The rule in plain words
total exposures across sheets (exposure classes) less total exposures across countries shall equal to the total exposures across countries
In each of 11 columns (listed below) of Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): if the sum of "Total exposures" (row 0150) minus "Total exposures" (row 0150) (where country where the exposure is generated is "All countries") is not zero, the sum of "Total exposures" (row 0150) minus "Total exposures" (row 0150) (where country where the exposure is generated is "All countries") must equal "Total exposures" (row 0150) (where country where the exposure is generated is "All countries").
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 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 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
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0150Total exposures
Columns
- C0010Original exposure pre-conversion factors
- C0030Of which: defaulted
- C0040Observed new defaults for the period
- C0050General credit risk adjustments
- C0055Specific credit risk adjustments
- C0060Write-off
- C0070Credit risk adjustments/write-offs for observed new defaults
- C0105Exposure value
- C0107Of which: defaulted
- C0120Of which: defaulted
- C0130Expected loss 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}.
if sum({t: OF09.02.01.01, r: 0150}) - {t: OF09.02.01.01, r: 0150, filter: [eba_dim:CEG] = [eba_GA:x1]} != 0 then sum({t: OF09.02.01.01, r: 0150}) - {t: OF09.02.01.01, r: 0150, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF09.02.01.01, r: 0150, filter: [eba_dim:CEG] = [eba_GA:x1]} else true()Where it applies, in the Bank's words (its scope):
scope({t: OF09.02.01.01, c:0010;0030;0040;0050;0055;0060;0070;0105;0107;0120;0130, f: banking, fv: banking_reporting})Other rules on Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
- All the stated data entries shall be greater than or equal to zero (boe_b0321)Blocking
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0331)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0332)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0333)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0334)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0335)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0336)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0337)
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.