Line4

1 min readWarningEBA reporting framework 4.2Updated 10 November 2026

Each of the three values it checks in details on exposures in low default portfolios cannot be more than 1.5 (C 101.00, EBA rule v6196_m)

A warning in the benchmarking of credit risk models return (SBP credit risk), on template C 101.00, details on exposures in low default portfolios by counterparty.

Check your file against this ruleWhat to do if it fails

The rule in plain words

Each of the values it checks in details on exposures in low default portfolios cannot be more than 1.5.

EBA checks it for three columns: hyp LGD senior unsecured without negative pledge, hyp LGD senior unsecured with negative pledge and LGD. That makes three checks. A failure names the one that failed.

How the Line4 Check report words itShow

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.

Hyp LGD senior unsecured without negative pledge: Hyp LGD senior unsecured without negative pledge <= 1.5

What to do if your filing fails it

  1. 01Open the template below and find the cells the rule reads.
  2. 02Look for a value outside the limit in these cells.
  3. 03If the value is a percentage, EBA expects it as a decimal: 12% is reported as 0.12.
  4. 04EBA compares the values exactly here: there is no rounding tolerance.
  5. 05It runs only when your filing indicators mark C 101.00 as reported.
  6. 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)

Columns

  • 0130Hyp LGD senior unsecured without negative pledge
  • 0140Hyp LGD senior unsecured with negative pledge
  • 0150LGD

A worked example

The first of its checks, with simple numbers.

What the rule then expects

Hyp LGD senior unsecured without negative pledge can then be at most 1.5.

1.5Passes
101.5Fails

A file that reports 1.5 passes. One that reports 101.5 fails, by 100.

The numbers are illustrative.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{C_101.00,,c0130,} <= 1.5

The next two:

{C_101.00,,c0140,} <= 1.5{C_101.00,,c0150,} <= 1.5

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.