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1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Total category level pre-diversification must equal the sum of its seven parts (EBA rule v6344_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

Total category level pre-diversification must equal these seven added up:

  • Unearned credit spreads AVA
  • Investment and funding costs AVA
  • Interest rates
  • Foreign exchange
  • Credit
  • Equities
  • Commodities

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: Total category level pre-diversification = Of which: unearned credit spreads AVA + Of which: investment and funding costs AVA + Interest rates + Foreign exchange + Credit + Equities + Commodities

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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

  • 0040Total category level pre-diversification
  • 0050Of which: unearned credit spreads AVA
  • 0060Of which: investment and funding costs AVA
  • 0090Interest rates
  • 0100Foreign exchange
  • 0110Credit
  • 0120Equities
  • 0130Commodities

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
unearned credit spreads AVA1,200
investment and funding costs AVA800
Interest rates450
Foreign exchange300
Credit150
Equities100
Commodities60
Together3,060
What the rule then expects

Total category level pre-diversification must then be 3,060.

3,060Passes
3,160Fails

A file that reports 3,060 passes. One that reports 3,160 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,r0040,c0060,} = {C_32.02.a,r0050,c0060,} + {C_32.02.a,r0060,c0060,} + {C_32.02.a,r0090,c0060,} + {C_32.02.a,r0100,c0060,} + {C_32.02.a,r0110,c0060,} + {C_32.02.a,r0120,c0060,} + {C_32.02.a,r0130,c0060,}

The next five:

{C_32.02.a,r0040,c0050,} = {C_32.02.a,r0050,c0050,} + {C_32.02.a,r0060,c0050,} + {C_32.02.a,r0090,c0050,} + {C_32.02.a,r0100,c0050,} + {C_32.02.a,r0110,c0050,} + {C_32.02.a,r0120,c0050,} + {C_32.02.a,r0130,c0050,}{C_32.02.a,r0040,c0040,} = {C_32.02.a,r0050,c0040,} + {C_32.02.a,r0060,c0040,} + {C_32.02.a,r0090,c0040,} + {C_32.02.a,r0100,c0040,} + {C_32.02.a,r0110,c0040,} + {C_32.02.a,r0120,c0040,} + {C_32.02.a,r0130,c0040,}{C_32.02.a,r0040,c0030,} = {C_32.02.a,r0050,c0030,} + {C_32.02.a,r0060,c0030,} + {C_32.02.a,r0090,c0030,} + {C_32.02.a,r0100,c0030,} + {C_32.02.a,r0110,c0030,} + {C_32.02.a,r0120,c0030,} + {C_32.02.a,r0130,c0030,}{C_32.02.a,r0040,c0010,} = {C_32.02.a,r0050,c0010,} + {C_32.02.a,r0060,c0010,} + {C_32.02.a,r0090,c0010,} + {C_32.02.a,r0100,c0010,} + {C_32.02.a,r0110,c0010,} + {C_32.02.a,r0120,c0010,} + {C_32.02.a,r0130,c0010,}{C_32.02.a,r0040,c0020,} = {C_32.02.a,r0050,c0020,} + {C_32.02.a,r0060,c0020,} + {C_32.02.a,r0090,c0020,} + {C_32.02.a,r0100,c0020,} + {C_32.02.a,r0110,c0020,} + {C_32.02.a,r0120,c0020,} + {C_32.02.a,r0130,c0020,}

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.