The rule in plain words
Trading book cannot be more than total core approach.
EBA checks it for 16 columns, from concentrated positions (0070) to operational risk (0250). That makes 16 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: of which: trading book <= Total core approach
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 bigger 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 32.02 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
- 0020of which: trading book
Columns
- 0070Concentrated positions
- 0080Future admnistrative costs
- 0090Early termination
- 0100Operational risk
- 0120Upside Uncertainty
- 0130Fair-value assets
- 0140Fair-value liabilities
- 0170Market price uncertainty
- 0180Close-out costs
- 0190Model risk
- 0200Concentrated positions
- 0210Unearned credit spreads
- 0220Investing and funding costs
- 0230Future admnistrative costs
- 0240Early termination
- 0250Operational risk
A worked example
The first of its checks, with simple numbers.
Total core approach must then be at least 1,200.
A file that reports 1,200 passes. One that reports 1,100 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,r0020,c0120,} <= {C_32.02.c,r0010,c0120,}The next five:
{C_32.02.c,r0020,c0070,} <= {C_32.02.c,r0010,c0070,}{C_32.02.c,r0020,c0170,} <= {C_32.02.c,r0010,c0170,}{C_32.02.c,r0020,c0100,} <= {C_32.02.c,r0010,c0100,}{C_32.02.c,r0020,c0140,} <= {C_32.02.c,r0010,c0140,}{C_32.02.c,r0020,c0230,} <= {C_32.02.c,r0010,c0230,}And 10 more, the same formula for the other cells it covers.
Other rules on C 32.02.c
- 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 must equal the sum of its two parts (v6338_m)Warning
- Total core approach must equal portfolios under articles 9 to 17, total category level post-diversification (v6336_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.