The rule in plain words
Original Exposures pre-CFs for the relevant IRB exposure class shall exceed Defaulted Exposures
In each of 29 rows (listed below) of Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01): "Original exposure pre conversion factors" (column 0010) must not be less than "Defaulted exposures" (column 0020).
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 OF09.01.01 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: SA exposures (OF CR GB 1) (OF09.01.01.01)
Rows
- R0010Central governments or central banks
- R0020Regional governments or local authorities
- R0030Public sector entities
- R0040Multilateral Development Banks
- R0050International Organisations
- R0060Institutions
- R0070Corporates
- R0071of which: specialised lending - object finance exposures
- R0072of which: specialised lending - commodities finance exposures
- R0073of which: specialised lending - project finance exposures
- R0075Of which: SME
- R0080Retail
- R0085Of which: SME
- R0090Real estate exposures
- R0091of which: Regulatory residential real estate
- R0092of which: Regulatory commercial real estate
- R0093of which: Other real estate
- R0094of which: Land acquisition, development and construction
- R0095of which: SME
- R0100Exposures in default
- R0110Exposures associated with particularly high risk
- R0120Eligible covered bonds
- R0140Collective investments undertakings (CIU)
- R0141Look-through approach
- R0142Mandate-based approach
- R0143Fall-back approach
- R0150Subordinated debt, equity and other own funds instruments
- R0160Other items
- R0170Total exposures
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
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: OF09.01.01.01, c: 0010} >= {t: OF09.01.01.01, c: 0020}Where it applies, in the Bank's words (its scope):
scope({t: OF09.01.01.01, r:0010;0020;0030;0040;0050;0060;0070;0071;0072;0073;0075;0080;0085;0090;0091;0092;0093;0094;0095;0100;0110;0120;0140;0141;0142;0143;0150;0160;0170, f: banking, fv: banking_reporting})Other rules on Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
- Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1): values must agree (boe_b0263)
- Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1): a conditional check (boe_b0262)Blocking
- Risk-weighted exposure amount for total exposures should be consistent across templates (boe_b0260)
- Exposure value for total exposures should be consistent across templates (boe_b0259)
- Original exposure pre conversion factors for total exposures should be consistent across templates (boe_b0258)
- Risk-weighted exposure amount for other items (TOTAL) should be consistent across templates (boe_b0257)
- Exposure value for other items (TOTAL) should be consistent across templates (boe_b0256)
- Original exposure pre conversion factors for other items (TOTAL) should be consistent across templates (boe_b0255)
Every PRA banking rule on OF09.01.01.01
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.