The rule in plain words
For fair value adjustments: total core approach must equal portfolios under the fall-back approach plus portfolios under articles 9 to 17 - total category level post-diversification.
EBA checks it for ten columns, from fair-value assets (0130) to day 1 P&L (0260). That makes ten checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.
Operational risk: Total core approach = Portfolios under the fall-back approach + Portfolios under articles 9 to 17 - total category level post-diversification
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 32.02 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
Prudent valuation: core approach – other (C 32.02.c)
Rows
- 0010Total core approach
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
- 0180Portfolios under the fall-back approach
Columns
- 0130Fair-value assets
- 0140Fair-value liabilities
- 0170Market price uncertainty
- 0180Close-out costs
- 0190Model risk
- 0200Concentrated positions
- 0230Future admnistrative costs
- 0240Early termination
- 0250Operational risk
- 0260Day 1 P&L
A worked example
The first of its checks, with simple numbers.
Total core approach 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_32.02.c,r0010,c0250,} = {C_32.02.c,r0180,c0250,} + {C_32.02.c,r0030,c0250,}The next five:
{C_32.02.c,r0010,c0130,} = {C_32.02.c,r0180,c0130,} + {C_32.02.c,r0030,c0130,}{C_32.02.c,r0010,c0170,} = {C_32.02.c,r0180,c0170,} + {C_32.02.c,r0030,c0170,}{C_32.02.c,r0010,c0260,} = {C_32.02.c,r0180,c0260,} + {C_32.02.c,r0030,c0260,}{C_32.02.c,r0010,c0190,} = {C_32.02.c,r0180,c0190,} + {C_32.02.c,r0030,c0190,}{C_32.02.c,r0010,c0240,} = {C_32.02.c,r0180,c0240,} + {C_32.02.c,r0030,c0240,}And 4 more, the same formula for the other cells it covers.
Other rules on C 32.02.c
- Early termination (all sheets added up) cannot be more than portfolios under articles 9 to 17, total category level post-diversification, early termination (v10699_m)Warning
- 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
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.