The rule in plain words
CCF cannot be more than 1.2.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
CCF: CCF <= 1.2
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 101.00 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
Details on exposures in low default portfolios by counterparty (C 101.00)
Column
- 0100CCF
A worked example
The first of its checks, with simple numbers.
What the rule then expects
CCF can then be at most 1.2.
1.2Passes
101.2Fails
A file that reports 1.2 passes. One that reports 101.2 fails, by 100.
The numbers are illustrative.
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
{C_101.00,,c0100,} <= 1.2Other rules on C 101.00
- PD cannot be more than 1 (v4913_m)Warning
- None of the twelve values it checks in details on exposures in low default portfolios can be negative (v4323_s)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.