The rule in plain words
If PD is not 1, and EAD is more than zero, maturity must be more than zero.
How the Line4 Check report words itShowHide
Word for word as the report shows it when the rule fails.
If PD != 1 and EAD > 0, then 0 < Maturity
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 101.00 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 by counterparty (C 101.00)
Columns
- 0060PD
- 0110EAD
- 0160Maturity
Show the rule as writtenShowHide
EBA's formula. Cells are written as {template, row, column, sheet}.
if (({C_101.00,,c0060,} != 1 and {C_101.00,,c0110,} > 0)) then (0 < {C_101.00,,c0160,}) else TrueOther rules on C 101.00
- A check on details on exposures in low default portfolios (v8153_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
- A check on details on exposures in low default portfolios (v6184_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 (v6176_m)Warning
- Hyp LGD senior unsecured with negative pledge cannot be more than hyp LGD senior unsecured without negative pledge (v6175_m)Warning
- A check on details on exposures in low default portfolios (v6170_m)Not run yet
- CCF cannot be more than 1.2 (v4918_m)Warning
- PD cannot be more than 1 (v4913_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.