The rule in plain words
Exposures assigned to obligor grades or pools: total must equal original exposure conversion factors.
All the values are in the original exposure pre conversion factors column (0020).
The template it checks
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements - TOTAL (C 08.01.a)
Row
- 0070Exposures assigned to obligor grades or pools: Total
Column
- 0020Original exposure pre conversion factors
Column
- 0020Original exposure conversion factors
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EBA's formula. Cells are written as {template, row, column, sheet}.
sum({C_08.01.a,r0070,c0020,}) = sum({C_08.02,,c0020,})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
- 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
- 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
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.