The rule in plain words
For portfolios under articles 9 to 17 - total category level post-diversification: total AVA must equal these seven added up:
- Market price uncertainty
- Close-out costs
- Model risk
- Concentrated positions
- Future admnistrative costs
- Early termination
- Operational risk
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
C_32.02.A: Portfolios under articles 9 to 17 - total category level post-diversification, Total AVA = C_32.02.A: Portfolios under articles 9 to 17 - total category level post-diversification, Market price uncertainty + C_32.02.A: Portfolios under articles 9 to 17 - total category level post-diversification, Close-out costs + C_32.02.A: Portfolios under articles 9 to 17 - total category level post-diversification, Model risk + C_32.02.C: Portfolios under articles 9 to 17 - total category level post-diversification, Concentrated positions + C_32.02.C: Portfolios under articles 9 to 17 - total category level post-diversification, Future admnistrative costs + C_32.02.C: Portfolios under articles 9 to 17 - total category level post-diversification, Early termination + C_32.02.C: Portfolios under articles 9 to 17 - total category level post-diversification, Operational risk
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- 03If they differ, a part is missing, a value sits in the wrong column, or the total is out of date.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)
Row
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
Columns
- 0010Market price uncertainty
- 0030Close-out costs
- 0050Model risk
- 0110Total AVA
Prudent valuation: core approach – other (C 32.02.c)
Row
- 0030Portfolios under articles 9 to 17 - total category level post-diversification
Columns
- 0070Concentrated positions
- 0080Future admnistrative costs
- 0090Early termination
- 0100Operational risk
A worked example
The first of its checks, with simple numbers.
Portfolios under articles 9 to 17 - total category level post-diversification, total AVA must then be 3,060.
A file that reports 3,060 passes. One that reports 3,160 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_32.02.a,r0030,c0110,} = {C_32.02.a,r0030,c0010,} + {C_32.02.a,r0030,c0030,} + {C_32.02.a,r0030,c0050,} + {C_32.02.c,r0030,c0070,} + {C_32.02.c,r0030,c0080,} + {C_32.02.c,r0030,c0090,} + {C_32.02.c,r0030,c0100,}Other rules on C 32.02.a
- Total core approach, total AVA must equal the sum of its eight parts (v8640_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.