in commodities, total risk exposure amount cannot be negative (v3789_s)Warning
- Total positions in commodities must equal the sum of its three parts (v0633_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 four parts (v0631_m)Warning
- 12.5 times own funds requirements must equal total risk exposure amount (v0630_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.