The rule in plain words
Total PD (Pre-input floor) is the sum of the stated PD ranges
In each of 5 columns (listed below) of Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01): "Total" (row 0180) must equal the sum of 8 rows (listed below).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 OF34.07.01 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
Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)
Rows
- R00100.00 to <0.15
- R00400.15 to <0.25
- R00500.25 to <0.50
- R00600.50 to <0.75
- R00700.75 to <2.50
- R01002.50 to <10.00
- R013010.00 to <100.00
- R0170100.00 (Default)
- R0180Total
Columns
- C0010Exposure value
- C0030Number of obligors
- C0050Exposure-weighted average maturity (years)
- C0060Risk-weighted exposure amount
- C0070Density of risk-weighted exposure amounts
Sheets
- S0001Total (AIRB approach)
- S0002Total (FIRB approach or 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: OF34.07.01.01, r: 0180} = sum({t: OF34.07.01.01, r: 0010; 0040; 0050; 0060; 0070; 0100; 0130; 0170})Where it applies, in the Bank's words (its scope):
scope({t: OF34.07.01.01, c:0010;0030;0050;0060;0070,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 Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)
- Sum of PD ranges pre-input floor (%) from 10.00 to 100.00 (boe_b0833)Blocking
- Sum of PD ranges pre-input floor (%) from 2.50 to 10.00 (boe_b0832)Blocking
- Number of obligors consistency check for TOTAL AIRB (boe_b0836)Blocking
- Sum of PD ranges pre-input floor (%) from 0.75 to 2.50 (boe_b0831)Blocking
- Number of obligors consistency check for TOTAL FIRB (boe_b0837)Blocking
- Sum of PD ranges pre-input floor (%) from 0.00 to 0.15 (boe_b0830)Blocking
- Number of obligors check for Corporates - Specialised Lending (AIRB approach) (boe_b0840)Blocking
- Number of obligors check for Corporates - Specialised Lending (FIRB approach or slotting approach) (boe_b0841)Blocking
Every PRA banking rule on OF34.07.01.01
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.