The rule in plain words
Category level pre-diversification assessed to have zero value under Article 10(2) and (3) of delegated Regulation (EU) 2016/101 cannot be more than portfolios under articles 9 to 17 - total category level post-diversification.
All the values are in the fair-value liabilities column (0140).
The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_32.02.B: Of which: assessed to have zero value under Article 10(2) and (3) of Delegated Regulation (EU) 2016/101, Fair-value liabilities <= C_32.02.C: Portfolios under articles 9 to 17 - total category level post-diversification, Fair-value liabilities
What to do if your filing fails it
- 01Open the templates 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 - AVAs assessed to have zero value (C 32.02.b)
Row
- 0080Of which: assessed to have zero value under Article 10(2) and (3) of Delegated Regulation (EU) 2016/101
Column
- 0140Fair-value liabilities
Prudent valuation: core approach – other (C 32.02.c)
Row
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
Column
- 0140Fair-value liabilities
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 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. Cells are written as {template, row, column, sheet}.
{C_32.02.b,r0080,c0140,} <= {C_32.02.c,r0030,c0140,}Other rules on C 32.02.b
- An upper-limit check across prudent valuation and prudent valuation: core approach: other (C 32.02.c, row 0080, v6347_m)Warning
- Category level pre-diversification assessed to have zero value under article 9(2) cannot be more than portfolios under articles 9 to 17, total category level post-diversification (row 0070, v6346_m)Warning
- Category level pre-diversification assessed to have zero value under article 9(2) cannot be more than portfolios under articles 9 to 17, total category level post-diversification (row 0070, v6345_m)Warning
- None of the four values it checks in prudent valuation can be negative (v6572_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.