The rule in plain words
SFT cash conduit lending (cash receivables) cannot be more than security financing transactions.
All the values are in the accounting value assuming no netting or other CRM column (0020) of C 40.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Accounting value assuming no netting or other CRM: SFT cash conduit lending (cash receivables) <= Security Financing Transactions
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 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 40.00 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
Alternative treatment of the exposure measure (I) (C 40.00.a)
Rows
- 0071Security Financing Transactions
- 0240SFT cash conduit lending (cash receivables)
Column
- 0020Accounting value assuming no netting or other CRM
A worked example
The first of its checks, with simple numbers.
Security financing transactions must then be at least 1,200.
A file that reports 1,200 passes. One that reports 1,100 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_40.00.a,r0240,c0020,} <= {C_40.00.a,r0071,c0020,}Other rules on C 40.00.a
- Accounting value assuming no netting or other CRM cannot be less than accounting balance sheet value (v10095_m)Warning
- Accounting balance sheet value cannot be negative (v10257_s)Warning
- Accounting value assuming no netting or other CRM cannot be negative (v10258_s)Warning
- Capped notional amount cannot be negative (v10261_s)Warning
- Credit derivatives (protection bought), capped notional amount (same reference name) cannot be negative (v10262_s)Warning
- Derivatives must equal the sum of its three parts (v8827_m)Warning
Every COREP LR rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.