The rule in plain words
Less than 2.5 years, risk weighted exposure amount after supporting factors plus equal to or more than 2.5 years, risk weighted exposure amount after supporting factors must equal 0.5 times specialized lending slotting criteria: total, risk weighted exposure amount after supporting factor.
The template it checks
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL (C 08.01.a)
Row
- 0080Specialized lending slotting criteria: Total
Column
- 0260Risk weighted exposure amount after supporting factor
Rows
- 0110Less than 2.5 years
- 0120Equal to or more than 2.5 years
Column
- 0080Risk weighted exposure amount after supporting factors
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_08.06,r0110,c0080,}) + sum({C_08.06,r0120,c0080,}) = sum({C_08.01.a,r0080,c0260,}) / 2Other rules on C 08.01.a
- Total exposures cannot be more than exposures subject to infrastructure projects supporting factor (v09749_m)Warning
- Total exposures cannot be less than exposures subject to infrastructure projects supporting factor (v09748_m)Warning
- Exposures assigned to obligor grades or pools: total must equal original exposure conversion factors (v9999_m)Not run yet
- Each of the 68 cells it checks in credit and counterparty credit risks and free deliveries must be left empty (v8811_m)Warning
- Internal rating scale, PD assigned to the obligor grade or pool cannot be more than 1 (v6299_m)Warning
- Exposure weighted average LGD for large financial sector entities and unregulated financial entities cannot be more than 1 (v4822_m)Warning
- Exposure weighted average lgd cannot be more than 1 (v4820_m)Warning
- Total exposures, risk weighted exposure amount pre supporting factors must equal the sum of its seven parts (v4770_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.