The rule in plain words
Currencies closely correlated cannot be less than reporting currency.
EBA checks it for three columns: long, short and matched. That makes three 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.
Short: Currencies closely correlated >= Of which: reporting currency
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
- 0020Currencies closely correlated
- 0025Of which: reporting currency
Columns
- 0040Long
- 0050Short
- 0080Matched
A worked example
The first of its checks, with simple numbers.
Reporting currency 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,r0020,c0050,} >= {C_22.00,r0025,c0050,}The next two:
{C_22.00,r0020,c0040,} >= {C_22.00,r0025,c0040,}{C_22.00,r0020,c0080,} >= {C_22.00,r0025,c0080,}Other rules on C 22.00
- 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
- Short, all positions cannot be less than short, net positions (v4885_m)Warning
- Long, all positions cannot be less than long, net positions (v4884_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
- 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.