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1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

PD/LGD approach: total, PD assigned to the obligor grade or pool cannot be more than 1 (EBA rule v1617_m)

A warning in the own funds and capital requirements return (COREP own funds), on template C 10.01, credit risk: equity - IRB approaches to capital requirements - TOTAL.

Check your file against this ruleWhat to do if it fails

The rule in plain words

PD/LGD approach: total, PD assigned to the obligor grade or pool (%) cannot be more than 1.

How the Line4 Check report words itShow

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

PD assigned to the obligor grade or pool (%): PD/LGD approach: Total <= 1

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Look for a value outside the limit in these cells.
  3. 03If the value is a percentage, EBA expects it as a decimal: 12% is reported as 0.12.
  4. 04EBA compares the values exactly here: there is no rounding tolerance.
  5. 05It runs only when your filing indicators mark C 10.01 as reported.
  6. 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

Credit risk: equity - IRB approaches to capital requirements - TOTAL (C 10.01)

Row

  • 0020PD/LGD approach: Total

Column

  • 0010PD assigned to the obligor grade or pool (%)

A worked example

The first of its checks, with simple numbers.

What the rule then expects

PD/LGD approach: total, PD assigned to the obligor grade or pool (%) 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 writtenShow

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

{C_10.01,r0020,c0010,} <= 1

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.