The rule in plain words
Total positions in commodities, total risk exposure amount cannot be negative.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Total risk exposure amount: TOTAL POSITIONS IN COMMODITIES >= 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 23.00 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 approach for position risk in commodities (C 23.00)
Row
- 0010TOTAL POSITIONS IN COMMODITIES
Column
- 0070Total risk exposure amount
A worked example
The first of its checks, with simple numbers.
What the rule then expects
Total positions in commodities, total risk exposure amount 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 writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_23.00,r0010,c0070,} >= 0Other rules on C 23.00
- None of the 45 values it checks in market risk: standardised approach for position risk in commodities can be negative (v3790_s)Warning
- Own funds requirements cannot be negative (v3791_s)Warning
- Others cannot be less than energy products (oil, gas) (v4826_m)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
- Additional requirements for options (non-delta risks) must equal the sum of its five parts (v23619_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.