The rule in plain words
Exposures assigned to obligor grades or pools: total, off balance sheet items, exposure value plus exposures assigned to obligor grades or pools: total, off balance sheet items, exposure after CRM substitution effects pre conversion factors must equal off balance sheet items, exposure after CRM substitution effects pre conversion factors plus off balance sheet items, exposure value.
The headline gives only the kind of check and the template, because the rule is too long to say in a headline. The plain words above say all of it.
The template it checks
Row
- 0070Exposures assigned to obligor grades or pools: Total
Columns
- 0100Of which: off balance sheet items
- 0120Of which: off balance sheet items
Columns
- 0100Of which: off balance sheet items
- 0120Of which: off balance sheet items
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_08.01.b,r0070,c0120,},{C_08.01.b,r0070,c0100,}) = sum({C_08.02,,c0100,},{C_08.02,,c0120,})Other rules on C 08.01.b
- Each of the four cells it checks in credit and counterparty credit risks and free deliveries must be left empty (v8812_m)Warning
- Total exposures cannot be less than exposures subject to infrastructure projects supporting factor (v09750_m)Warning
- Total exposures cannot be less than acquisition, development and construction (ADC) (v23039_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.