The rule in plain words
Add-on cannot be negative.
EBA checks it for 21 rows, from interest rate risk (0050) to other risks (0340). And on two sheets: SA-CCR and simplified SA-CCR. That makes 42 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.
Add-on: Interest rate risk, SA-CCR >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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
- 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
- 0190Credit risk
- 0230Equity risk
- 0270Commodity risk
- 0290Energy
- 0300Metals
- 0310Agricultural goods
- 0320Climatic conditions
- 0330Other commodities
- 0340Other risks
Column
- 0070Add-on
Sheets
- 0001SA-CCR
- 0002Simplified SA-CCR
A worked example
The first of its checks, with simple numbers.
Interest rate risk, add-on must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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,r0050,c0070,s0001} >= 0The next five:
{C_34.03,r0180,c0070,s0002} >= 0{C_34.03,r0110,c0070,s0002} >= 0{C_34.03,r0330,c0070,s0001} >= 0{C_34.03,r0070,c0070,s0001} >= 0{C_34.03,r0100,c0070,s0001} >= 0And 36 more, the same formula for the other cells it covers.
Other rules on C 34.03
- None of the 198 values it checks in CCR exposures treated with standardised approaches can be negative (v90215_s)Warning
- 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
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.