The rule in plain words
Exposure weighted average LGD (%) cannot be more than 1.
EBA checks it for 18 rows, from to <0.15 (0010) to total (0180). That makes 18 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.
Exposure weighted average LGD (%): 0.00 to <0.15 <= 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 34.07 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
IRB approach – CCR exposures by exposure class and PD scale (CCR 7) (C 34.07)
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)
- 0180Total
Column
- 0040Exposure weighted average LGD (%)
A worked example
The first of its checks, with simple numbers.
To <0.15, exposure weighted average LGD (%) can then be at most 1.
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, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{C_34.07,r0010,c0040,} <= 1The next five:
{C_34.07,r0040,c0040,} <= 1{C_34.07,r0170,c0040,} <= 1{C_34.07,r0060,c0040,} <= 1{C_34.07,r0180,c0040,} <= 1{C_34.07,r0090,c0040,} <= 1And 12 more, the same formula for the other cells it covers.
Other rules on C 34.07
- Exposure weighted average PD cannot be more than 1 (v09841_m)Warning
- Density of risk weighted exposure amounts times exposure value must equal risk weighted exposure amounts (v09843_m)Warning
- Total must equal the sum of its eight parts (v09840_m)Warning
- To <100 (under ) must equal to <20 plus to <30 plus to <100 (under 10 to <100) (v09839_m)Warning
- To <10 (under ) must equal to <5 plus to <10 (under 2.5 to <10) (v09838_m)Warning
- To <2.5 (under ) must equal to <1.75 plus to <2.5 (under 0.75 to <2.5) (v09837_m)Warning
- To <0.15 (under ) must equal to <0.10 plus to <0.15 (under 0.00 to <0.10) (v09836_m)Warning
- None of the 126 values it checks in IRB approach: CCR exposures can be negative (v23328_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.