The rule in plain words
Early termination (all sheets added up) cannot be more than portfolios under articles 9 to 17 - total category level post-diversification, early termination.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_32.03: Early termination (all sheets added up) <= C_32.02.C: Portfolios under articles 9 to 17 - total category level post-diversification, Early termination
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 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 and C 32.03 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 – other (C 32.02.c)
Row
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
Column
- 0240Early termination
Prudent valuation, model risk AVA (C 32.03)
Column
- 0140Early termination
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_32.03,,c0140,}) <= {C_32.02.c,r0030,c0240,}Other rules on C 32.02.c
- Model risk (all sheets added up) cannot be more than portfolios under articles 9 to 17, total category level post-diversification, model risk (v10698_m)Warning
- None of the six values it checks in prudent valuation: core approach: other can be negative (v6576_s)Warning
- None of the 63 values it checks in prudent valuation: core approach: other can be negative (v6575_s)Warning
- None of the 40 values it checks in prudent valuation: core approach: other can be negative (v6574_s)Warning
- None of the 22 values it checks in prudent valuation: core approach: other can be negative (v6573_s)Warning
- Total core approach, concentrated positions cannot be less than concentrated position AVA (all sheets added up) (v6362_m)Warning
- Portfolios under articles 9 to 17, total category level post-diversification must equal the sum of its five parts (v6343_m)Warning
- Trading book cannot be more than total core approach (v6341_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.