The rule in plain words
Total settlement risk exposure amount must equal 12.5 times own funds requirements.
EBA checks it for two rows: total unsettled transactions in the non-trading book and total unsettled transactions in the trading book. 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.
Total unsettled transactions in the Non-trading Book, Total settlement risk exposure amount = 12.5 × Total unsettled transactions in the Non-trading Book, Own funds requirements
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 blocking check. A filing that fails it is normally rejected, so fix it before you submit.
The cells it reads
Settlement/Delivery risk (C 11.00)
Rows
- 0010Total unsettled transactions in the Non-trading Book
- 0070Total unsettled transactions in the Trading Book
Columns
- 0030Own funds requirements
- 0040Total settlement risk exposure amount
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,r0010,c0040,} = {C_11.00,r0010,c0030,} * 12.5The next one:
{C_11.00,r0070,c0040,} = {C_11.00,r0070,c0030,} * 12.5Other rules on C 11.00
- Own funds requirements must equal 0.08 times price difference exposure due to unsettled transactions (v0498_m)Warning
- Own funds requirements must equal 0.75 times price difference exposure due to unsettled transactions (v0497_m)Warning
- Own funds requirements must equal 0.5 times price difference exposure due to unsettled transactions (v0496_m)Warning
- Own funds requirements must equal price difference exposure due to unsettled transactions (v0495_m)Warning
- 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.