The rule in plain words
TOTAL EXPOSURE Value should be consistent across templates
In Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01): "Secured by residential immovable property non-SMEs" in column "Exposure value" (row 0072, 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 sheet "Retail - Secured by residential immovable property non-SME (AIRB approach)" (sheet 0021) in Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01).
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
Sheet
- S0021Retail - Secured by residential immovable property non-SME (AIRB approach)
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0072Secured by residential immovable property non-SMEs
Column
- C0105Exposure value
A worked example
With simple numbers.
Secured by residential immovable property non-SMEs, Exposure value 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. 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: 0072, c: 0105, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF08.01.01.01, r: 0010, c: 0110, z: 0021}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_b1058)Blocking
- Total Risk-weighted exposure amount for the relevant exposure class should be consistent across templates (boe_b1060)Blocking
- Total Risk-weighted exposure amount for the relevant exposure class should be consistent across templates (boe_b1057)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1061)Blocking
- Total exposure Value for the referenced exposure class should be consistent across templates (boe_b1056)Blocking
- Total exposure Value should be consistent across templates (boe_b1062)Blocking
- Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2): two values must match (boe_b1055)Blocking
- Total Risk-weighted exposure amount for the relevant exposure class should be consistent across templates (boe_b1063)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.