The rule in plain words
Exposure weighted average LGD should not exceed 100%
In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2) (OF08.02.01.01): every value in the cells it covers must not be more than 1, and every value in the cells it covers must be zero or more.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark OF08.02.01 as reported.
The cells it reads
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2) (OF08.02.01.01)
Column
- C0230Exposure-weighted average lgd (%)
Sheets
- S0001Total (AIRB approach)
- S0002Total (FIRB approach and slotting approach)
- S0006Institutions (FIRB approach)
- S0009Corporates - Specialised Lending (AIRB approach)
- S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
- S0011Corporates - Other general corporates - non-SME (AIRB approach)
- S0012Corporates - Other general corporates - non-SME (FIRB approach)
- S0015Retail - Qualifying revolving (AIRB approach)
- S0016Retail - Other SME (AIRB approach)
- S0017Retail - Other non-SME (AIRB approach)
- S0018Retail - Secured by commercial immovable property SME (AIRB approach)
- S0019Retail - Secured by commercial immovable property non-SME (AIRB approach)
- S0020Retail - Secured by residential immovable property - SME (AIRB approach)
- S0021Retail - Secured by residential immovable property non-SME (AIRB approach)
- S0022Corporates - Financial corporates and large corporates (FIRB approach)
- S0023Corporates - Other general corporates - SME (AIRB approach)
- S0024Corporates - Other general corporates - SME (FIRB approach)
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: OF08.02.01.01} <= 1) and ({t: OF08.02.01.01} >= 0)Where it applies, in the Bank's words (its scope):
scope({t: OF08.02.01.01, c:0230,z:0001;0002;0006;0009;0010;0011;0012;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024, f: banking, fv: banking_reporting})Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2) (OF08.02.01.01)
- Expected loss pre PMAs should not exceed original exposure pre CRM (boe_b0395)BlockingNot run
- Exposure weighted average LGD should not exceed 100% (boe_b0397)
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2): a value must not be more than another (boe_b0394)BlockingNot run
- PD should not exceed 100% (boe_b0398)
- Defaulted risk weighted exposure amount should be less than or equal to the overall risk weighted exposure amount (boe_b0393)BlockingNot run
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2): a value must not be more than another (boe_b0389)BlockingNot run
- Exposure value arising from counterparty credit risk should be equal to or smaller than the overall exposure value (boe_b0388)BlockingNot run
- Default exposure value should be less than or equal to the overall exposure value (boe_b0387)BlockingNot run
Every PRA banking rule on OF08.02.01.01
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.