The rule in plain words
If loss rate past 5 years is zero, loss rate latest year must be less than 0.001.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
If Loss rate past 5 years = 0, then Loss rate latest year < 0.001
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 compares the values exactly here: there is no rounding tolerance.
- 04It runs only when your filing indicators mark C 103.00 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 high default portfolios (C 103.00)
Columns
- 0210Loss rate latest year
- 0220Loss rate past 5 years
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
if ({C_103.00,,c0220,} = 0) then ({C_103.00,,c0210,} < 0.001) else TrueOther rules on C 103.00
- If default rate past 5 years is zero, default rate latest year must be less than 0.001 (v6207_m)Warning
- 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 (v6206_m)Warning
- PD cannot be more than 1 (v4926_m)Blocking
- LGD cannot be more than 1.5 (v4910_m)Warning
- None of the 26 values it checks in details on exposures in high default portfolios can be negative (v4325_s)Warning
- A check on details on exposures in high default portfolios (v8154_m)Not run yet
- If CCF is at most 1, EAD cannot be more than exposure after CRM substitution effects pre conversion factors plus EAD times 0.01 (v09345_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.