The rule in plain words
Original exposure pre-conversion factors TOTAL RETAIL Other non-SME exposures across countries = Total ORIGINAL EXPOSURES PRE-CONVERSION FACTORS for RETAIL Other non-SME (AIRB approach) reported in OF08.01
In Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Other non-SMEs" in column "Original exposure pre-conversion factors" (row 0130, column 0010) (where country where the exposure is generated is "All countries") must equal "Total exposures" in column "Original exposure pre-conversion factors" (row 0010, column 0020) on sheet "Retail - Other non-SME (AIRB approach)" (sheet 0017) 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.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF08.01.01 and OF09.02.01 as reported.
- 05This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Row
- R0010Total exposures
Column
- C0020Original exposure pre-conversion factors
Sheet
- S0017Retail - Other non-SME (AIRB approach)
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0130Other non-SMEs
Column
- C0010Original exposure pre-conversion factors
A worked example
With simple numbers.
Other non-SMEs, Original exposure pre-conversion factors must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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: 0130, c: 0010, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF08.01.01.01, r: 0010, c: 0020, z: 0017}Other rules on Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b0299)Blocking
- Total retail Other non-SME Exposure value across countries = Total retail Other non-SME exposures (AIRB approach) reported in of 08.01 (boe_b0301)Blocking
- Total retail Other SME Exposure value across countries = Total retail Other SME exposures (AIRB approach) reported in of 08.01 (boe_b0298)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b0302)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b0297)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b0296)Blocking
- Total Risk-weighted exposure amount for the relevant exposure class should be consistent across templates (boe_b0304)Blocking
- Exposure Value retail qualifying revolving exposures across countries = total qualifying revolving Exposures (AIRB approach) (boe_b0295)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.