The rule in plain words

Portfolios under articles 9 to 17 - total category level post-diversification must equal these five added up:

Interest rates
Foreign exchange
Credit
Equities
Commodities

EBA checks it for 16 columns, from concentrated positions (0070) to day 1 P&L (0260). That makes 16 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.

Early termination: Portfolios under articles 9 to 17 - total category level post-diversification = Interest rates + Foreign exchange + Credit + Equities + Commodities

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03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 32.02 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: core approach – other (C 32.02.c)

Rows

0030Portfolios under articles 9 to 17 - total category level post-diversification
0090Interest rates
0100Foreign exchange
0110Credit
0120Equities
0130Commodities

Columns

0070Concentrated positions
0080Future admnistrative costs
0090Early termination
0100Operational risk
0130Fair-value assets
0140Fair-value liabilities
0150QTD revenue
0160IPV difference
0170Market price uncertainty
0180Close-out costs
0190Model risk
0200Concentrated positions
0230Future admnistrative costs
0240Early termination
0250Operational risk
0260Day 1 P&L

A worked example

The first of its checks, with simple numbers.

Illustrative values

Interest rates1,200

Foreign exchange800

Credit450

Equities300

Commodities150

Together2,900

What the rule then expects

Portfolios under articles 9 to 17 - total category level post-diversification must then be 2,900.

2,900Passes

3,000Fails

A file that reports 2,900 passes. One that reports 3,000 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.c,r0030,c0090,} = {C_32.02.c,r0090,c0090,} + {C_32.02.c,r0100,c0090,} + {C_32.02.c,r0110,c0090,} + {C_32.02.c,r0120,c0090,} + {C_32.02.c,r0130,c0090,}

The next five:

{C_32.02.c,r0030,c0240,} = {C_32.02.c,r0090,c0240,} + {C_32.02.c,r0100,c0240,} + {C_32.02.c,r0110,c0240,} + {C_32.02.c,r0120,c0240,} + {C_32.02.c,r0130,c0240,}

{C_32.02.c,r0030,c0100,} = {C_32.02.c,r0090,c0100,} + {C_32.02.c,r0100,c0100,} + {C_32.02.c,r0110,c0100,} + {C_32.02.c,r0120,c0100,} + {C_32.02.c,r0130,c0100,}

{C_32.02.c,r0030,c0260,} = {C_32.02.c,r0090,c0260,} + {C_32.02.c,r0100,c0260,} + {C_32.02.c,r0110,c0260,} + {C_32.02.c,r0120,c0260,} + {C_32.02.c,r0130,c0260,}

{C_32.02.c,r0030,c0080,} = {C_32.02.c,r0090,c0080,} + {C_32.02.c,r0100,c0080,} + {C_32.02.c,r0110,c0080,} + {C_32.02.c,r0120,c0080,} + {C_32.02.c,r0130,c0080,}

{C_32.02.c,r0030,c0070,} = {C_32.02.c,r0090,c0070,} + {C_32.02.c,r0100,c0070,} + {C_32.02.c,r0110,c0070,} + {C_32.02.c,r0120,c0070,} + {C_32.02.c,r0130,c0070,}

And 10 more, the same formula for the other cells it covers.

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.

Portfolios under articles 9 to 17, total category level post-diversification must equal the sum of its five parts (EBA rule v6343_m)

The rule in plain words

What to do if your filing fails it

The cells it reads

A worked example

Other rules on C 32.02.c