Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

If CCF is at most 1, EAD cannot be more than exposure after CRM substitution effects pre conversion factors plus EAD times 0.01 (C 103.00, EBA rule v09345_m)

A warning in the benchmarking of credit risk models return (SBP credit risk), on template C 103.00, details on exposures in high default portfolios.

Check your file against this ruleWhat to do if it fails

The rule in plain words

If CCF is at most 1, EAD cannot be more than exposure after CRM substitution effects pre conversion factors plus EAD times 0.01.

How the Line4 Check report words itShow

Word for word as the report shows it when the rule fails.

If CCF <= 1, then EAD <= Exposure after CRM substitution effects pre conversion factors + EAD × 0.01

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02The check applies only when its first part holds in your file. When it does, the second part must hold too: fix the second part, or correct the first.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  4. 04It runs only when your filing indicators mark C 103.00 as reported.
  5. 05This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.

The cells it reads

Details on exposures in high default portfolios (C 103.00)

Columns

  • 0090Exposure after CRM substitution effects pre conversion factors
  • 0100CCF
  • 0110EAD
Show the rule as writtenShow

EBA's formula. Cells are written as {template, row, column, sheet}.

if ({C_103.00,,c0100,} <= 1) then ({C_103.00,,c0110,} <= {C_103.00,,c0090,} + {C_103.00,,c0110,} * 0.01) else True

Every SBP credit risk rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.