The rule in plain words
None of the values it checks in market risk: standardised approaches for foreign exchange risk can be negative.
EBA checks it for two columns: long and short. And for 38 rows, from total positions (0010) to other (0470). That makes 76 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: Iceland Krona >= 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 22.00 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 approaches for foreign exchange risk (C 22.00)
Rows
- 0010TOTAL POSITIONS
- 0020Currencies closely correlated
- 0025Of which: reporting currency
- 0030All other currencies (including CIUs treated as different currencies)
- 0040Gold
- 0130Euro
- 0140Lek
- 0150Argentine Peso
- 0160Australian Dollar
- 0170Brazilian Real
- 0180Bulgarian Lev
- 0190Canadian Dollar
- 0200Czech Koruna
- 0210Danish Krone
- 0220Egyptian Pound
- 0230Pound Sterling
- 0240Forint
- 0250Yen
- 0280Denar
- 0290Mexican Peso
- 0300Zloty
- 0310Romanian Leu
- 0320Russian Ruble
- 0330Serbian Dinar
- 0340Swedish Krona
- 0350Swiss Franc
- 0360Turkish Lira
- 0370Hryvnia
- 0380US Dollar
- 0390Iceland Krona
- 0400Norwegian Krone
- 0410Hong Kong Dollar
- 0420New Taiwan Dollar
- 0430New Zealand Dollar
- 0440Singapore Dollar
- 0450Won
- 0460Yuan Renminbi
- 0470Other
Columns
- 0040Long
- 0050Short
A worked example
The first of its checks, with simple numbers.
Iceland Krona, long must then be at least 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_22.00,r0390,c0040,} >= 0The next five:
{C_22.00,r0450,c0050,} >= 0{C_22.00,r0470,c0040,} >= 0{C_22.00,r0020,c0040,} >= 0{C_22.00,r0040,c0050,} >= 0{C_22.00,r0290,c0050,} >= 0And 70 more, the same formula for the other cells it covers.
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
- Additional requirements for options (non-delta risks) must equal the sum of its five parts (v23618_m)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.