The rule in plain words
Probability of Default (PD) Percentages should not exceed 100%
In Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): every value in the cells it covers must be zero or more, and every value in the cells it covers must not be more than 1.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark OF09.02.01 as reported.
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
- 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 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} >= 0 and {t: OF09.02.01.01} <= 1Where 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,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 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
- Total Risk-weighted exposure amount for the relevant exposure class should be consistent across templates (boe_b1057)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.