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3 min readWarningBank of England banking taxonomy 4.1.1Updated 11 November 2026

Only conversion factors for exposures to revolving commitments should be modelled (OF08.01.01.01, Bank of England check boe_b0355)

A warning on the credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) template (OF08.01.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

only conversion factors for exposures to revolving commitments should be modelled

In each of 42 columns (listed below) of Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): the size of "Of which: Exposures to revolving loan commitments" (row 0017) (ignoring its sign) must not be less than the size of "Own estimate" (row 0035) (ignoring its sign).

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 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.
  3. 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark OF08.01.01 as reported.
  5. 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 and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)

Rows

  • R0017Of which: Exposures to revolving loan commitments
  • R0035Own estimate

Columns

  • C0020Original exposure pre-conversion factors
  • C0030Of which: large financial sector entities and unregulated financial sector entities
  • C0035(-) Adjustment to exposure value due to on-balance sheet netting
  • C0040(-) Guarantees
  • C0050(-) Credit derivatives
  • C0060(-) Other funded credit protection
  • C0070(-) Total outflows
  • C0080Total inflows (+)
  • C0090Exposure after CRM substitution effects pre-conversion factors
  • C0101Volatility adjustment to the exposure
  • C0102(-) Financial collateral: adjusted value (Cvam)
  • C0103(-) Of which: volatility and maturity adjustments
  • C0104Exposure after all CRM pre-conversion factors
  • C0110Exposure value
  • C0125Of which: defaulted
  • C0140Of which: large financial sector entities and unregulated financial sector entities
  • C0150Guarantees
  • C0160Credit derivatives
  • C0170Other funded credit protection
  • C0171AIRB: Cash on deposit
  • C0172Life insurance policies
  • C0173AIRB: Instruments held by a third party
  • C0180Eligible financial collateral
  • C0190Real estate
  • C0200Other physical collateral
  • C0210Receivables
  • C0250Exposure-weighted average maturity value (days)
  • C0251Risk-weighted exposure amount pre-adjustments
  • C0252Adjustment to risk-weighted exposure amount due to post-model adjustments
  • C0253Adjustment to risk-weighted exposure amount due to mortgage risk weight floor
  • C0254Unrecognised exposure adjustments
  • C0260Risk-weighted exposure amount
  • C0265Of which: defaulted
  • C0270Of which: large financial sector entities and unregulated financial sector entities
  • C0275Non-modelled approaches exposure value
  • C0276Non-modelled approaches risk-weighted exposure value
  • C0280Expected loss amount pre post- model adjustments
  • C0281Adjustment to expected loss amount due to post- model adjustments
  • C0282Expected loss amount after post- model adjustments
  • C0290(-) Value adjustments and provisions

And 2 more.

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 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 formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

abs({t: OF08.01.01.01, r: 0017}) >= abs({t: OF08.01.01.01, r: 0035})

Where it applies, in the Bank's words (its scope):

scope({t: OF08.01.01.01, c:0020;0030;0035;0040;0050;0060;0070;0080;0090;0101;0102;0103;0104;0110;0125;0140;0150;0160;0170;0171;0172;0173;0180;0190;0200;0210;0250;0251;0252;0253;0254;0260;0265;0270;0275;0276;0280;0281;0282;0290;0300;0310,z:0001;0002;0006;0009;0010;0011;0012;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024, f: banking, fv: banking_reporting})

Every PRA banking rule on OF08.01.01.01

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.