The rule in plain words
Exposure Value for Corporates (Other General non-SME) across countries = TOTAL Exposures to Corporates Other General non-SME across approaches (FIRB and AIRB)
In Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Other general corporates non-SMEs" in column "Exposure value" (row 0055, column 0105) (where country where the exposure is generated is "All countries") must equal "Total exposures" in column "Exposure value" (row 0010, column 0110) on 2 sheets 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
- C0110Exposure value
Sheets
- S0011Corporates - Other general corporates - non-SME (AIRB approach)
- S0012Corporates - Other general corporates - non-SME (FIRB approach)
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0055Other general corporates non-SMEs
Column
- C0105Exposure value
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: 0055, c: 0105, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF08.01.01.01, r: 0010, c: 0110, z: 0011; 0012}Other rules on Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
- 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_b1055)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1052)Blocking
- Total exposure Value for the referenced exposure class should be consistent across templates (boe_b1056)Blocking
- Financial Corporates Exposure value across countries = total exposures to Financial Corporates reported in sheet 0022 (boe_b1051)Blocking
- Total Risk-weighted exposure amount for the relevant exposure class should be consistent across templates (boe_b1057)Blocking
- Total corporates should exceed or be equal to each individual Corporates exposure class (boe_b1050)
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1058)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.