The rule in plain words
Total must equal these six added up:
- Credit risk
- Equity risk
- Foreign exchange risk
- Interest rate risk
- Commodity risk
- Other risks
All the values are in the notional amounts column (0040) and on the simplified SA-CCR sheet (0002) of C 34.03.
EBA writes it out ten 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)
Rows
- 0010Total
- 0050Interest rate risk
- 0120Foreign exchange risk
- 0190Credit risk
- 0230Equity risk
- 0270Commodity risk
- 0340Other risks
Column
- 0040Notional amounts
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,r0010,c0040,s0002} = {C_34.03,r0190,c0040,s0002} + {C_34.03,r0230,c0040,s0002} + {C_34.03,r0120,c0040,s0002} + {C_34.03,r0050,c0040,s0002} + {C_34.03,r0270,c0040,s0002} + {C_34.03,r0340,c0040,s0002}And 9 more, the same formula for the other cells it covers.
Other rules on C 34.03
- Add-on cannot be negative (v90216_s)Warning
- 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
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.
