The rule in plain words
Sum of the stated percentages shall not exceed 100%
In each of 9 rows (listed below) of Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01): the sum of "Percentage of total exposure value subject to permanent partial use of the standardised approach (%)" (column 0030), "Percentage of total exposure value subject to a roll-out plan (%)" (column 0040) and "Percentage of total exposure value subject to the Internal Ratings Based approach (%)" (column 0050) must equal 1.
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 OF08.07.01 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 risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01)
Rows
- R0180Exposures to institutions
- R0190Specialised lending exposures
- R0200Exposures to purchased receivables within the corporate exposure class
- R0210Exposures to financial corporates, large corporates and other general corporates
- R0220Exposures to qualifying revolving retail exposures
- R0230Retail exposures secured by residential immovable property
- R0240Exposures to purchased receivables within the retail exposure class
- R0250Exposures to other retail
- R0260Total
Columns
- C0030Percentage of total exposure value subject to permanent partial use of the standardised approach (%)
- C0040Percentage of total exposure value subject to a roll-out plan (%)
- C0050Percentage of total exposure value subject to the Internal Ratings Based 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}.
sum({t: OF08.07.01.01, c: 0030; 0040; 0050}) = 1Where it applies, in the Bank's words (its scope):
scope({t: OF08.07.01.01, r:0180;0190;0200;0210;0220;0230;0240;0250;0260, f: banking, fv: banking_reporting})Other rules on Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01)
- Total risk-weighted exposure amount reported by roll-out class (boe_b0779)Blocking
- Total risk-weighted exposure amount on SA and IRB (boe_b1045)Blocking
- PPU materiality threshold in aggregate (boe_b1046)
- Permanent Partial Use (PPU) materiality of roll-out class threshold (boe_b1047)
- Ensure this data entry is less than 50% in accordance with the threshold in Art 150(1)(f) (boe_b1048)
- The stated data entries shall be greater than or equal to zero (boe_b0320)Blocking
Every PRA banking rule on OF08.07.01.01
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.