The rule in plain words
Total core approach, concentrated positions cannot be less than concentrated position 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.C: Total core approach, Concentrated positions >= C_32.04: Concentrated position 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 32.04 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 – other (C 32.02.c)
Row
- 0010Total core approach
Column
- 0070Concentrated positions
Prudent valuation, Concentrated positions AVA (C 32.04)
Column
- 0080Concentrated position AVA
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_32.02.c,r0010,c0070,} >= sum({C_32.04,,c0080,})Other rules on C 32.02.c
- Portfolios under articles 9 to 17, total category level post-diversification must equal the sum of its five parts (v6343_m)Warning
- Trading book cannot be more than total core approach (v6341_m)Warning
- Total core approach must equal the sum of its two parts (v6338_m)Warning
- Total core approach must equal portfolios under articles 9 to 17, total category level post-diversification (v6336_m)Warning
- None of the 22 values it checks in prudent valuation: core approach: other can be negative (v6573_s)Warning
- None of the 40 values it checks in prudent valuation: core approach: other can be negative (v6574_s)Warning
- None of the 63 values it checks in prudent valuation: core approach: other can be negative (v6575_s)Warning
- None of the six values it checks in prudent valuation: core approach: other can be negative (v6576_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.