The rule in plain words
Exposure after CRM substitution effects pre conversion factors must equal original exposure pre conversion factors.
All the values are in the specialized lending slotting criteria: total row (0080) of C 08.01.a.
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
Columns
- 0020Original exposure pre conversion factors
- 0090Exposure after CRM substitution effects pre conversion factors
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_08.01.a,r0080,c0090,} = {C_08.01.a,r0080,c0020,}Other rules on C 08.01.a
- Exposures assigned to obligor grades or pools: total must equal original exposure conversion factors (v9999_m)Not run yet
- 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
- 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.