The rule in plain words
Transactions unsettled up to 4 days (Factor 0%), unsettled transactions at settlement price cannot be negative.
EBA writes it out 36 times. These words are for the first; the others are the same rule on other cells.
The template it checks
Settlement/Delivery risk (C 11.00)
Row
- 0020Transactions unsettled up to 4 days (Factor 0%)
Column
- 0010Unsettled transactions at settlement price
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,r0020,c0010,} >= 0And 35 more, the same formula for the other cells it covers.
Other rules on C 11.00
- 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
- 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
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.