The rule in plain words
Number of obligors at the end of the previous year cannot be less than defaulted during the year.
EBA checks it for 17 rows, from to <0.15 (0010) to 100 (default) (0170). That makes 17 checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
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.
0.00 to <0.15, Number of obligors at the end of the previous year >= 0.00 to <0.15, Of which: defaulted during the year
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Compare the values in your file. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 08.05 as reported.
- 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: back-testing of PD (CR IRB 5) (C 08.05)
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
- 0170100 (Default)
Columns
- 0020Number of obligors at the end of the previous year
- 0030Of which: defaulted during the year
A worked example
The first of its checks, with simple numbers.
Defaulted during the year can then be at most 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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}.
{C_08.05,r0010,c0020,} >= {C_08.05,r0010,c0030,}The next five:
{C_08.05,r0130,c0020,} >= {C_08.05,r0130,c0030,}{C_08.05,r0040,c0020,} >= {C_08.05,r0040,c0030,}{C_08.05,r0110,c0020,} >= {C_08.05,r0110,c0030,}{C_08.05,r0100,c0020,} >= {C_08.05,r0100,c0030,}{C_08.05,r0060,c0020,} >= {C_08.05,r0060,c0030,}And 11 more, the same formula for the other cells it covers.
Other rules on C 08.05
- Average historical annual default rate cannot be more than 1 (v09765_m)Warning
- Observed average default rate cannot be more than 1 (v09764_m)Warning
- Arithmetic average PD cannot be more than 1 (v09763_m)Warning
- To <100 (under ) must equal to <20 plus to <30 plus to <100 (under 10 to <100) (v09760_m)Warning
- To <10 (under ) must equal to <5 plus to <10 (under 2.5 to <10) (v09759_m)Warning
- To <2.5 (under ) must equal to <1.75 plus to <2.5 (under 0.75 to <2.5) (v09758_m)Warning
- To <0.15 (under ) must equal to <0.10 plus to <0.15 (under 0.00 to <0.15) (v09757_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.