The rule in plain words
Total, positions treated with the CR IRB approach, all CCR exposures must equal these three added up:
- Securities financing transactions netting sets, risk weighted exposure amount after supporting factor
- Derivatives & long settlement transactions netting sets, risk weighted exposure amount after supporting factor
- From contractual cross product netting sets, 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)
Rows
- 0040Securities Financing Transactions netting sets
- 0050Derivatives & Long Settlement Transactions netting sets
- 0060From Contractual Cross Product netting sets
Column
- 0260Risk weighted exposure amount after supporting factor
CCR exposures by approach (CCR 2) (C 34.02.b)
Row
- 0110Total
Column
- 0220Positions treated with the CR IRB approach
Sheet
- 0001All CCR exposures
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_08.01.a,r0040,c0260,},{C_08.01.a,r0050,c0260,},{C_08.01.a,r0060,c0260,}) = {C_34.02.b,r0110,c0220,s0001}Other 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.