The rule in plain words
Exposure weighted average lgd (%) cannot be more than 1.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
Exposure weighted average lgd (%): Exposure weighted average lgd (%) <= 1
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Look for a value outside the limit in these cells.
- 03If the value is a percentage, EBA expects it as a decimal: 12% is reported as 0.12.
- 04EBA compares the values exactly here: there is no rounding tolerance.
- 05It runs only when your filing indicators mark C 08.02 as reported.
- 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
Column
- 0230Exposure weighted average lgd (%)
A worked example
The first of its checks, with simple numbers.
What the rule then expects
Exposure weighted average lgd (%) 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 writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_08.02,,c0230,} <= 1Other rules on C 08.02
- Exposure weighted average LGD for large financial sector entities and unregulated financial entities cannot be more than 1 (v4823_m)Warning
- The absolute value of guarantees plus the absolute value of credit derivatives cannot be more than original exposure conversion factors (v4771_m)Warning
- Internal rating scale, PD assigned to the obligor grade or pool cannot be more than 1 (v6300_m)Warning
- Total outflows must equal the sum of its three parts (v1665_m)Warning
- Risk weighted exposure amount after supporting factor must equal the sum of its three parts (v0348_m)Warning
- Exposure after CRM substitution effects pre conversion factors must equal the sum of its three parts (v0347_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than risk weighted exposure amount after supporting factor (v0346_m)Warning
- Large financial sector entities and unregulated financial entities cannot be more than exposure value (v0345_m)Warning
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.