The rule in plain words
For long: all positions cannot be less than net positions.
EBA checks it for 35 rows, from total positions (0010) to other (0470). That makes 35 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.
Serbian Dinar, All positions, long >= Serbian Dinar, Net positions, long
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 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
- 0130Euro
- 0140Lek
- 0150Argentine Peso
- 0160Australian Dollar
- 0170Brazilian Real
- 0180Bulgarian Lev
- 0190Canadian Dollar
- 0200Czech Koruna
- 0210Danish Krone
- 0220Egyptian Pound
- 0230Pound Sterling
- 0240Forint
- 0250Yen
- 0270Lithuanian Litas
- 0280Denar
- 0290Mexican Peso
- 0300Zloty
- 0310Romanian Leu
- 0320Russian Ruble
- 0330Serbian Dinar
- 0340Swedish Krona
- 0350Swiss Franc
- 0360Turkish Lira
- 0370Hryvnia
- 0380US Dollar
- 0390Iceland Krona
- 0400Norwegian Krone
- 0410Hong Kong Dollar
- 0420New Taiwan Dollar
- 0430New Zealand Dollar
- 0440Singapore Dollar
- 0450Won
- 0460Yuan Renminbi
- 0470Other
Columns
- 0020Long
- 0040Long
A worked example
The first of its checks, with simple numbers.
Long, net positions 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_22.00,r0330,c0020,} >= {C_22.00,r0330,c0040,}The next five:
{C_22.00,r0010,c0020,} >= {C_22.00,r0010,c0040,}{C_22.00,r0200,c0020,} >= {C_22.00,r0200,c0040,}{C_22.00,r0170,c0020,} >= {C_22.00,r0170,c0040,}{C_22.00,r0180,c0020,} >= {C_22.00,r0180,c0040,}{C_22.00,r0370,c0020,} >= {C_22.00,r0370,c0040,}And 29 more, the same formula for the other cells it covers.
Other rules on C 22.00
- 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
- None of the six values it checks in market risk: standardised approaches for foreign exchange risk can be negative (v3788_s)Warning
- Own funds requirements cannot be negative (v3785_s)Warning
- Matched cannot be negative (v3784_s)Warning
- Total positions, total risk exposure amount cannot be negative (v3783_s)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.