The rule in plain words
Own funds requirements must equal 0.75 times price difference exposure due to unsettled transactions.
EBA checks it for two rows: transactions unsettled between 31 and 45 days (Factor 75%) (0050), and transactions unsettled between 31 and 45 days (Factor 75%) (0110). That makes two 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.
Transactions unsettled between 31 and 45 days (Factor 75%), Own funds requirements = 0.75 × Transactions unsettled between 31 and 45 days (Factor 75%), Price difference exposure due to unsettled transactions
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 11.00 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
Settlement/Delivery risk (C 11.00)
Rows
- 0050Transactions unsettled between 31 and 45 days (Factor 75%)
- 0110Transactions unsettled between 31 and 45 days (Factor 75%)
Columns
- 0020Price difference exposure due to unsettled transactions
- 0030Own funds requirements
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_11.00,r0110,c0030,} = {C_11.00,r0110,c0020,} * 0.75The next one:
{C_11.00,r0050,c0030,} = {C_11.00,r0050,c0020,} * 0.75Other rules on C 11.00
- Own funds requirements must equal 0.5 times price difference exposure due to unsettled transactions (v0496_m)Warning
- Own funds requirements must equal 0.08 times price difference exposure due to unsettled transactions (v0498_m)Warning
- Own funds requirements must equal price difference exposure due to unsettled transactions (v0495_m)Warning
- Total settlement risk exposure amount must equal 12.5 times own funds requirements (v0499_m)Blocking
- Own funds requirements must equal 0 times price difference exposure due to unsettled transactions (v0494_m)Warning
- Total settlement risk exposure amount cannot be negative (v3734_s)Blocking
- Total unsettled transactions in the non-trading book must equal the sum of its five parts (v5823_h)Warning
- Total unsettled transactions in the trading book must equal the sum of its five parts (v5824_h)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.