The rule in plain words
Own funds requirements cannot be negative.
EBA checks it for ten rows, from total positions (0010) to scenario matrix approach (0090). That makes ten 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.
Own funds requirements: Currencies closely correlated >= 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
- 0030All other currencies (including CIUs treated as different currencies)
- 0040Gold
- 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.
Currencies closely correlated, own funds requirements 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,r0020,c0090,} >= 0The next five:
{C_22.00,r0060,c0090,} >= 0{C_22.00,r0080,c0090,} >= 0{C_22.00,r0070,c0090,} >= 0{C_22.00,r0040,c0090,} >= 0{C_22.00,r0030,c0090,} >= 0And 4 more, the same formula for the other cells it covers.
Other rules on C 22.00
- Matched cannot be negative (v3784_s)Warning
- Total positions, total risk exposure amount cannot be negative (v3783_s)Warning
- None of the six values it checks in market risk: standardised approaches for foreign exchange risk can be negative (v3788_s)Warning
- Long, all positions cannot be less than long, net positions (v4884_m)Warning
- Short, all positions cannot be less than short, net positions (v4885_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
- Currencies closely correlated cannot be less than reporting currency (v6021_m)Warning
- Total positions cannot be more than the sum of three rows (v0628_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.