The rule in plain words
None of the values it checks in details on exposures in low default portfolios can be negative.
EBA checks it for twelve columns, from rating (0040) to RWA (0170). That makes twelve 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.
Hyp LGD senior unsecured with negative pledge: Hyp LGD senior unsecured with negative pledge >= 0
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value with the wrong sign in these cells, such as an amount entered as a negative number.
- 03EBA compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 101.00 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 low default portfolios by counterparty (C 101.00)
Columns
- 0040Rating
- 0060PD
- 0080Original exposure pre conversion factors
- 0090Exposure after CRM substitution effects pre conversion factors
- 0100CCF
- 0110EAD
- 0120Collateral value
- 0130Hyp LGD senior unsecured without negative pledge
- 0140Hyp LGD senior unsecured with negative pledge
- 0150LGD
- 0160Maturity
- 0170RWA
A worked example
The first of its checks, with simple numbers.
Hyp LGD senior unsecured with negative pledge must then be at least 0.
A file that reports 0 passes. One that reports -100 fails, by 100.
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_101.00,,c0140,} >= 0The next five:
{C_101.00,,c0160,} >= 0{C_101.00,,c0060,} >= 0{C_101.00,,c0040,} >= 0{C_101.00,,c0130,} >= 0{C_101.00,,c0150,} >= 0And 6 more, the same formula for the other cells it covers.
Other rules on C 101.00
- PD cannot be more than 1 (v4913_m)Warning
- CCF cannot be more than 1.2 (v4918_m)Warning
- A check on details on exposures in low default portfolios (v6170_m)Not run yet
- Hyp LGD senior unsecured with negative pledge cannot be more than hyp LGD senior unsecured without negative pledge (v6175_m)Warning
- If CCF is at most 1, EAD cannot be more than exposure after CRM substitution effects pre conversion factors plus EAD times 0.01 (v6176_m)Warning
- A check on details on exposures in low default portfolios (v6184_m)Not run yet
- Each of the three values it checks in details on exposures in low default portfolios cannot be more than 1.5 (v6196_m)Warning
- If PD is not 1, and EAD is more than zero, maturity must be more than zero (v8152_m)Warning
Every SBP credit risk rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.