The rule in plain words
Total exposures, risk weighted exposure amount pre supporting factors must equal these seven added up, all for total exposures:
- Risk weighted exposure amount pre supporting factors
- Risk weighted exposure amount pre supporting factors
- Risk weighted exposure amount pre supporting factors
- Risk weighted exposure amount pre supporting factors
- Risk weighted exposure amount pre supporting factors
- Risk weighted exposure amount pre supporting factors
- Risk weighted exposure amount pre supporting factors
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
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL (C 08.01.a)
Row
- 0010Total exposures
Column
- 0255Risk weighted exposure amount pre supporting factors
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_08.01.a,r0010,c0255,} = {C_08.01.a,r0010,c0255,} + {C_08.01.a,r0010,c0255,} + {C_08.01.a,r0010,c0255,} + {C_08.01.a,r0010,c0255,} + {C_08.01.a,r0010,c0255,} + {C_08.01.a,r0010,c0255,} + {C_08.01.a,r0010,c0255,}And 21 more, the same formula for the other cells it covers.
Other rules on C 08.01.a
- The absolute value of guarantees plus the absolute value of credit derivatives plus the absolute value of other funded credit protection cannot be more than original exposure pre conversion factors (v4756_m)Warning
- Exposure weighted average lgd cannot be more than 1 (v4820_m)Warning
- Exposure weighted average LGD for large financial sector entities and unregulated financial entities cannot be more than 1 (v4822_m)Warning
- Internal rating scale, PD assigned to the obligor grade or pool cannot be more than 1 (v6299_m)Warning
- Secured by immovable property: risk weighted exposure amount after supporting factor: SME must equal total exposures (v1673_m)Not run yet
- Risk weighted exposure amount after supporting factor: purchased receivables must equal total exposures (v1672_m)Not run yet
- Total outflows must equal the sum of its three parts (v1663_m)Warning
- Exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (v1662_m)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.