The rule in plain words
If CCF is at most 1, EAD cannot be more than exposure after CRM substitution effects pre conversion factors plus EAD times 0.01.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
If CCF <= 1, then EAD <= Exposure after CRM substitution effects pre conversion factors + EAD × 0.01
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02The check applies only when its first part holds in your file. When it does, the second part must hold too: fix the second part, or correct the first.
- 03EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C 102.00 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 (C 102.00)
Columns
- 0090Exposure after CRM substitution effects pre conversion factors
- 0100CCF
- 0110EAD
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
if ({C_102.00,,c0100,} <= 1) then ({C_102.00,,c0110,} <= {C_102.00,,c0090,} + {C_102.00,,c0110,} * 0.01) else TrueOther rules on C 102.00
- If PD is not 1, and original exposure pre conversion factors is more than zero, and EAD is more than zero, maturity must be more than zero (v6183_m)Warning
- A check on details on exposures in low default portfolios (v6186_m)Not run yet
- 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 (v6205_m)Warning
- PD cannot be more than 1 (v4914_m)Warning
- LGD cannot be more than 1.5 (v4909_m)Warning
- None of the 18 values it checks in details on exposures in low default portfolios can be negative (v4324_s)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.