The rule in plain words
Total RWEA should be the same for the relevant exposure class across the templates
In Own funds requirements (CA2) (OF02.00.01.01): "Exposures subject to the slotting approach" in column "All approaches" (row 0411, column 0010) must equal "Specialised lending slotting approach: Total" in column "Risk-weighted exposure amount" (row 0080, column 0260) on sheet "Total (FIRB approach and slotting approach)" (sheet 0002) in Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 OF02.00.01 and OF08.01.01 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
Own funds requirements (CA2) (OF02.00.01.01)
Row
- R0411Exposures subject to the slotting approach
Column
- C0010All approaches
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Row
- R0080Specialised lending slotting approach: Total
Column
- C0260Risk-weighted exposure amount
Sheet
- S0002Total (FIRB approach and slotting approach)
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0045Specialised Lending under the slotting approach
Column
- C0110Risk-weighted exposure 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}.
{t: OF02.00.01.01, r: 0411, c: 0010} = {t: OF08.01.01.01, r: 0080, c: 0260, z: 0002}Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0630)Blocking
- Own funds requirements (CA2): specialised Lending (Project finance) should be consistent across templates (boe_b0632)Blocking
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0629)Blocking
- Own funds requirements (CA2): specialised Lending (Object finance) should be consistent across templates (boe_b0633)Blocking
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0628)Blocking
- Own funds requirements (CA2): specialised Lending (Commodities finance) should be consistent across templates (boe_b0634)Blocking
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0627)Blocking
- Own funds requirements (CA2): income-producing real estate (IPRE) should be consistent across templates (boe_b0635)Blocking
Every PRA banking rule on OF02.00.01.01
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.