The rule in plain words
For portfolios under the fall-back approach: if total AVA is reported, explanation description must be reported.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
If C_32.02.A: Portfolios under the fall-back approach, Total AVA is reported, then C_32.02.C: Portfolios under the fall-back approach, Explanation description is reported
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02The check applies only when its first part holds in your file. When it does, the second part must hold too: fix the second part, or correct the first.
- 03It runs only when your filing indicators mark C 32.02 as reported.
- 04This 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
- 0180Portfolios under the fall-back approach
Column
- 0110Total AVA
Prudent valuation: core approach – other (C 32.02.c)
Row
- 0180Portfolios under the fall-back approach
Column
- 0270Explanation description
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
if (not(empty({C_32.02.a,r0180,c0110,}))) then (not(empty({C_32.02.c,r0180,c0270,}))) else TrueOther 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
- Trading book, total AVA cannot be less than the sum of seven cells (v10234_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.