Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

The cell cannot be more than 1 (EBA rule v16315_m)

A warning in the benchmarking of market risk models return (SBP market risk), on template C 120.04, dRC, market values and gross JTD amounts by instrument/portfolio.

Check your file against this ruleWhat to do if it fails

The rule in plain words

The cell cannot be more than 1.

EBA checks it for three columns: recovery rate, attachment point (%) and detachment point (%). That makes three checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Attachment point (%): Attachment point (%) <= 1

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Work out both sides from your file, as the rule in plain words sets out, and compare them.
  3. 03EBA compares the values exactly here: there is no rounding tolerance.
  4. 04It runs only when your filing indicators mark C 120.04 as reported.
  5. 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

DRC, market values and gross JTD amounts by instrument/portfolio (C 120.04)

Columns

  • 0100Recovery Rate
  • 0120Attachment point (%)
  • 0130Detachment point (%)
Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_120.04,,c0120,} <= 1

The next two:

{C_120.04,,c0130,} <= 1{C_120.04,,c0100,} <= 1

Every SBP market risk rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.