The rule in plain words
Foreign exchange risk cannot be less than foreign exchange risk mapped exclusively to foreign exchange risk category.
EBA checks it for three columns: number of transactions, notional amounts and current market value (CMV), positive. And on two sheets: SA-CCR and simplified SA-CCR. That makes six 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.
Number of transactions: Foreign exchange risk, Simplified SA-CCR >= Of which: mapped exclusively to foreign exchange risk category, Simplified 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
- 0120Foreign exchange risk
- 0130Of which: mapped exclusively to foreign exchange risk category
Columns
- 0030Number of transactions
- 0040Notional amounts
- 0050Current market value (CMV), positive
Sheets
- 0001SA-CCR
- 0002Simplified SA-CCR
A worked example
The first of its checks, with simple numbers.
Foreign exchange risk mapped exclusively to foreign exchange risk category 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_34.03,r0120,c0030,s0002} >= {C_34.03,r0130,c0030,s0002}The next five:
{C_34.03,r0120,c0040,s0002} >= {C_34.03,r0130,c0040,s0002}{C_34.03,r0120,c0040,s0001} >= {C_34.03,r0130,c0040,s0001}{C_34.03,r0120,c0030,s0001} >= {C_34.03,r0130,c0030,s0001}{C_34.03,r0120,c0050,s0001} >= {C_34.03,r0130,c0050,s0001}{C_34.03,r0120,c0050,s0002} >= {C_34.03,r0130,c0050,s0002}Other rules on C 34.03
- Interest rate risk cannot be less than the sum of five rows (v09817_m)Warning
- Foreign exchange risk cannot be less than the sum of five rows (v09819_m)Warning
- Interest rate risk cannot be less than interest rate risk mapped exclusively to interest rate risk category (v09816_m)Warning
- Credit risk cannot be less than credit risk mapped exclusively to credit risk category (v09820_m)Warning
- Total cannot be less than the sum of three rows (v09815_m)Warning
- Credit risk must equal single-name transactions plus multi-names transactions (v09821_m)Warning
- Equity risk cannot be less than equity risk mapped exclusively to equity risk category (v09822_m)Warning
- Equity risk cannot be less than single-name transactions plus multi-names transactions (v09823_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.