The rule in plain words
None of the values it checks in details on exposures in high default portfolios can be negative.
EBA checks it for 26 columns, from number of obligors (0040) to RWA++ (0280). That makes 26 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: LGD >= 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 103.00 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 103.00)
Columns
- 0040Number of obligors
- 0060PD
- 0061PD without supervisory measures
- 0062PD without MoC and supervisory measures
- 0080Original exposure pre conversion factors
- 0090Exposure after CRM substitution effects pre conversion factors
- 0100CCF
- 0110EAD
- 0120Collateral value
- 0130LGD
- 0131LGD without supervisory measures
- 0132LGD without MoC and without supervisory measures
- 0133LGD without MoC, supervisory measures and downturn component
- 0140Maturity
- 0150Expected Loss Amount
- 0160Provisions defaulted exposures
- 0170RWA
- 0180RWA Standardised
- 0190Default rate latest year
- 0200Default rate past 5 years
- 0210Loss rate latest year
- 0220Loss rate past 5 years
- 0250RWA-
- 0260RWA+
- 0270RWA--
- 0280RWA++
A worked example
The first of its checks, with simple numbers.
LGD 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_103.00,,c0130,} >= 0The next five:
{C_103.00,,c0133,} >= 0{C_103.00,,c0100,} >= 0{C_103.00,,c0120,} >= 0{C_103.00,,c0132,} >= 0{C_103.00,,c0140,} >= 0And 20 more, the same formula for the other cells it covers.
Other rules on C 103.00
- LGD cannot be more than 1.5 (v4910_m)Warning
- PD cannot be more than 1 (v4926_m)Blocking
- If PD is more than zero, and EAD is more than zero, and LGD is more than zero, expected loss amount must be more than zero (v6206_m)Warning
- If default rate past 5 years is zero, default rate latest year must be less than 0.001 (v6207_m)Warning
- If loss rate past 5 years is zero, loss rate latest year must be less than 0.001 (v6208_m)Warning
- A check on details on exposures in high default portfolios (v8154_m)Not run yet
- If CCF is at most 1, EAD cannot be more than exposure after CRM substitution effects pre conversion factors plus EAD times 0.01 (v09345_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.