The rule in plain words
None of the values it checks in prudent valuation can be negative.
EBA checks it for two columns: fair-value assets and fair-value liabilities. And for two rows: category level pre-diversification assessed to have zero value under article 9(2), and category level pre-diversification assessed to have zero value under Article 10(2) and (3) of delegated Regulation (EU) 2016/101. That makes four 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.
Fair-value liabilities: Of which: assessed to have zero value under article 9(2) >= 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 32.02 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)
Rows
- 0070Of which: assessed to have zero value under article 9(2)
- 0080Of which: assessed to have zero value under Article 10(2) and (3) of Delegated Regulation (EU) 2016/101
Columns
- 0130Fair-value assets
- 0140Fair-value liabilities
A worked example
The first of its checks, with simple numbers.
Category level pre-diversification assessed to have zero value under article 9(2), fair-value liabilities must then be at least 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_32.02.b,r0070,c0140,} >= 0The next three:
{C_32.02.b,r0080,c0130,} >= 0{C_32.02.b,r0070,c0130,} >= 0{C_32.02.b,r0080,c0140,} >= 0Other 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, v6348_m)Warning
- 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
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.