The rule in plain words
Life insurance amount shall be less than or equal to overall other funded credit protection
In each of 17 rows (listed below) of Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): "Life insurance policies" (column 0172) must not be more than "Other funded credit protection" (column 0170).
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 bigger 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 OF08.01.01 as reported.
- 05This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
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
- 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
- C0170Other funded credit protection
- C0172Life insurance policies
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 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: OF08.01.01.01, c: 0172} <= {t: OF08.01.01.01, c: 0170}Where it applies, in the Bank's words (its scope):
scope({t: OF08.01.01.01, r: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;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024, f: banking, fv: banking_reporting})Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
- AIRB Cash on deposit amount shall be less than or equal to overall other funded credit protection (boe_b0375)Blocking
- AIRB instruments held by a third party shall be less than or equal to overall other funded credit protection (boe_b0377)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a value must not be more than another (boe_b0374)Blocking
- Exposures to revolving products shall be less than or equal to total exposures (boe_b0378_1)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a value must not be more than another (boe_b0378_2)Blocking
- Defaulted risk weighted exposure amount should be less than or equal to the total risk weighted exposure amount (boe_b0373)Blocking
- Unrated investment grade corporate exposure shall be less than or equal to total unrated corporate exposure (boe_b0379_1)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a value must not be more than another (boe_b0379_2)Blocking
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.