The rule in plain words
These three added up must equal 1:
- Percentage of total exposure value subject to permanent partial use of SA (%)
- Percentage of total exposure value subject to a roll-out plan (%)
- Percentage of total exposure value subject to IRB approach (%)
All the values are in the corporates row (0050) of C 08.07.
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
Row
- 0050Corporates
Columns
- 0030Percentage of total exposure value subject to permanent partial use of SA (%)
- 0040Percentage of total exposure value subject to a roll-out plan (%)
- 0050Percentage of total exposure value subject to IRB approach (%)
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_08.07,r0050,c0030,} + {C_08.07,r0050,c0040,} + {C_08.07,r0050,c0050,} = 1And 21 more, the same formula for the other cells it covers.
Other rules on C 08.07
- Percentage of total exposure value subject to IRB approach cannot be more than 1 (v09771_m)Warning
- Percentage of total exposure value subject to a roll-out plan cannot be more than 1 (v09770_m)Warning
- Percentage of total exposure value subject to permanent partial use of SA cannot be more than 1 (v09769_m)Warning
- None of the 110 values it checks in credit risk and free deliveries can be negative (v10300_s)Warning
- The absolute value of corporates cannot be less than the absolute value of corporates, SMEs (v23666_h)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.
