The rule in plain words
Trading book cannot be less than fair-valued assets and liabilities included in art. 4(1) threshold.
All the values are in the (-) haircuts for trading assets at fair value row (0140) of C 32.01.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
(-) Haircuts for trading assets at fair value, of which: trading book >= (-) Haircuts for trading assets at fair value, Fair-valued assets and liabilities included in art. 4(1) threshold
What to do if your filing fails it
- 01Open the template 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 32.01 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, fair-valued assets and liabilities (C 32.01)
Row
- 0140(-) Haircuts for trading assets at fair value
Columns
- 0080Fair-valued assets and liabilities included in art. 4(1) threshold
- 0090of which: trading book
A worked example
The first of its checks, with simple numbers.
Fair-valued assets and liabilities included in art. 4(1) threshold can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 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,r0140,c0090,} >= {C_32.01,r0140,c0080,}Other rules on C 32.01
- Trading book cannot be more than fair-valued assets and liabilities included in art. 4(1) threshold (v6332_m)Warning
- Total fair-valued liabilities: fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over four columns (v6331_m)Warning
- Total fair-valued assets: fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over four columns (v6330_m)Warning
- Fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over five columns (v6329_m)Warning
- Trading book cannot be less than fair-valued assets and liabilities (v6328_m)Warning
- Trading book cannot be more than fair-valued assets and liabilities (v6327_m)Warning
- Total fair-valued liabilities must equal derivatives, hedge accounting (v6326_m)Warning
- Total fair-valued liabilities must equal the sum of its seven parts (v6325_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.