The rule in plain words
The stated data entries shall be greater than or equal to zero
In Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01): every value in the cells it covers must be zero or more.
What to do if your return fails it
- 01Open the tables 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 OF08.07.01 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 risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01)
Rows
- R0180Exposures to institutions
- R0190Specialised lending exposures
- R0200Exposures to purchased receivables within the corporate exposure class
- R0210Exposures to financial corporates, large corporates and other general corporates
- R0220Exposures to qualifying revolving retail exposures
- R0230Retail exposures secured by residential immovable property
- R0240Exposures to purchased receivables within the retail exposure class
- R0250Exposures to other retail
- R0260Total
Columns
- C0010Total exposure value subject to the internal ratings based approach as defined in articles 166A to 166D of the credit risk: internal ratings based approach (CRR) part
- C0020Total exposure value subject to the standardised approach and the internal ratings based approach
- C0060Total risk-weighted exposure amount for exposures subject to either the standardised approach or the internal ratings based approach
- C0070Connected counterparties
- C0080Where the standardised approach does not result in significantly lower capital requirements
- C0090Where the institution cannot reasonably model the exposures
- C0100Where the exposures in each roll-out class are immaterial
- C0110Where the institution cannot reasonably model the exposures
- C0120Where the exposures are immaterial in aggregate
- C0130Due to a roll-out plan
- C0140Other
- C0150Risk-weighted exposure amount for exposures subject to the IRB approach
Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2) (OF09.02.01.01)
Row
- R0020Institutions
Column
- C0105Exposure value
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: OF08.07.01.01} >= 0Where it applies, in the Bank's words (its scope):
scope({t: OF08.07.01.01, r:0180;0190;0200;0210;0220;0230;0240;0250;0260,c:0010;0020;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150, f: banking, fv: banking_reporting})Other rules on Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01)
- Sum of the stated percentages shall not exceed 100% (boe_b0778)Blocking
- Total risk-weighted exposure amount reported by roll-out class (boe_b0779)Blocking
- Total risk-weighted exposure amount on SA and IRB (boe_b1045)Blocking
- PPU materiality threshold in aggregate (boe_b1046)
- Permanent Partial Use (PPU) materiality of roll-out class threshold (boe_b1047)
- Ensure this data entry is less than 50% in accordance with the threshold in Art 150(1)(f) (boe_b1048)
Every PRA banking rule on OF08.07.01.01
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.