The rule in plain words
The cell cannot be more than 1.
EBA checks it for two columns: LGD - IFRS 9 and LGD - IFRS 9 without overlays. That makes two 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.
LGD - IFRS 9: LGD - IFRS 9 <= 1
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 115.00 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
Details on exposures in high default portfolios (C 115.00)
Columns
- 0130LGD - IFRS 9
- 0133LGD - IFRS 9 without overlays
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_115.00,,c0130,} <= 1The next one:
{C_115.00,,c0133,} <= 1Other rules on C 115.00
- The cell cannot be more than 1 (column 0106, v16272_m)Warning
- ECL amount IFRS 9 Stage 1 cannot be more than exposure value, IFRS 9 Stage 1 (v16278_m)Warning
- ECL amount IFRS 9 Stage 2 cannot be more than exposure value, IFRS 9 Stage 2 (v16279_m)Warning
- ECL amount IFRS 9 Stage 3 cannot be more than exposure value, IFRS 9 Stage 3 (v16280_m)Warning
- None of the 23 values it checks in details on exposures in high default portfolios can be negative (v16313_s)Warning
Every SBP IFRS 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.