The rule in plain words
Original exposure pre-conversion factors for Financial Corporates (Country-TOTAL) = Total ORIGINAL EXPOSURES PRE-CONVERSION FACTORS reported in the Financial Corporates sheet 0022
In Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Financial corporates and large corporates" in column "Original exposure pre-conversion factors" (row 0048, column 0010) (where country where the exposure is generated is "All countries") must equal "Total exposures" in column "Original exposure pre-conversion factors" (row 0010, column 0020) on sheet "Corporates - Financial corporates and large corporates (FIRB approach)" (sheet 0022) in Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
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 OF08.01.01 and 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
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Row
- R0010Total exposures
Column
- C0020Original exposure pre-conversion factors
Sheet
- S0022Corporates - Financial corporates and large corporates (FIRB approach)
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0048Financial corporates and large corporates
Column
- C0010Original exposure pre-conversion factors
A worked example
With simple numbers.
Financial corporates and large corporates, Original exposure pre-conversion factors must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. It is an active check of the Bank's for the step-in risk (PRA115) return too, where Line4 Check does not run it yet, for the reason above. The Bank of England applies it to own funds (PRA001) and step-in risk (PRA115) 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: 0048, c: 0010, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF08.01.01.01, r: 0010, c: 0020, z: 0022}The same code in the step-in risk (PRA115) return: another check
The Bank of England uses boe_b1034 for a different check in the step-in risk (PRA115) return. There it is a blocking check on identification of step-in entities (SI1) (SI01.00.01.01) and detailed reporting of material step-in entities (SI2) (SI02.00.01.01).
If the entity is material, then "Entity type" (c0030) must be consistent across templates for each corresponding "Entity code" (c0010) and "Material entity group code" (c0080), if applicable.
In Identification of step-in entities (SI1) (SI01.00.01.01): "Entity Type" (column 0030) must equal "Entity Type" (column 0030) in Detailed reporting of material step-in entities (SI2) (SI02.00.01.01).
Identification of step-in entities (SI1) (SI01.00.01.01)
Column
- C0030Entity Type
Detailed reporting of material step-in entities (SI2) (SI02.00.01.01)
Column
- C0030Entity Type
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: SI01.00.01.01, c: 0030} = {t: SI02.00.01.01, c: 0030}Other rules on Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
- 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
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1053)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1054)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1055)Blocking
- Total exposure Value for the referenced exposure class should be consistent across templates (boe_b1056)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.