The rule in plain words
This calculation is the sum of Total exposures subject to FIRB and slotting approach, 'of which off-balance sheet items'
In each of "Of which: off balance sheet items" (column 0100), "Of which: off balance sheet items" (column 0120) and "Of which: arising from counterparty credit risk" (column 0130) of Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) - Of which arising from counterparty credit risk and off balance sheet (OF08.01.01.02): "Total exposures" (row 0010) on sheet "Total (FIRB approach and slotting approach)" (sheet 0002) must equal the sum of "Total exposures" (row 0010) on sheet "Institutions (FIRB approach)" (sheet 0006), "Total exposures" (row 0010) on sheet "Corporates - Specialised Lending (FIRB approach or slotting approach)" (sheet 0010), "Total exposures" (row 0010) on sheet "Corporates - Financial corporates and large corporates (FIRB approach)" (sheet 0022), "Total exposures" (row 0010) on sheet "Corporates - Other general corporates - SME (FIRB approach)" (sheet 0024) and "Total exposures" (row 0010) on sheet "Corporates - Other general corporates - non-SME (FIRB approach)" (sheet 0012).
What to do if your return fails it
- 01Open the tables 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 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)
Row
- R0030Off-balance sheet items subject to credit risk
Columns
- C0090Exposure after CRM substitution effects pre-conversion factors
- C0110Exposure value
Sheets
- S0002Total (FIRB approach and slotting approach)
- S0006Institutions (FIRB approach)
- S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
- S0012Corporates - Other general corporates - non-SME (FIRB approach)
- S0022Corporates - Financial corporates and large corporates (FIRB approach)
- S0024Corporates - Other general corporates - SME (FIRB approach)
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) - Of which arising from counterparty credit risk and off balance sheet (OF08.01.01.02)
Row
- R0010Total exposures
Column
- C0130Of which: arising from counterparty credit risk
Sheets
- S0002Total (FIRB approach and slotting approach)
- S0006Institutions (FIRB approach)
- S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
- S0012Corporates - Other general corporates - non-SME (FIRB approach)
- S0022Corporates - Financial corporates and large corporates (FIRB approach)
- S0024Corporates - Other general corporates - SME (FIRB approach)
A worked example
With simple numbers.
Off-balance sheet items subject to credit risk must then be 2,900.
A file that reports 2,900 passes. One that reports 3,000 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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 formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF08.01.01.02, r: 0010, z: 0002} = {t: OF08.01.01.02, r: 0010, z: 0006} + {t: OF08.01.01.02, r: 0010, z: 0010} + {t: OF08.01.01.02, r: 0010, z: 0022} + {t: OF08.01.01.02, r: 0010, z: 0024} + {t: OF08.01.01.02, r: 0010, z: 0012}Where it applies, in the Bank's words (its scope):
scope({t: OF08.01.01.02, c:0100;0120;0130, f: banking, fv: banking_reporting})Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) - Of which arising from counterparty credit risk and off balance sheet (OF08.01.01.02)
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_1)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_2)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_3)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_4)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_5)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_6)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_7)Blocking
- Exposure value arising from counterparty credit risk should be equal to or smaller than the total exposure value (boe_b0369_8)Blocking
Every PRA banking rule on OF08.01.01.02
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.