The rule in plain words

Long plus short must equal these six added up:

Other (RW=1250%)
Sec-IRBA
Sec-SA
Sec-erba
Internal assessment approach
Specific treatment for senior tranches of qualifying NPE securitisations

EBA checks it for twelve rows, from total exposures (0010) to other CTP positions (0120). That makes twelve checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

ORIGINATOR: TOTAL EXPOSURES, Long + ORIGINATOR: TOTAL EXPOSURES, Short = ORIGINATOR: TOTAL EXPOSURES, OTHER (RW=1250%) + ORIGINATOR: TOTAL EXPOSURES, SEC-IRBA + ORIGINATOR: TOTAL EXPOSURES, SEC-SA + ORIGINATOR: TOTAL EXPOSURES, SEC-ERBA + ORIGINATOR: TOTAL EXPOSURES, INTERNAL ASSESSMENT APPROACH + ORIGINATOR: TOTAL EXPOSURES, SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

What to do if your filing fails it

01Open the template below and find the cells the rule reads.
02Work out both sides from your file, as the rule in plain words sets out, and compare them.
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 20.00 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 specific risk in the correlation trading portfolio (C 20.00)

Rows

0010TOTAL EXPOSURES
0020ORIGINATOR: TOTAL EXPOSURES
0030SECURITISATIONS
0040Other CTP positions
0050INVESTOR: TOTAL EXPOSURES
0060SECURITISATIONS
0070Other CTP positions
0080SPONSOR: TOTAL EXPOSURES
0090SECURITISATIONS
0100Other CTP positions
0110N-th to default credit derivatives
0120Other CTP positions

Columns

0050Long
0060Short
0402SEC-IRBA
0403SEC-SA
0404SEC-ERBA
0405INTERNAL ASSESSMENT APPROACH
0406OTHER (RW=1250%)
0900SPECIFIC TREATMENT FOR SENIOR TRANCHES OF QUALIFYING NPE SECURITISATIONS

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_20.00,r0020,c0050,} + {C_20.00,r0020,c0060,} = {C_20.00,r0020,c0406,} + {C_20.00,r0020,c0402,} + {C_20.00,r0020,c0403,} + {C_20.00,r0020,c0404,} + {C_20.00,r0020,c0405,} + {C_20.00,r0020,c0900,}

The next five:

{C_20.00,r0040,c0050,} + {C_20.00,r0040,c0060,} = {C_20.00,r0040,c0406,} + {C_20.00,r0040,c0402,} + {C_20.00,r0040,c0403,} + {C_20.00,r0040,c0404,} + {C_20.00,r0040,c0405,} + {C_20.00,r0040,c0900,}

{C_20.00,r0080,c0050,} + {C_20.00,r0080,c0060,} = {C_20.00,r0080,c0406,} + {C_20.00,r0080,c0402,} + {C_20.00,r0080,c0403,} + {C_20.00,r0080,c0404,} + {C_20.00,r0080,c0405,} + {C_20.00,r0080,c0900,}

{C_20.00,r0090,c0050,} + {C_20.00,r0090,c0060,} = {C_20.00,r0090,c0406,} + {C_20.00,r0090,c0402,} + {C_20.00,r0090,c0403,} + {C_20.00,r0090,c0404,} + {C_20.00,r0090,c0405,} + {C_20.00,r0090,c0900,}

{C_20.00,r0070,c0050,} + {C_20.00,r0070,c0060,} = {C_20.00,r0070,c0406,} + {C_20.00,r0070,c0402,} + {C_20.00,r0070,c0403,} + {C_20.00,r0070,c0404,} + {C_20.00,r0070,c0405,} + {C_20.00,r0070,c0900,}

{C_20.00,r0010,c0050,} + {C_20.00,r0010,c0060,} = {C_20.00,r0010,c0406,} + {C_20.00,r0010,c0402,} + {C_20.00,r0010,c0403,} + {C_20.00,r0010,c0404,} + {C_20.00,r0010,c0405,} + {C_20.00,r0010,c0900,}

And 6 more, the same formula for the other cells it covers.

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.

Long plus short must equal the sum of six columns (C 20.00, EBA rule v7392_m)

The rule in plain words

What to do if your filing fails it

The cells it reads

Other rules on C 20.00