The rule in plain words
Others cannot be less than energy products (oil, gas).
EBA checks it for five columns: long (0010), short (0020), long (0030), short (0040) and positions subject to capital charge. That makes five 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.
Positions subject to capital charge: Others >= Of which energy products (oil, gas)
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 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
- 0050Others
- 0060Of which energy products (oil, gas)
Columns
- 0010Long
- 0020Short
- 0030Long
- 0040Short
- 0050Positions subject to capital charge
A worked example
The first of its checks, with simple numbers.
Energy products (oil, gas) can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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,r0050,c0050,} >= {C_23.00,r0060,c0050,}The next four:
{C_23.00,r0050,c0020,} >= {C_23.00,r0060,c0020,}{C_23.00,r0050,c0040,} >= {C_23.00,r0060,c0040,}{C_23.00,r0050,c0010,} >= {C_23.00,r0060,c0010,}{C_23.00,r0050,c0030,} >= {C_23.00,r0060,c0030,}Other rules on C 23.00
- Own funds requirements cannot be negative (v3791_s)Warning
- 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
- 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.