The rule in plain words
Daily trading flow - cash trades and derivative trades must equal daily trading flow - cash trades plus daily trading flow - derivative trades.
All the values are in the amount column (0010).
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
I_05.00: Daily trading flow - cash trades and derivative trades = I_04.00: Daily trading flow - Cash trades, Factor amount + I_04.00: Daily trading flow - Derivative trades, Factor amount
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark I 04.00 and I 05.00 as reported.
- 06This 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
K-factor requirement calculations (I 04.00)
Rows
- 0140Daily trading flow - Cash trades
- 0150Daily trading flow - Derivative trades
Column
- 0010Factor amount
Level of activity - thresholds review (I 05.00)
Row
- 0060Daily trading flow - cash trades and derivative trades
Column
- 0010Amount
A worked example
The first of its checks, with simple numbers.
Daily trading flow - cash trades and derivative trades must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 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}.
{I_05.00,r0060,c0010,} = {I_04.00,r0140,c0010,} + {I_04.00,r0150,c0010,}Other rules on I 04.00
- Client money held must equal the sum of its two parts (v11120_m)Warning
- Daily trading flow, derivative trades must equal total DTF, derivative trades (average amounts) (v11119_m)Warning
- Daily trading flow, cash trades must equal total DTF, cash trades (average amounts) (v11118_m)Warning
- Client orders handled, derivatives trades must equal COH, derivative (average amounts) (v11117_m)Warning
- Client orders handled, cash trades must equal COH, cash trades (average amounts) (v11116_m)Warning
- Assets safeguarded and administered must equal total ASA (average amounts) (v11115_m)Warning
- Client money held, non-segregated must equal CMH, non-segregated (average amounts) (v11114_m)Warning
- Client money held, Segregated must equal CMH, Segregated (average amounts) (v11113_m)Warning
Every IFR class 2 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.