The rule in plain words
TOTAL RETAIL exposures should be greater or equal to each individual retail exposure class
In each of 12 columns (listed below) of Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Retail" (row 0060) must not be less than "Secured by commercial immovable property non-SMEs" (row 0074).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 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 warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Rows
- R0060Retail
- R0074Secured by commercial immovable property non-SMEs
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
- C0110Risk-weighted exposure amount
- 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 warning.
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: 0060} >= {t: OF09.02.01.01, r: 0074}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;0110;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)
- 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_b0335)
- 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_b0336)
- 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_b0337)
- Total retail exposures should be greater or equal to each individual retail exposure class (boe_b0338)
- Total corporates should exceed or be equal to each individual Corporates exposure class (boe_b0339)
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.