The rule in plain words
Referenced data entries should be less than or equal to zero
In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): every value in the cells it covers must be zero or less.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03It runs only when your filing indicators mark OF08.01.01 as reported.
- 04This 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)
Rows
- R000140%
- R0010Total exposures
- R0017Of which: Exposures to revolving loan commitments
- R0020On-balance sheet items subject to credit risk
- R0030Off-balance sheet items subject to credit risk
- R003110%
- R003220%
- R003350%
- R0034100%
- R0035Own estimate
- R0070Exposures assigned to obligor grades or pools: Total
- R0170Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights
- R0175Purchased receivables
- R0180Dilution risk: total purchased receivables
- R0190Corporates: where a credit risk assessment by a nominated ECAI is not available
- R0200of which: investment grade
Columns
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0040(-) Guarantees
- C0050(-) Credit derivatives
- C0060(-) Other funded credit protection
- C0070(-) Total outflows
- C0102(-) Financial collateral: adjusted value (Cvam)
- C0103(-) Of which: volatility and maturity adjustments
- C0290(-) Value adjustments and provisions
Sheets
- S0001Total (AIRB approach)
- S0002Total (FIRB approach and slotting approach)
- S0006Institutions (FIRB approach)
- S0009Corporates - Specialised Lending (AIRB approach)
- S0010Corporates - Specialised Lending (FIRB approach or slotting 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 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: OF08.01.01.01} <= 0Where it applies, in the Bank's words (its scope):
scope({t: OF08.01.01.01, r:0001;0010;0017;0020;0030;0031;0032;0033;0034;0035;0070;0170;0175;0180;0190;0200,c:0035;0040;0050;0060;0070;0102;0103;0290,z:0001;0002;0006;0009;0010;0011;0012;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024, f: banking, fv: banking_reporting})Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
- 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
- Referenced data entries should be greater than or equal to zero (boe_b0314_1_6)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.