The rule in plain words
Credit risk must equal single-name transactions plus multi-names transactions.
EBA checks it for four columns: number of transactions, notional amounts, current market value (CMV), positive and current market value (CMV), negative. 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 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.
Notional amounts: Credit risk, SA-CCR = Single-name transactions, SA-CCR + Multi-names transactions, SA-CCR
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 34.03 as reported.
- 06This 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
- 0190Credit risk
- 0210Single-name transactions
- 0220Multi-names transactions
Columns
- 0030Number of transactions
- 0040Notional amounts
- 0050Current market value (CMV), positive
- 0060Current market value (CMV), negative
Sheets
- 0001SA-CCR
- 0002Simplified SA-CCR
A worked example
The first of its checks, with simple numbers.
Credit risk must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 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,r0190,c0040,s0001} = {C_34.03,r0210,c0040,s0001} + {C_34.03,r0220,c0040,s0001}The next five:
{C_34.03,r0190,c0050,s0001} = {C_34.03,r0210,c0050,s0001} + {C_34.03,r0220,c0050,s0001}{C_34.03,r0190,c0040,s0002} = {C_34.03,r0210,c0040,s0002} + {C_34.03,r0220,c0040,s0002}{C_34.03,r0190,c0050,s0002} = {C_34.03,r0210,c0050,s0002} + {C_34.03,r0220,c0050,s0002}{C_34.03,r0190,c0030,s0002} = {C_34.03,r0210,c0030,s0002} + {C_34.03,r0220,c0030,s0002}{C_34.03,r0190,c0060,s0001} = {C_34.03,r0210,c0060,s0001} + {C_34.03,r0220,c0060,s0001}And 2 more, the same formula for the other cells it covers.
Other rules on C 34.03
- Credit risk cannot be less than credit risk mapped exclusively to credit risk category (v09820_m)Warning
- Equity risk cannot be less than equity risk mapped exclusively to equity risk category (v09822_m)Warning
- Foreign exchange risk cannot be less than the sum of five rows (v09819_m)Warning
- Equity risk cannot be less than single-name transactions plus multi-names transactions (v09823_m)Warning
- Foreign exchange risk cannot be less than foreign exchange risk mapped exclusively to foreign exchange risk category (v09818_m)Warning
- Commodity risk cannot be less than commodity risk mapped exclusively to commodity risk category (v09824_m)Warning
- Interest rate risk cannot be less than the sum of five rows (v09817_m)Warning
- Commodity risk must equal the sum of its five parts (v09825_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.