Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Portfolios under articles 9 to 17, total category level post-diversification must equal the sum of its two parts (EBA rule v6342_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 32.02.a, prudent valuation: core approach – pre and post diversification.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Portfolios under articles 9 to 17 - total category level post-diversification must equal total category level pre-diversification plus (-) Diversification benefits.

EBA checks it for six columns: market price uncertainty, market price uncertainty calculated using the expert based approach, close-out costs, close-out costs calculated using the expert based approach, model risk and model risk calculated using the expert based approach. That makes six checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Of which: calculated using the expert based approach: Portfolios under articles 9 to 17 - total category level post-diversification = Total category level pre-diversification + (-) Diversification benefits

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Add up the parts in your file and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark C 32.02 as reported.
  6. 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 – pre and post diversification (C 32.02.a)

Rows

  • 0030Portfolios under articles 9 to 17 - total category level post-diversification
  • 0040Total category level pre-diversification
  • 0140(-) Diversification benefits

Columns

  • 0010Market price uncertainty
  • 0020Of which: calculated using the expert based approach
  • 0030Close-out costs
  • 0040Of which: calculated using the expert based approach
  • 0050Model risk
  • 0060Of which: calculated using the expert based approach

A worked example

The first of its checks, with simple numbers.

Illustrative values
Total category level pre-diversification1,200
(-) Diversification benefits800
Together2,000
What the rule then expects

Portfolios under articles 9 to 17 - total category level post-diversification must then be 2,000.

2,000Passes
2,100Fails

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 writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_32.02.a,r0030,c0020,} = {C_32.02.a,r0040,c0020,} + {C_32.02.a,r0140,c0020,}

The next five:

{C_32.02.a,r0030,c0060,} = {C_32.02.a,r0040,c0060,} + {C_32.02.a,r0140,c0060,}{C_32.02.a,r0030,c0010,} = {C_32.02.a,r0040,c0010,} + {C_32.02.a,r0140,c0010,}{C_32.02.a,r0030,c0030,} = {C_32.02.a,r0040,c0030,} + {C_32.02.a,r0140,c0030,}{C_32.02.a,r0030,c0050,} = {C_32.02.a,r0040,c0050,} + {C_32.02.a,r0140,c0050,}{C_32.02.a,r0030,c0040,} = {C_32.02.a,r0040,c0040,} + {C_32.02.a,r0140,c0040,}

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.