The rule in plain words

Interest rate risk cannot be less than these five added up:

Largest currency
2nd largest currency
3rd largest currency
4th largest currency
5th largest currency

EBA checks it for four columns: number of transactions, notional amounts, current market value (CMV), positive and add-on. And on two sheets: SA-CCR and simplified SA-CCR. That makes eight 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.

Number of transactions: Interest rate risk, SA-CCR >= Of which: largest currency, SA-CCR + Of which: 2nd largest currency, SA-CCR + Of which: 3rd largest currency, SA-CCR + Of which: 4th largest currency, SA-CCR + Of which: 5th largest currency, SA-CCR

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 34.03 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

CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C 34.03)

Rows

0050Interest rate risk
0070Of which: largest currency
0080Of which: 2nd largest currency
0090Of which: 3rd largest currency
0100Of which: 4th largest currency
0110Of which: 5th largest currency

Columns

0030Number of transactions
0040Notional amounts
0050Current market value (CMV), positive
0070Add-on

Sheets

0001SA-CCR
0002Simplified SA-CCR

A worked example

The first of its checks, with simple numbers.

Illustrative values

largest currency1,200

2nd largest currency800

3rd largest currency450

4th largest currency300

5th largest currency150

Together2,900

What the rule then expects

Interest rate risk must then be at least 2,900.

2,900Passes

2,800Fails

A file that reports 2,900 passes. One that reports 2,800 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

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_34.03,r0050,c0030,s0001} >= {C_34.03,r0070,c0030,s0001} + {C_34.03,r0080,c0030,s0001} + {C_34.03,r0090,c0030,s0001} + {C_34.03,r0100,c0030,s0001} + {C_34.03,r0110,c0030,s0001}

The next five:

{C_34.03,r0050,c0030,s0002} >= {C_34.03,r0070,c0030,s0002} + {C_34.03,r0080,c0030,s0002} + {C_34.03,r0090,c0030,s0002} + {C_34.03,r0100,c0030,s0002} + {C_34.03,r0110,c0030,s0002}

{C_34.03,r0050,c0040,s0001} >= {C_34.03,r0070,c0040,s0001} + {C_34.03,r0080,c0040,s0001} + {C_34.03,r0090,c0040,s0001} + {C_34.03,r0100,c0040,s0001} + {C_34.03,r0110,c0040,s0001}

{C_34.03,r0050,c0070,s0001} >= {C_34.03,r0070,c0070,s0001} + {C_34.03,r0080,c0070,s0001} + {C_34.03,r0090,c0070,s0001} + {C_34.03,r0100,c0070,s0001} + {C_34.03,r0110,c0070,s0001}

{C_34.03,r0050,c0040,s0002} >= {C_34.03,r0070,c0040,s0002} + {C_34.03,r0080,c0040,s0002} + {C_34.03,r0090,c0040,s0002} + {C_34.03,r0100,c0040,s0002} + {C_34.03,r0110,c0040,s0002}

{C_34.03,r0050,c0050,s0002} >= {C_34.03,r0070,c0050,s0002} + {C_34.03,r0080,c0050,s0002} + {C_34.03,r0090,c0050,s0002} + {C_34.03,r0100,c0050,s0002} + {C_34.03,r0110,c0050,s0002}

And 2 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.

Interest rate risk cannot be less than the sum of five rows (EBA rule v09817_m)

The rule in plain words

What to do if your filing fails it

The cells it reads

A worked example

Other rules on C 34.03