The rule in plain words
Own funds requirements cannot be negative.
EBA checks it for 15 rows, from total positions in commodities (0010) to scenario matrix approach (0140). That makes 15 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: Simplified method >= 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)
Rows
- 0010TOTAL POSITIONS IN COMMODITIES
- 0020Precious metals (except gold)
- 0030Base metals
- 0040Agricultural products (softs)
- 0050Others
- 0060Of which energy products (oil, gas)
- 0070Maturity ladder approach
- 0080Extended maturity ladder approach
- 0090Simplified approach: All positions
- 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.
Simplified method, 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_23.00,r0110,c0060,} >= 0The next five:
{C_23.00,r0135,c0060,} >= 0{C_23.00,r0050,c0060,} >= 0{C_23.00,r0070,c0060,} >= 0{C_23.00,r0040,c0060,} >= 0{C_23.00,r0080,c0060,} >= 0And 9 more, the same formula for the other cells it covers.
Other 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
- Total positions in commodities, total risk exposure amount cannot be negative (v3789_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.