The rule in plain words
Total category level pre-diversification cannot be less than model risk AVA (all sheets added up).
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_32.02.A: Total category level pre-diversification, Model risk >= C_32.03: Model risk AVA (all sheets added up)
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 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 and C 32.03 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 – pre and post diversification (C 32.02.a)
Row
- 0040Total category level pre-diversification
Column
- 0050Model risk
Prudent valuation, model risk AVA (C 32.03)
Column
- 0050Model risk AVA
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_32.02.a,r0040,c0050,} >= sum({C_32.03,,c0050,})Other rules on C 32.02.a
- Total AVA must equal market price uncertainty plus close-out costs plus model risk (v6358_m)Warning
- Total AVA must equal the sum of its seven parts (v6357_m)Warning
- Model risk calculated using the expert based approach cannot be less than model risk (v6356_m)Warning
- Model risk calculated using the expert based approach cannot be more than model risk (v6355_m)Warning
- Close-out costs calculated using the expert based approach cannot be less than close-out costs (v6354_m)Warning
- Close-out costs calculated using the expert based approach cannot be more than close-out costs (v6353_m)Warning
- Market price uncertainty calculated using the expert based approach cannot be less than market price uncertainty (v6352_m)Warning
- Market price uncertainty calculated using the expert based approach cannot be more than market price uncertainty (v6351_m)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.