The rule in plain words

Foreign exchange risk cannot be less than these five added up:

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

EBA checks it for three columns: number of transactions, notional amounts and add-on. 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 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.

Notional amounts: Foreign exchange risk, Simplified SA-CCR >= Of which: largest currency pair, Simplified SA-CCR + Of which: 2nd largest currency pair, Simplified SA-CCR + Of which: 3rd largest currency pair, Simplified SA-CCR + Of which: 4th largest currency pair, Simplified SA-CCR + Of which: 5th largest currency pair, 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
0140Of which: largest currency pair
0150Of which: 2nd largest currency pair
0160Of which: 3rd largest currency pair
0170Of which: 4th largest currency pair
0180Of which: 5th largest currency pair

Columns

0030Number of transactions
0040Notional amounts
0070Add-on

Sheets

0001SA-CCR
0002Simplified SA-CCR

A worked example

The first of its checks, with simple numbers.

Illustrative values

largest currency pair1,200

2nd largest currency pair800

3rd largest currency pair450

4th largest currency pair300

5th largest currency pair150

Together2,900

What the rule then expects

Foreign exchange 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,r0120,c0040,s0002} >= {C_34.03,r0140,c0040,s0002} + {C_34.03,r0150,c0040,s0002} + {C_34.03,r0160,c0040,s0002} + {C_34.03,r0170,c0040,s0002} + {C_34.03,r0180,c0040,s0002}

The next five:

{C_34.03,r0120,c0070,s0001} >= {C_34.03,r0140,c0070,s0001} + {C_34.03,r0150,c0070,s0001} + {C_34.03,r0160,c0070,s0001} + {C_34.03,r0170,c0070,s0001} + {C_34.03,r0180,c0070,s0001}

{C_34.03,r0120,c0070,s0002} >= {C_34.03,r0140,c0070,s0002} + {C_34.03,r0150,c0070,s0002} + {C_34.03,r0160,c0070,s0002} + {C_34.03,r0170,c0070,s0002} + {C_34.03,r0180,c0070,s0002}

{C_34.03,r0120,c0030,s0001} >= {C_34.03,r0140,c0030,s0001} + {C_34.03,r0150,c0030,s0001} + {C_34.03,r0160,c0030,s0001} + {C_34.03,r0170,c0030,s0001} + {C_34.03,r0180,c0030,s0001}

{C_34.03,r0120,c0030,s0002} >= {C_34.03,r0140,c0030,s0002} + {C_34.03,r0150,c0030,s0002} + {C_34.03,r0160,c0030,s0002} + {C_34.03,r0170,c0030,s0002} + {C_34.03,r0180,c0030,s0002}

{C_34.03,r0120,c0040,s0001} >= {C_34.03,r0140,c0040,s0001} + {C_34.03,r0150,c0040,s0001} + {C_34.03,r0160,c0040,s0001} + {C_34.03,r0170,c0040,s0001} + {C_34.03,r0180,c0040,s0001}

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.

Foreign exchange risk cannot be less than the sum of five rows (EBA rule v09819_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