The rule in plain words
2nd largest currency, current market value (CMV), negative cannot be more than zero.
The value is on the simplified SA-CCR sheet (0002) of C 34.03.
EBA writes it out 68 times. These words are for the first; the others are the same rule on other cells.
The template it checks
CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C 34.03)
Row
- 0080Of which: 2nd largest currency
Column
- 0060Current market value (CMV), negative
Sheet
- 0002Simplified SA-CCR
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,r0080,c0060,s0002} <= 0And 67 more, the same formula for the other cells it covers.
Other rules on C 34.03
- Commodity risk must equal the sum of its five parts (v09825_m)Warning
- Commodity risk cannot be less than commodity risk mapped exclusively to commodity risk category (v09824_m)Warning
- Equity risk cannot be less than single-name transactions plus multi-names transactions (v09823_m)Warning
- Equity risk cannot be less than equity risk mapped exclusively to equity risk category (v09822_m)Warning
- Credit risk must equal single-name transactions plus multi-names transactions (v09821_m)Warning
- Credit risk cannot be less than credit risk mapped exclusively to credit risk category (v09820_m)Warning
- Foreign exchange risk cannot be less than the sum of five rows (v09819_m)Warning
- Foreign exchange risk cannot be less than foreign exchange risk mapped exclusively to foreign exchange risk category (v09818_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.