The rule in plain words
Total Retail exposures should add up to the individual Retail exposures breakdowns
In each of 12 columns (listed below) of Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Retail" (row 0060) must equal the sum of 8 rows (listed below).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF09.02.01 as reported.
- 06This 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
- 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
Columns
- C0010Original exposure pre-conversion factors
- C0030Of which: defaulted
- C0040Observed new defaults for the period
- C0050General credit risk adjustments
- C0055Specific credit risk adjustments
- C0060Write-off
- C0070Credit risk adjustments/write-offs for observed new defaults
- C0105Exposure value
- C0107Of which: defaulted
- C0110Risk-weighted exposure amount
- C0120Of which: defaulted
- C0130Expected loss 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: OF09.02.01.01, r: 0060} = sum({t: OF09.02.01.01, r: 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:0010;0030;0040;0050;0055;0060;0070;0105;0107;0110;0120;0130, 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 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
- Total exposures (%) shall exceed the smallest value (%) reported against the individual exposure classes in column 0080 and c0091 (boe_b0682)Blocking
- Total exposures (%) shall not exceed the largest value (%) reported against the individual exposure classes in column 0080 and c0090 (boe_b0668)Blocking
- Exposure value should exceed Risk-weighted exposure amount (boe_b0908)
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1034)BlockingNot run on every return
- Probability of Default (PD) Percentages should not exceed 100% (boe_b1049)
- Total corporates should exceed or be equal to each individual Corporates exposure class (boe_b1050)
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.