Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Model risk calculated using the expert based approach cannot be less than model risk (EBA rule v6356_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

Model risk calculated using the expert based approach cannot be less than model risk.

EBA checks it for three rows: (-) Diversification benefits, (-) Diversification benefit calculated using method 1 and (-) Diversification benefit calculated using method 2. That makes three 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.

(-) Diversification benefits, Of which: calculated using the expert based approach >= (-) Diversification benefits, Model risk

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
  3. 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark C 32.02 as reported.
  5. 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 – pre and post diversification (C 32.02.a)

Rows

  • 0140(-) Diversification benefits
  • 0150(-) Diversification benefit calculated using method 1
  • 0160(-) Diversification benefit calculated using method 2

Columns

  • 0050Model risk
  • 0060Of which: calculated using the expert based approach

A worked example

The first of its checks, with simple numbers.

Illustrative values
Model risk calculated using the expert based approach1,200
What the rule then expects

Model risk can then be at most 1,200.

1,200Passes
1,300Fails

A file that reports 1,200 passes. One that reports 1,300 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,r0140,c0060,} >= {C_32.02.a,r0140,c0050,}

The next two:

{C_32.02.a,r0150,c0060,} >= {C_32.02.a,r0150,c0050,}{C_32.02.a,r0160,c0060,} >= {C_32.02.a,r0160,c0050,}

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.