The rule in plain words
None of the values it checks in prudent valuation: core approach: other can be negative.
EBA checks it for two columns: unearned credit spreads, and investing and funding costs. And for three rows: total core approach, trading book and portfolios under articles 9 to 17 - total category level post-diversification. That makes six 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.
Unearned credit spreads: Total core approach >= 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
Columns
- 0210Unearned credit spreads
- 0220Investing and funding costs
A worked example
The first of its checks, with simple numbers.
Total core approach, unearned credit spreads 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,r0010,c0210,} >= 0The next five:
{C_32.02.c,r0010,c0220,} >= 0{C_32.02.c,r0020,c0210,} >= 0{C_32.02.c,r0020,c0220,} >= 0{C_32.02.c,r0030,c0210,} >= 0{C_32.02.c,r0030,c0220,} >= 0Other rules on C 32.02.c
- None of the 63 values it checks in prudent valuation: core approach: other can be negative (v6575_s)Warning
- None of the 40 values it checks in prudent valuation: core approach: other can be negative (v6574_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.