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

The sum of outflows due to CRM with substitution effect on the exposure so not exceed the original exposure pre CRM (OF08.02.01.01, Bank of England check boe_b0685)

A blocking check on the credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2) template (OF08.02.01.01), in the own funds (PRA001) return.

Line4 Check does not run it on the own funds (PRA001) return. Held back after a different result on a test file. It gave a different result on at least one of Line4’s test files: a different outcome, or a different number of times tested. It is held back while we settle which is right, and stays out until it is proven.

Check your PRA001 returnWhat to do if it fails

Line4 Check does not run this check yet, so the button checks your return against the Bank's other checks for it. The validation run when you submit includes this one.

The rule in plain words

The sum of outflows due to CRM with substitution effect on the exposure so not exceed the original exposure pre CRM

In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2) (OF08.02.01.01): the size of the sum of "(-) Other funded credit protection" (column 0060), "(-) Credit derivatives" (column 0050) and "(-) Guarantees" (column 0040) (ignoring its sign) must not be more than "Original exposure pre-conversion factors" (column 0020).

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 bigger than it may be, one of them is wrong: check both before you change either.
  3. 03This 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: breakdown by obligor grades or pools (CR IRB 2) (OF08.02.01.01)

Columns

  • C0020Original exposure pre-conversion factors
  • C0040(-) Guarantees
  • C0050(-) Credit derivatives
  • C0060(-) Other funded credit protection

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

It is an active check of the Bank's for the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. Line4 Check does not run it yet, for the reason above. 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 formulaShow

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

abs({t: OF08.02.01.01, c: 0060} + {t: OF08.02.01.01, c: 0050} + {t: OF08.02.01.01, c: 0040}) <= {t: OF08.02.01.01, c: 0020}

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

scope({t: OF08.02.01.01, 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 OF08.02.01.01

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.