The rule in plain words
Exposure value should exceed Risk-weighted exposure amount
In each of 18 rows (listed below) of Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Exposure value" (column 0105) must not be less than "Risk-weighted exposure amount" (column 0110).
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.
- 03It runs only when your filing indicators mark OF09.02.01 as reported.
- 04This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
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)
- R0045Specialised Lending 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
- C0105Exposure value
- 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 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: OF09.02.01.01, c: 0105} >= {t: OF09.02.01.01, c: 0110}Where it applies, in the Bank's words (its scope):
scope({t: OF09.02.01.01, r:0020;0030;0042;0045;0048;0049;0050;0055;0060;0071;0072;0073;0074;0100;0105;0120;0130;0150, 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 is the sum of Retail, Institutions and Corporates Exposures across Countries (boe_b0786)Blocking
- Total Corporates exposures shall add up to the individual Corporates breakdowns (boe_b0785)Blocking
- Total Retail exposures should add up to the individual Retail exposures breakdowns (boe_b0783)Blocking
- 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)
- Financial Corporates Exposure value across countries = total exposures to Financial Corporates reported in sheet 0022 (boe_b1051)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1052)Blocking
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.