The rule in plain words
Total exposures (%) shall exceed the smallest value (%) reported against the individual exposure classes in column 0080 and c0091
In each of "PD assigned to the obligor grade or pool (%)" (column 0080), "Exposure weighted average LGD (%)" (column 0090) and "Of which: defaulted" (column 0100) of Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Total exposures" (row 0150) must not be less than the smallest of 16 rows (listed below).
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 blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Rows
- R0020Institutions
- R0030Corporates
- R0042Specialised lending (excluding under the slotting approach)
- R0048Financial corporates and large corporates
- R0049Purchased receivables
- R0050Other general corporates SMEs
- R0055Other general corporates non-SMEs
- R0060Retail
- R0071Secured by residential immovable property SMEs
- R0072Secured by residential immovable property non-SMEs
- R0073Secured by commercial immovable property SMEs
- R0074Secured by commercial immovable property non-SMEs
- R0100Qualifying revolving retail exposures
- R0105Purchased receivables
- R0120Other SMEs
- R0130Other non-SMEs
- R0150Total exposures
Columns
- C0080PD assigned to the obligor grade or pool (%)
- C0090Exposure weighted average LGD (%)
- C0100Of which: defaulted
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: OF09.02.01.01, r: 0150} >= min({t: OF09.02.01.01, r: 0020; 0030; 0042; 0048; 0049; 0050; 0055; 0060; 0071; 0072; 0073; 0074; 0100; 0105; 0120; 0130})Where it applies, in the Bank's words (its scope):
scope({t: OF09.02.01.01, c:0080;0090;0100, 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 exposures (%) shall not exceed the largest value (%) reported against the individual exposure classes in column 0080 and c0090 (boe_b0668)Blocking
- Total Retail exposures should add up to the individual Retail exposures breakdowns (boe_b0783)Blocking
- Total Corporates exposures shall add up to the individual Corporates breakdowns (boe_b0785)Blocking
- Total exposures is the sum of Retail, Institutions and Corporates Exposures across Countries (boe_b0786)Blocking
- Exposure value should exceed Risk-weighted exposure amount (boe_b0908)
- If there are new credit risk adjustments/write-offs for the period, then the observed new defaults must exceed zero (boe_b0358)Blocking
- Total exposure value should exceed Defaulted exposure value (boe_b0349)
- Original exposure pre-conversion factors should exceed the defaulted portion (boe_b0348)
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.