The rule in plain words
Total outflows due to CRM with substitution effects on the exposure should equal the sum of outflows due to unfunded credit protection and other funded credit protection
In each of 16 rows (listed below) of Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): "(-) Total outflows" (column 0070) must equal the sum of "(-) Guarantees" (column 0040), "(-) Credit derivatives" (column 0050) and "(-) Other funded credit protection" (column 0060).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF08.01.01 as reported.
- 06This 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
- 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
- R0070Exposures assigned to obligor grades or pools: Total
- R0170Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights
- 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
- C0040(-) Guarantees
- C0050(-) Credit derivatives
- C0060(-) Other funded credit protection
- C0070(-) Total outflows
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: 0070} = sum({t: OF08.01.01.01, c: 0040; 0050; 0060})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;0070;0170;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)
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a total must equal the sum of its parts (boe_b0746)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a total must equal the sum of its parts (boe_b0746_1)Blocking
- Total Exposures in 'Total AIRB' sheet should equal the sum of the individual exposure classes in each AIRB sheets for the columns listed (boe_b0748)Blocking
- Values of data points in the 'Total FIRB and slotting' sheet should equal the sum of the (non-Total) FIRB sheets for the columns listed (boe_b0749)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a total must equal the sum of its parts (boe_b0750)Blocking
- Expected loss after PMAs should equal expected loss before PMAs plus adjustment due to PMAs (boe_b0743)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a total must equal the sum of its parts (boe_b0751)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): two values must match (boe_b0751_1)
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.