The rule in plain words
Average historical annual default rate (%) cannot be more than 1.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Average historical annual default rate (%): Average historical annual default rate (%) <= 1
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value outside the limit in these cells.
- 03If the value is a percentage, EBA expects it as a decimal: 12% is reported as 0.12.
- 04EBA compares the values exactly here: there is no rounding tolerance.
- 05It runs only when your filing indicators mark C 08.05.1 as reported.
- 06This 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
Column
- 0050Average historical annual default rate (%)
A worked example
The first of its checks, with simple numbers.
What the rule then expects
Average historical annual default rate (%) can then be at most 1.
1Passes
1.1Fails
A file that reports 1 passes. One that reports 1.1 fails, by 0.1.
The numbers are illustrative.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_08.05.1.a,,c0050,} <= 1Other rules on C 08.05.1.a
- Observed average default rate cannot be more than 1 (v09767_m)Warning
- Arithmetic average PD cannot be more than 1 (v09766_m)Warning
- Number of obligors at the end of the previous year cannot be less than defaulted during the year (v09781_m)Warning
- None of the five values it checks in credit risk and free deliveries can be negative (v10483_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.