The rule in plain words
For substitution of the exposure due to CRM: the absolute value of total exposures cannot be less than the absolute value of exposures subject to SME-supporting factor plus the absolute value of exposures subject to infrastructure projects supporting factor.
All the values are in the (-) total outflows column (0090) of C 07.00.a.
EBA writes it out 26 times. These words are for the first; the others are the same rule on other cells.
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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (C 07.00.a)
Rows
- 0010TOTAL EXPOSURES
- 0030of which: exposures subject to SME-supporting factor
- 0035of which: exposures subject to infrastructure projects supporting factor
Column
- 0090(-) Total Outflows
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}.
abs({C_07.00.a,r0010,c0090,}) >= abs({C_07.00.a,r0030,c0090,}) + abs({C_07.00.a,r0035,c0090,})And 25 more, the same formula for the other cells it covers.
Other rules on C 07.00.a
- None of the 51 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23793_s)Warning
- With a credit assessment by a nominated ECAI cannot be negative (v23784_s)Warning
- Fully adjusted exposure value (E*) cannot be negative (v23783_s)Warning
- None of the 141 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23782_s)Warning
- Each of the 94 values it checks in credit and counterparty credit risks and free deliveries cannot be more than zero (v23781_s)Warning
- Total exposures, memorandum item: RWEA related to the impact of application of transitional provisions on CCF for unconditionally cancellable commitiments cannot be negative (v23767_s)Warning
- None of the 287 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23764_s)Warning
- None of the 82 values it checks in credit and counterparty credit risks and free deliveries can be negative (v23762_s)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.