Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

None of the 432 values it checks in market risk: standardised approach for specific risk in the correlation trading portfolio can be negative (C 20.00, EBA rule v3775_s)

A warning in the own funds and capital requirements return (COREP own funds), on template C 20.00, market risk: standardised approach for specific risk in the correlation trading portfolio.

Check your file against this ruleWhat to do if it fails

The rule in plain words

None of the values it checks in market risk: standardised approach for specific risk in the correlation trading portfolio can be negative.

EBA checks it for 36 columns, from long (0010) to specific treatment for senior tranches of qualifying NPE securitisations (0900). And for twelve rows, from total exposures (0010) to other CTP positions (0120). That makes 432 checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

WEIGHTED NET SHORT POSITIONS: SPONSOR: TOTAL EXPOSURES >= 0

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  4. 04It runs only when your filing indicators mark C 20.00 as reported.
  5. 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

  • 0010Long
  • 0020Short
  • 0050Long
  • 0060Short
  • 0071[0-10%[
  • 0072[10-12%[
  • 0073[12-20%[
  • 0074[20-40%[
  • 0075[40-100%[
  • 0076[100-250%[
  • 0077[250-350%[
  • 0078[350-425%[
  • 0079[425-650%[
  • 0081[650-1250%[
  • 00821250%
  • 0086[0-10%[
  • 0087[10-12%[
  • 0088[12-20%[
  • 0089[20-40%[
  • 0091[40-100%[
  • 0092[100-250%[
  • 0093[250-350%[
  • 0094[350-425%[
  • 0095[425-650%[
  • 0096[650-1250%[
  • 00971250%
  • 0402SEC-IRBA
  • 0403SEC-SA
  • 0404SEC-ERBA
  • 0405INTERNAL ASSESSMENT APPROACH
  • 0406OTHER (RW=1250%)
  • 0410WEIGHTED NET LONG POSITIONS
  • 0420WEIGHTED NET SHORT POSITIONS
  • 0430WEIGHTED NET LONG POSITIONS
  • 0440WEIGHTED NET SHORT POSITIONS
  • 0900SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

A worked example

The first of its checks, with simple numbers.

What the rule then expects

Sponsor: total exposures, weighted net short positions must then be at least 0.

0Passes
-100Fails

A file that reports 0 passes. One that reports -100 fails, by 100.

The numbers are illustrative.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_20.00,r0080,c0420,} >= 0

The next five:

{C_20.00,r0120,c0405,} >= 0{C_20.00,r0100,c0076,} >= 0{C_20.00,r0040,c0081,} >= 0{C_20.00,r0070,c0093,} >= 0{C_20.00,r0100,c0402,} >= 0

And 426 more, the same formula for the other cells it covers.

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.