The rule in plain words
The stated data entries shall be greater than or equal to zero
In Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01): every value in the cells it covers must be zero or more.
What to do if your return fails it
- 01Open the 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 OF34.07.01 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
Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)
Rows
- R00100.00 to <0.15
- R00150.00 to <0.05
- R00250.05 to <0.10
- R00300.10 to <0.15
- R00400.15 to <0.25
- R00500.25 to <0.50
- R00600.50 to <0.75
- R00700.75 to <2.50
- R00800.75 to <1.75
- R00901.75 to <2.5
- R01002.50 to <10.00
- R01102.50 to <5.00
- R01205.00 to <10.00
- R013010.00 to <100.00
- R014010.00 to <20.00
- R015020.00 to <30.00
- R016030.00 to <100.00
- R0170100.00 (Default)
- R0180Total
Columns
- C0010Exposure value
- C0030Number of obligors
- C0050Exposure-weighted average maturity (years)
- C0060Risk-weighted exposure amount
- C0070Density of risk-weighted exposure amounts
Sheets
- S0001Total (AIRB approach)
- S0002Total (FIRB approach or 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 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: OF34.07.01.01} >= 0Where it applies, in the Bank's words (its scope):
scope({t: OF34.07.01.01, r:0010;0015;0025;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180,c:0010;0030;0050;0060;0070,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 Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)
- Exposure-weighted average PD (POST-INPUT FLOOR) (%) shall not exceed 100% (boe_b0484)
- Risk-weighted exposure amount shall be equal to Exposure value multiplied by the density of risk-weighted exposure (boe_b0759)Blocking
- Sum of PD ranges pre-input floor (%) from 0.00 to 0.15 (boe_b0830)Blocking
- Sum of PD ranges pre-input floor (%) from 0.75 to 2.50 (boe_b0831)Blocking
- Sum of PD ranges pre-input floor (%) from 2.50 to 10.00 (boe_b0832)Blocking
- Sum of PD ranges pre-input floor (%) from 10.00 to 100.00 (boe_b0833)Blocking
- Total PD (Pre-input floor) is the sum of the stated PD ranges (boe_b0834)Blocking
- Number of obligors consistency check for TOTAL AIRB (boe_b0836)Blocking
Every PRA banking rule on OF34.07.01.01
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.