The rule in plain words
Total Specialised Lending Expected Loss Amount (Slotting approach) across all the types of specialised lending shall be consistent
In Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01): "Total" in column "Expected loss amount" (row 0095, column 0090) must equal the sum of "Specialised lending slotting approach: Total" in column "Expected loss amount pre post- model adjustments" (row 0080, column 0280) on 2 sheets in Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01) divided by 2.
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF08.01.01 and OF08.06.01 as reported.
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
- R0080Specialised lending slotting approach: Total
Column
- C0280Expected loss amount pre post- model adjustments
Sheets
- S0002Total (FIRB approach and slotting approach)
- S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01)
Row
- R0095Total
Column
- C0090Expected loss amount
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: OF08.06.01.01, r: 0095, c: 0090} = sum({t: OF08.01.01.01, r: 0080, c: 0280, z: 0002; 0010}) / 2Other rules on Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) (OF08.06.01.01)
- Risk-weighted exposure amount shall be consistent across templates for the relevant exposure class (Specialised Lending, slotting) (boe_b0822)Blocking
- Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6): a total must equal the sum of its parts (boe_b0821)Blocking
- Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6): a total must equal the sum of its parts (boe_b0820)Blocking
- Exposure value shall be consistent across templates for the relevant exposure class (boe_b0819)Blocking
- Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6): a total must equal the sum of its parts (boe_b0818)Blocking
- Exposure after CRM substitution effects pre-conversion factors shall be consistent across templates for the relevant exposure class (boe_b0817)Blocking
- Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6): values must agree (boe_b0829)Blocking
- Original exposure pre conversion factors for specialised lending exposures under the slotting approach shall be consistent across templates (boe_b0816)Blocking
Every PRA banking rule on OF08.06.01.01
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