The rule in plain words
off-balance sheet items shall not exceed total exposure value
In each of 10 rows (listed below) of Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01): "Exposure value" (column 0040) must not be less than "Of which: off-balance sheet items" (column 0050).
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 smaller than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF08.06.01 as reported.
- 05This 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
- C0040Exposure value
- C0050Of which: off-balance sheet items
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, c: 0040} >= {t: OF08.06.01.01, c: 0050}Where 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, 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)
- Off-balance sheet items shall not exceed the Exposure after CRM substitution effects pre-CFs (boe_b0351)
- Exposures arising from counterparty credit risk shall not exceed Total Exposure Value (boe_b0353)
- The referenced data entries should be greater than or equal to zero (boe_b0319)
- Value adjustments and Change in exposure due to FCCM shall be negative values (boe_b0311)
- 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.