The rule in plain words
(-) haircuts for trading assets at fair value cannot be more than zero.
EBA checks it for seven columns: fair-valued assets and liabilities, trading book (0020), exactly matching, prudential filters, other, fair-valued assets and liabilities included in art. 4(1) threshold, and trading book (0090). That makes seven checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
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.
Exactly matching: (-) Haircuts for trading assets at fair value <= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 32.01 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, fair-valued assets and liabilities (C 32.01)
Row
- 0140(-) Haircuts for trading assets at fair value
Columns
- 0010Fair-valued assets and liabilities
- 0020of which: trading book
- 0030Exactly matching
- 0050Prudential filters
- 0060Other
- 0080Fair-valued assets and liabilities included in art. 4(1) threshold
- 0090of which: trading book
A worked example
The first of its checks, with simple numbers.
(-) haircuts for trading assets at fair value, exactly matching can then be at most 0.
A file that reports 0 passes. One that reports 100 fails, by 100.
The numbers are illustrative.
Show the rule as writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_32.01,r0140,c0030,} <= 0The next five:
{C_32.01,r0140,c0010,} <= 0{C_32.01,r0140,c0090,} <= 0{C_32.01,r0140,c0080,} <= 0{C_32.01,r0140,c0050,} <= 0{C_32.01,r0140,c0020,} <= 0And 1 more, the same formula for the other cells it covers.
Other rules on C 32.01
- Hedge accounting cannot be negative (v6568_s)Warning
- Exactly matching cannot be negative (v6567_s)Warning
- Trading book cannot be less than fair-valued assets and liabilities included in art. 4(1) threshold (v6333_m)Warning
- Trading book cannot be more than fair-valued assets and liabilities included in art. 4(1) threshold (v6332_m)Warning
- Total fair-valued liabilities: fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over four columns (v6331_m)Warning
- Total fair-valued assets: fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over four columns (v6330_m)Warning
- Fair-valued assets and liabilities included in art. 4(1) threshold must equal a calculation over five columns (v6329_m)Warning
- Trading book cannot be less than fair-valued assets and liabilities (v6328_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.