The rule in plain words
Referenced data entries should be greater than or equal to zero
In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) - Of which arising from counterparty credit risk and off balance sheet (OF08.01.01.02): every value in the cells it covers must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 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) - Of which arising from counterparty credit risk and off balance sheet (OF08.01.01.02)
Rows
- R0010Total exposures
- R0070Exposures assigned to obligor grades or pools: Total
- R0080Specialised lending slotting approach: 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
Column
- C0130Of which: arising from counterparty credit risk
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: OF08.01.01.02} >= 0Where it applies, in the Bank's words (its scope):
scope({t: OF08.01.01.02, r:0010;0070;0080;0170;0175;0180;0190;0200,c:0130,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) - Of which arising from counterparty credit risk and off balance sheet (OF08.01.01.02)
- Referenced data entries should be greater than or equal to zero (boe_b0315_2)Blocking
- Off balance sheet exposure after CRM should be equal to or smaller than the overall exposure after CRM (boe_b0367_2)Blocking
- Off balance sheet exposure after CRM should be equal to or smaller than the overall exposure after CRM (boe_b0367_3)Blocking
- Off balance sheet exposure after CRM should be equal to or smaller than the overall exposure after CRM (boe_b0367_4)Blocking
- Off balance sheet exposure value should be equal to or smaller than the overall exposure value (boe_b0368_2)Blocking
- Off balance sheet exposure value should be equal to or smaller than the overall exposure value (boe_b0368_3)Blocking
- Off balance sheet exposure value should be equal to or smaller than the overall exposure value (boe_b0368_4)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_1)Blocking
Every PRA banking rule on OF08.01.01.02
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.