The rule in plain words
Total RWEA should be the same for the relevant exposure class across the templates
In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): "Corporates - Specialised lending exposures" in column "All approaches" (row 0290, column 0010) in Own funds requirements (CA2) (OF02.00.01.01) must equal "Total exposures" in column "Risk-weighted exposure amount" (row 0010, column 0260) on sheet "Corporates - Specialised Lending (FIRB approach or slotting approach)" (sheet 0010) minus "Specialised lending slotting approach: Total" in column "Risk-weighted exposure amount" (row 0080, column 0260) on sheet "Corporates - Specialised Lending (FIRB approach or slotting approach)" (sheet 0010).
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 OF02.00.01 and OF08.01.01 as reported.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Row
- R0290Corporates - Specialised lending exposures
Column
- C0010All approaches
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Rows
- R0010Total exposures
- R0080Specialised lending slotting approach: Total
Column
- C0260Risk-weighted exposure amount
Sheet
- S0010Corporates - Specialised Lending (FIRB approach or slotting 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: OF02.00.01.01, r: 0290, c: 0010} = {t: OF08.01.01.01, r: 0010, c: 0260, z: 0010} - {t: OF08.01.01.01, r: 0080, c: 0260, z: 0010}Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
- The sum of outflows due to CRM with substitution effect on the exposure should not exceed the original exposure pre CRM (boe_b0683)Blocking
- Value adjustments and provisions should not exceed original exposure pre CRM (boe_b0684)Blocking
- Exposure value post conversion factors and post CRM should be consistent across templates for the relevant exposure classes (boe_b0736)Blocking
- Number of obligors should be reported consistently across templates (boe_b0737)Blocking
- Risk-weighted exposure amount should be reported consistently across templates for the relevant exposure classes (boe_b0738)Blocking
- Expected loss amount should be consistent across templates for the relevant exposure classes (boe_b0739)Blocking
- Value adjustments and provisions should be consistent across templates for the relevant exposure class (boe_b0740)Blocking
- Total off balance sheet items should equal breakdown of off balance sheet items by conversion buckets (boe_b0741)Blocking
Every PRA banking rule on OF08.01.01.01
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.