The rule in plain words
Total core approach must equal portfolios under articles 9 to 17 - total category level post-diversification.
EBA checks it for seven columns: concentrated positions, future admnistrative costs, early termination, operational risk, upside uncertainty, unearned credit spreads, and investing and funding costs. That makes seven 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.
Upside Uncertainty: Total core 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.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 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)
Rows
- 0010Total core approach
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
Columns
- 0070Concentrated positions
- 0080Future admnistrative costs
- 0090Early termination
- 0100Operational risk
- 0120Upside Uncertainty
- 0210Unearned credit spreads
- 0220Investing and funding costs
A worked example
The first of its checks, with simple numbers.
Portfolios under articles 9 to 17 - total category level post-diversification must then be 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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_32.02.c,r0010,c0120,} = {C_32.02.c,r0030,c0120,}The next five:
{C_32.02.c,r0010,c0090,} = {C_32.02.c,r0030,c0090,}{C_32.02.c,r0010,c0100,} = {C_32.02.c,r0030,c0100,}{C_32.02.c,r0010,c0070,} = {C_32.02.c,r0030,c0070,}{C_32.02.c,r0010,c0210,} = {C_32.02.c,r0030,c0210,}{C_32.02.c,r0010,c0220,} = {C_32.02.c,r0030,c0220,}And 1 more, the same formula for the other cells it covers.
Other rules on C 32.02.c
- Total core approach must equal the sum of its two parts (v6338_m)Warning
- Trading book cannot be more than total core approach (v6341_m)Warning
- Portfolios under articles 9 to 17, total category level post-diversification must equal the sum of its five parts (v6343_m)Warning
- Total core approach, concentrated positions cannot be less than concentrated position AVA (all sheets added up) (v6362_m)Warning
- None of the 22 values it checks in prudent valuation: core approach: other can be negative (v6573_s)Warning
- None of the 40 values it checks in prudent valuation: core approach: other can be negative (v6574_s)Warning
- None of the 63 values it checks in prudent valuation: core approach: other can be negative (v6575_s)Warning
- None of the six values it checks in prudent valuation: core approach: other can be negative (v6576_s)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.