The rule in plain words
slotting is only available for specialised lending exposures
In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): "Specialised lending slotting approach: Total" (row 0080) in 18 columns (listed below) on 15 sheets must be left empty.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Remove the value from this cell where the rule applies. A 0 is a value too, so leave the cell out of the return altogether.
- 03It runs only when your filing indicators mark OF08.01.01 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
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Row
- R0080Specialised lending slotting approach: Total
Columns
- C0020Original exposure pre-conversion factors
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0040(-) Guarantees
- C0050(-) Credit derivatives
- C0060(-) Other funded credit protection
- C0070(-) Total outflows
- C0090Exposure after CRM substitution effects pre-conversion factors
- C0101Volatility adjustment to the exposure
- C0102(-) Financial collateral: adjusted value (Cvam)
- C0103(-) Of which: volatility and maturity adjustments
- C0104Exposure after all CRM pre-conversion factors
- C0110Exposure value
- C0260Risk-weighted exposure amount
- C0280Expected loss amount pre post- model adjustments
- C0281Adjustment to expected loss amount due to post- model adjustments
- C0282Expected loss amount after post- model adjustments
- C0290(-) Value adjustments and provisions
- C0300Number of obligors
Sheets
- S0001Total (AIRB approach)
- S0006Institutions (FIRB approach)
- S0009Corporates - Specialised Lending (AIRB approach)
- S0011Corporates - Other general corporates - non-SME (AIRB approach)
- S0012Corporates - Other general corporates - non-SME (FIRB approach)
- S0015Retail - Qualifying revolving (AIRB approach)
- S0016Retail - Other SME (AIRB approach)
- S0017Retail - Other non-SME (AIRB approach)
- S0018Retail - Secured by commercial immovable property SME (AIRB approach)
- S0019Retail - Secured by commercial immovable property non-SME (AIRB approach)
- S0020Retail - Secured by residential immovable property - SME (AIRB approach)
- S0021Retail - Secured by residential immovable property non-SME (AIRB approach)
- S0022Corporates - Financial corporates and large corporates (FIRB approach)
- S0023Corporates - Other general corporates - SME (AIRB approach)
- S0024Corporates - Other general corporates - SME (FIRB approach)
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}.
isNull({t: OF08.01.01.01, r: 0080, c: 0020; 0035; 0040; 0050; 0060; 0070; 0090; 0101; 0102; 0103; 0104; 0110; 0260; 0280; 0281; 0282; 0290; 0300, z: 0001; 0006; 0009; 0011; 0012; 0015; 0016; 0017; 0018; 0019; 0020; 0021; 0022; 0023; 0024})Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
- Referenced data entries should be less than or equal to zero (boe_b0306)Blocking
- Both rows refer to total off balance sheet items, and should therefore be equal (boe_b0307)
- Both rows refer to total off balance sheet items, and should therefore be equal (boe_b0308)Blocking
- Referenced data entries should be greater than or equal to zero (boe_b0314_1_1)Blocking
- Referenced data entries should be greater than or equal to zero (boe_b0314_1_2)Blocking
- Referenced data entries should be greater than or equal to zero (boe_b0314_1_3)Blocking
- Referenced data entries should be greater than or equal to zero (boe_b0314_1_4)Blocking
- Referenced data entries should be greater than or equal to zero (boe_b0314_1_5)Blocking
Every PRA banking rule on OF08.01.01.01
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.