The rule in plain words
Total core approach, total AVA must equal these eight added up:
- Total core approach, market price uncertainty
- Total core approach, close-out costs
- Total core approach, model risk
- Total core approach, concentrated positions
- Total core approach, future admnistrative costs
- Total core approach, early termination
- Total core approach, operational risk
- Portfolios under the fall-back approach, total AVA
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_32.02.A: Total core approach, Total AVA = C_32.02.A: Total core approach, Market price uncertainty + C_32.02.A: Total core approach, Close-out costs + C_32.02.A: Total core approach, Model risk + C_32.02.C: Total core approach, Concentrated positions + C_32.02.C: Total core approach, Future admnistrative costs + C_32.02.C: Total core approach, Early termination + C_32.02.C: Total core approach, Operational risk + C_32.02.A: Portfolios under the fall-back approach, Total AVA
What to do if your filing fails it
- 01Open the templates below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C 32.02 as reported.
- 06This 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 – pre and post diversification (C 32.02.a)
Rows
- 0010Total core approach
- 0180Portfolios under the fall-back approach
Columns
- 0010Market price uncertainty
- 0030Close-out costs
- 0050Model risk
- 0110Total AVA
Prudent valuation: core approach – other (C 32.02.c)
Row
- 0010Total core approach
Columns
- 0070Concentrated positions
- 0080Future admnistrative costs
- 0090Early termination
- 0100Operational risk
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_32.02.a,r0010,c0110,} = {C_32.02.a,r0010,c0010,} + {C_32.02.a,r0010,c0030,} + {C_32.02.a,r0010,c0050,} + {C_32.02.c,r0010,c0070,} + {C_32.02.c,r0010,c0080,} + {C_32.02.c,r0010,c0090,} + {C_32.02.c,r0010,c0100,} + {C_32.02.a,r0180,c0110,}Other rules on C 32.02.a
- Portfolios under articles 9 to 17, total category level post-diversification, total AVA must equal the sum of its seven parts (v8641_m)Warning
- Total AVA cannot be negative (v7306_s)Warning
- Trading book, total AVA cannot be less than the sum of seven cells (v10234_m)Warning
- Portfolios under articles 9 to 17, total category level post-diversification, total AVA must equal the sum of its six parts (v10235_m)Warning
- Portfolios under the fall-back approach: if total AVA is reported, explanation description must be reported (v10697_m)Warning
- Each of the 21 values it checks in prudent valuation cannot be more than zero (v6571_s)Warning
- None of the 72 values it checks in prudent valuation can be negative (v6570_s)Warning
- Total category level pre-diversification cannot be less than model risk AVA (all sheets added up) (v6359_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.