The rule in plain words
Total unsettled transactions in the trading book, total settlement risk exposure amount must equal settlement or delivery risk in the trading book, TREA.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_11.00: Total unsettled transactions in the Trading Book, Total settlement risk exposure amount = C_02.00.A: Settlement/delivery risk in the Trading book, TREA
What to do if your filing fails it
- 01Open the templates 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 and C 02.00 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Row
- 0510Settlement/delivery risk in the Trading book
Column
- 0010TREA
Settlement/Delivery risk (C 11.00)
Row
- 0070Total unsettled transactions in the Trading Book
Column
- 0040Total settlement risk exposure amount
A worked example
The first of its checks, with simple numbers.
Settlement or delivery risk in the trading book, TREA must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_11.00,r0070,c0040,} = {C_02.00.a,r0510,c0010,}Other rules on C 02.00.a
- Total unsettled transactions in the non-trading book, total settlement risk exposure amount must equal settlement or delivery risk in the non-trading book, TREA (v0500_m)Warning
- Traded debt instruments in trading book, total risk exposure amount, total must equal traded debt instruments, TREA (v0580_m)Blocking
- Equities in trading book, total risk exposure amount, total must equal equity, TREA (v0624_m)Blocking
- Total positions, total risk exposure amount must equal foreign exchange, TREA (v0629_m)Blocking
- Transactions in scope of the own funds requirement for CVA risk, total risk exposure amount must equal total risk exposure amount for credit valuation adjustment, TREA (v0640_m)Blocking
- Additional stricter prudential requirements cannot be less than the sum of three rows (v0217_m)Warning
- Other risk exposure amounts cannot be less than the sum of five rows (v0216_m)Warning
- Total risk exposure amount for credit valuation adjustment must equal the sum of its five parts (v0215_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.