The rule in plain words
From contractual cross product netting sets, exposure value must equal from contractual cross product netting sets, exposure value.
EBA writes it out three times. These words are for the first; the others are the same rule on other cells.
The template it checks
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Row
- 0130From Contractual Cross Product netting sets
Column
- 0200Exposure value
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_07.00.a,r0130,c0200,} = {C_07.00.a,r0130,c0200,}And 2 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- Total exposures must equal the sum of its five parts (v0310_m)Warning
- Fully adjusted exposure value (E*) must equal the sum of its three parts (v0307_m)Warning
- Total exposures must equal off balance sheet exposures subject to credit risk (v0311_m)Warning
- Net exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (v0306_m)Warning
- Total exposures must equal the sum of its 25 parts (v0312_m)Warning
- Total outflows must equal the sum of its four parts (v0305_m)Warning
- Securities financing transactions netting sets cannot be less than centrally cleared through a QCCP (v0314_m)Warning
- Derivatives & long settlement transactions netting sets cannot be less than centrally cleared through a QCCP (v0315_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.