The rule in plain words
For expected loss amount: less than 2.5 years plus equal to or more than 2.5 years must equal 0.5 times specialized lending slotting criteria: total.
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
- 0280Expected loss amount
Rows
- 0110Less than 2.5 years
- 0120Equal to or more than 2.5 years
Column
- 0090Expected loss amount
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_08.06,r0110,c0090,}) + sum({C_08.06,r0120,c0090,}) = sum({C_08.01.a,r0080,c0280,}) / 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.