The rule in plain words
Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities 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 (%) for large financial sector entities and unregulated financial entities: Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities <= 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
- 0240Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities
A worked example
The first of its checks, with simple numbers.
Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities can then be at most 1.
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,,c0240,} <= 1Other rules on C 08.02
- Exposure weighted average lgd cannot be more than 1 (v4821_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.