The rule in plain words
None of the values it checks in prudent valuation: core approach: other can be negative.
EBA checks it for seven columns: market price uncertainty, close-out costs, model risk, concentrated positions, future admnistrative costs, early termination and operational risk. And for nine rows, from total core approach (0010) to portfolios under the fall-back approach (0180). That makes 63 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.
Future admnistrative costs: Foreign exchange >= 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 – other (C 32.02.c)
Rows
- 0010Total core approach
- 0020of which: trading book
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
- 0090Interest rates
- 0100Foreign exchange
- 0110Credit
- 0120Equities
- 0130Commodities
- 0180Portfolios under the fall-back approach
Columns
- 0170Market price uncertainty
- 0180Close-out costs
- 0190Model risk
- 0200Concentrated positions
- 0230Future admnistrative costs
- 0240Early termination
- 0250Operational risk
A worked example
The first of its checks, with simple numbers.
Foreign exchange, future admnistrative costs 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.c,r0100,c0230,} >= 0The next five:
{C_32.02.c,r0120,c0230,} >= 0{C_32.02.c,r0180,c0230,} >= 0{C_32.02.c,r0110,c0240,} >= 0{C_32.02.c,r0010,c0170,} >= 0{C_32.02.c,r0120,c0250,} >= 0And 57 more, the same formula for the other cells it covers.
Other rules on C 32.02.c
- None of the 40 values it checks in prudent valuation: core approach: other can be negative (v6574_s)Warning
- None of the six values it checks in prudent valuation: core approach: other can be negative (v6576_s)Warning
- None of the 22 values it checks in prudent valuation: core approach: other can be negative (v6573_s)Warning
- Total core approach, concentrated positions cannot be less than concentrated position AVA (all sheets added up) (v6362_m)Warning
- 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
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.