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1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Exposure weighted average LGD cannot be more than 1 (C 08.03, EBA rule v09762_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 08.03, credit risk and free deliveries: IRB approach to capital requirements: breakdown by PD ranges (CR IRB 3).

Check your file against this ruleWhat to do if it fails

The rule in plain words

Exposure weighted average LGD (%) cannot be more than 1.

EBA checks it for 16 rows, from to <0.15 (0010) to to <100 (0160). That makes 16 checks. A failure names the one that failed.

How the Line4 Check report words itShow

The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.

Exposure weighted average LGD (%): 30 to <100 <= 1

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  4. 04It runs only when your filing indicators mark C 08.03 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

Credit risk and free deliveries: IRB approach to capital requirements: breakdown by PD ranges (CR IRB 3) (C 08.03)

Rows

  • 00100.00 to <0.15
  • 00200.00 to <0.10
  • 00300.10 to <0.15
  • 00400.15 to <0.25
  • 00500.25 to <0.50
  • 00600.50 to <0.75
  • 00700.75 to <2.5
  • 00800.75 to <1.75
  • 00901.75 to <2.5
  • 01002.5 to <10
  • 01102.5 to <5
  • 01205 to <10
  • 013010 to <100
  • 014010 to <20
  • 015020 to <30
  • 016030 to <100

Column

  • 0070Exposure weighted average LGD (%)
Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_08.03,r0160,c0070,} <= 1

The next five:

{C_08.03,r0100,c0070,} <= 1{C_08.03,r0030,c0070,} <= 1{C_08.03,r0130,c0070,} <= 1{C_08.03,r0020,c0070,} <= 1{C_08.03,r0060,c0070,} <= 1

And 10 more, the same formula for the other cells it covers.

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.