The rule in plain words
Value adjustments and Change in exposure due to FCCM shall be negative values
In Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01): 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 OF08.06.01 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 risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01)
Rows
- R0005Preferential
- R0015Of which: substantially stronger
- R0025Of which: less than 2.5 years remaining until maturity
- R0035Other
- R0045Less than 2.5 years remaining until maturity
- R0055Other
- R0065Satisfactory
- R0075Weak
- R0085Default
- R0095Total
Columns
- C0031(-) Change in exposure due to FCCM
- C0100(-) Value adjustments and provisions
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: OF08.06.01.01} <= 0Where it applies, in the Bank's words (its scope):
scope({t: OF08.06.01.01, r:0005;0015;0025;0035;0045;0055;0065;0075;0085;0095,c:0031;0100, f: banking, fv: banking_reporting})Other rules on Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01)
- The referenced data entries should be greater than or equal to zero (boe_b0319)
- Off-balance sheet items shall not exceed the Exposure after CRM substitution effects pre-CFs (boe_b0351)
- Off-balance sheet items shall not exceed total exposure value (boe_b0352)
- Exposures arising from counterparty credit risk shall not exceed Total Exposure Value (boe_b0353)
- Total (specialised lending slotting approach) is the sum of the stated rows (boe_b0815)Blocking
- Original exposure pre conversion factors for specialised lending exposures under the slotting approach shall be consistent across templates (boe_b0816)Blocking
- Exposure after CRM substitution effects pre-conversion factors shall be consistent across templates for the relevant exposure class (boe_b0817)Blocking
- Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6): a total must equal the sum of its parts (boe_b0818)Blocking
Every PRA banking rule on OF08.06.01.01
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.