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

PD floor for these exposures is 0.05% (OF08.01.01.01, Bank of England check boe_b0356)

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

PD floor for these exposures is 0.05%

In each of 18 rows (listed below) of Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): if "Exposure value" (column 0110) is more than 0, every value in "Internal rating scale - PD assigned to the obligor grade or pool (%)" (column 0010) must not be less than 0.0005.

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
  3. 03It runs only when your filing indicators mark OF08.01.01 as reported.
  4. 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

Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)

Rows

  • R000140%
  • R0010Total exposures
  • R0017Of which: Exposures to revolving loan commitments
  • R0020On-balance sheet items subject to credit risk
  • R0030Off-balance sheet items subject to credit risk
  • R003110%
  • R003220%
  • R003350%
  • R0034100%
  • R0035Own estimate
  • R0040Securities Financing Transactions netting sets
  • R0050Derivatives & Long Settlement Transactions netting sets
  • R0060From Contractual Cross Product netting sets
  • R0070Exposures assigned to obligor grades or pools: Total
  • R0175Purchased receivables
  • R0180Dilution risk: total purchased receivables
  • R0190Corporates: where a credit risk assessment by a nominated ECAI is not available
  • R0200of which: investment grade

Columns

  • C0010Internal rating scale - PD assigned to the obligor grade or pool (%)
  • C0110Exposure value

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)
  • 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}.

if {t: OF08.01.01.01, c: 0110} > 0 then {t: OF08.01.01.01, c: 0010} >= 0.0005 else true()

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

scope({t: OF08.01.01.01, r:0001;0010;0017;0020;0030;0031;0032;0033;0034;0035;0040;0050;0060;0070;0175;0180;0190;0200,z:0001;0002;0006;0009;0010;0011;0012;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.