The rule in plain words
Total risk exposure amount for settlement or delivery must equal settlement or delivery risk in the non-trading book plus settlement or delivery risk in the trading book.
All the values are in the TREA column (0010) of C 02.00.a.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
TREA: TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY = Settlement/delivery risk in the non-Trading book + Settlement/delivery risk in the Trading book
What to do if your filing fails it
- 01Open the template 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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 C 02.00 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
Capital adequacy - risk exposure amounts (C 02.00.a)
Rows
- 0490TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY
- 0500Settlement/delivery risk in the non-Trading book
- 0510Settlement/delivery risk in the Trading book
Column
- 0010TREA
A worked example
The first of its checks, with simple numbers.
Total risk exposure amount for settlement or delivery 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}.
{C_02.00.a,r0490,c0010,} = {C_02.00.a,r0500,c0010,} + {C_02.00.a,r0510,c0010,}Other rules on C 02.00.a
- SA exposure classes excluding securitisation positions secured by mortgages on immovable property and ADC exposures must equal the sum of its eleven parts (v90079_h)Warning
- Row 0036 must equal the sum of its eight parts (v23971_m)Warning
- Total risk exposure amount, TREA must equal the smaller of two values (v23798_m)Warning
- Total risk exposure amount must equal row 0035 plus row 0036 (v23734_m)Warning
- TREA cannot be negative (v23705_s)Warning
- TREA must be reported (e23361_e)Warning
- Other items, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23296_m)Warning
- Equity, TREA must equal total exposures, risk weighted exposure amount after supporting factors and after FX-mismatch (v23295_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.