The rule in plain words
Total Risk-weighted exposure amount for Corporates across Countries = TOTAL RISK-WEIGHTED EXPOSURE AMOUNT AFTER ADJUSTMENTS across Corporates sheets
In Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Corporates" in column "Risk-weighted exposure amount" (row 0030, column 0110) (where country where the exposure is generated is "All countries") must equal the sum of "Total exposures" in column "Risk-weighted exposure amount" (row 0010, column 0260) on 7 sheets in Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF08.01.01 and OF09.02.01 as reported.
- 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Rows
- R0295Corporates - Financial corporates and large corporates
- R0296Corporates - Other general corporates SME
- R0297Corporates - Other general corporates non-SME
- R0350Corporates - Specialised lending exposures
- R0355Corporates - Other general corporates SME
- R0356Corporates - Other general corporates non-SME
Column
- C0010All approaches
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Row
- R0010Total exposures
Column
- C0260Risk-weighted exposure amount
Sheet
- S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0030Corporates
Column
- C0110Risk-weighted exposure amount
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds (PRA001) returns, as a blocking check.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF09.02.01.01, r: 0030, c: 0110, filter: [eba_dim:CEG] = [eba_GA:x1]} = sum({t: OF08.01.01.01, r: 0010, c: 0260, z: 0009; 0010; 0011; 0012; 0022; 0023; 0024})Other rules on Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
- Corporates Exposure Value (Country TOTAL) = TOTAL exposures value across Corporates sheets (all approaches) (boe_b0283)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): a value must not be more than another (boe_b0285)Blocking
- Original exposure pre-conversion factors for Corporates (Country-Total) = total Original exposures to Corporates (pre-conversion factors) (boe_b0282)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): a value must not be more than another (boe_b0286)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): a value must not be more than another (boe_b0287)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): a total must equal the sum of its parts (boe_b0288)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): a total must equal the sum of its parts (boe_b0289)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b0278)Blocking
Every PRA banking rule on OF09.02.01.01
Checks like this one, run at the point of submission, are the first step to real-time supervision. Line4 builds SupTech software for financial regulators that runs checks like these as each return arrives.