The rule in plain words
Exposures assigned to obligor grades or pools: total must equal (-) total outflows.
EBA writes it out 22 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: IRB approach to capital requirements - TOTAL (C 08.01.a)
Row
- 0070Exposures assigned to obligor grades or pools: Total
Column
- 0070(-) Total outflows
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}.
sum({C_08.01.a,r0070,c0070,}) = sum({C_08.02,,c0070,})And 21 more, the same formula for the other cells it covers.
Other rules on C 08.01.a
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v0341_m)Warning
- Total exposures must equal the sum of its five parts (v0338_m)Warning
- Funded credit protection: total exposures must equal the sum of its five parts (v0337_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than risk weighted exposure amount after supporting factor (v0336_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than exposure value (v0335_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than original exposure pre conversion factors (v0332_m)Warning
- Off balance sheet items cannot be more than exposure value (v0330_m)Warning
- Original exposure pre conversion factors: central governments or central banks cannot be more than total exposures (v0415_m)Not run yet
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.