The rule in plain words
Total settlement risk exposure amount cannot be negative.
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 settlement risk exposure amount: Total unsettled transactions in the Non-trading Book >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 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
Column
- 0040Total settlement risk exposure amount
A worked example
The first of its checks, with simple numbers.
Total unsettled transactions in the non-trading book, total settlement risk exposure amount must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
The numbers are illustrative.
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,} >= 0The next one:
{C_11.00,r0070,c0040,} >= 0Other rules on C 11.00
- 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
- Total settlement risk exposure amount must equal 12.5 times own funds requirements (v0499_m)Blocking
- 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
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.