The rule in plain words
Total fair-valued liabilities must equal these seven added up:
- Financial liabilities held for trading
- Trading financial liabilities
- Financial liabilities designated at fair value through profit or loss
- Fair value changes of the hedged items in portfolio hedge of interest rate risk
- Haircuts for trading liabilities at fair value
- Other liabilities
- Liabilities included in disposal groups classified as held for sale
All the values are in the exactly matching column (0030) of C 32.01.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Exactly matching: Total fair-valued liabilities = Financial liabilities held for trading + Trading financial liabilities + Financial liabilities designated at fair value through profit or loss + Fair value changes of the hedged items in portfolio hedge of interest rate risk + Haircuts for trading liabilities at fair value + Other liabilities + Liabilities included in disposal groups classified as held for sale
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- 03If they differ, a part is missing, a value sits in the wrong row, or the total is out of date.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 32.01 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, fair-valued assets and liabilities (C 32.01)
Rows
- 0150Total fair-valued liabilities
- 0160Financial liabilities held for trading
- 0170Trading financial liabilities
- 0180Financial liabilities designated at fair value through profit or loss
- 0200Fair value changes of the hedged items in portfolio hedge of interest rate risk
- 0210Haircuts for trading liabilities at fair value
- 0220Other liabilities
- 0230Liabilities included in disposal groups classified as held for sale
Column
- 0030Exactly matching
A worked example
The first of its checks, with simple numbers.
Total fair-valued liabilities must then be 3,060.
A file that reports 3,060 passes. One that reports 3,160 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_32.01,r0150,c0030,} = {C_32.01,r0160,c0030,} + {C_32.01,r0170,c0030,} + {C_32.01,r0180,c0030,} + {C_32.01,r0200,c0030,} + {C_32.01,r0210,c0030,} + {C_32.01,r0220,c0030,} + {C_32.01,r0230,c0030,}Other rules on C 32.01
- Total fair-valued liabilities must equal the sum of its eight parts (v6324_m)Warning
- Total fair-valued liabilities must equal derivatives, hedge accounting (v6326_m)Warning
- Total fair-valued assets must equal derivatives, hedge accounting (v6323_m)Warning
- Trading book cannot be more than fair-valued assets and liabilities (v6327_m)Warning
- Total fair-valued assets must equal the sum of its 13 parts (v6322_m)Warning
- Trading book cannot be less than fair-valued assets and liabilities (v6328_m)Warning
- Total fair-valued assets must equal the sum of its 14 parts (v6321_m)Warning
- Fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over five columns (v6329_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.