The rule in plain words
For trading book: total AVA cannot be less than these seven added up:
- Market price uncertainty
- Close-out costs
- Model risk
- Concentrated positions
- Future admnistrative costs
- Early termination
- Operational risk
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_32.02.A: Of which: trading book, Total AVA >= C_32.02.A: Of which: trading book, Market price uncertainty + C_32.02.A: Of which: trading book, Close-out costs + C_32.02.A: Of which: trading book, Model risk + C_32.02.C: of which: trading book, Concentrated positions + C_32.02.C: of which: trading book, Future admnistrative costs + C_32.02.C: of which: trading book, Early termination + C_32.02.C: of which: trading book, Operational risk
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller 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 32.02 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
Prudent valuation: core approach – pre and post diversification (C 32.02.a)
Row
- 0020Of which: trading book
Columns
- 0010Market price uncertainty
- 0030Close-out costs
- 0050Model risk
- 0110Total AVA
Prudent valuation: core approach – other (C 32.02.c)
Row
- 0020of which: trading book
Columns
- 0070Concentrated positions
- 0080Future admnistrative costs
- 0090Early termination
- 0100Operational risk
A worked example
The first of its checks, with simple numbers.
Trading book, total AVA must then be at least 3,060.
A file that reports 3,060 passes. One that reports 2,960 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_32.02.a,r0020,c0110,} >= {C_32.02.a,r0020,c0010,} + {C_32.02.a,r0020,c0030,} + {C_32.02.a,r0020,c0050,} + {C_32.02.c,r0020,c0070,} + {C_32.02.c,r0020,c0080,} + {C_32.02.c,r0020,c0090,} + {C_32.02.c,r0020,c0100,}Other rules on C 32.02.a
- Portfolios under articles 9 to 17, total category level post-diversification, total AVA must equal the sum of its six parts (v10235_m)Warning
- Portfolios under the fall-back approach: if total AVA is reported, explanation description must be reported (v10697_m)Warning
- Portfolios under articles 9 to 17, total category level post-diversification, total AVA must equal the sum of its seven parts (v8641_m)Warning
- Total core approach, total AVA must equal the sum of its eight parts (v8640_m)Warning
- Total AVA cannot be negative (v7306_s)Warning
- Each of the 21 values it checks in prudent valuation cannot be more than zero (v6571_s)Warning
- None of the 72 values it checks in prudent valuation can be negative (v6570_s)Warning
- Total category level pre-diversification cannot be less than model risk AVA (all sheets added up) (v6359_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.