The rule in plain words
Total exposures must equal these five added up:
- Originator: total exposures
- Investor: total exposures
- Sponsor: total exposures
- N-th to default credit derivatives
- Other CTP positions
All the values are in the short column (0060) of C 20.00.
EBA writes it out 38 times. These words are for the first; the others are the same rule on other cells.
The template it checks
Market risk: standardised approach for specific risk in the correlation trading portfolio (C 20.00)
Rows
- 0010TOTAL EXPOSURES
- 0020ORIGINATOR: TOTAL EXPOSURES
- 0050INVESTOR: TOTAL EXPOSURES
- 0080SPONSOR: TOTAL EXPOSURES
- 0110N-th to default credit derivatives
- 0120Other CTP positions
Column
- 0060Short
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_20.00,r0010,c0060,} = {C_20.00,r0020,c0060,} + {C_20.00,r0050,c0060,} + {C_20.00,r0080,c0060,} + {C_20.00,r0110,c0060,} + {C_20.00,r0120,c0060,}And 37 more, the same formula for the other cells it covers.
Other rules on C 20.00
- Originator: total exposures must equal securitisations plus other CTP positions (v0612_m)Warning
- Investor: total exposures must equal securitisations plus other CTP positions (v0614_m)Warning
- Sponsor: total exposures must equal securitisations plus other CTP positions (v0616_m)Warning
- Weighted net short positions: before cap cannot be less than after cap (v0605_m)Warning
- Weighted net long positions: before cap cannot be less than after cap (v0604_m)Warning
- Short must equal the sum of its eleven parts (v0602_m)Warning
- Long must equal the sum of its eleven parts (v0600_m)Warning
- Each of the 24 values it checks in market risk: standardised approach for specific risk in the correlation trading portfolio cannot be more than zero (v2057_s)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.