The rule in plain words
Number of obligors check for Institutions class (FIRB approach)
In Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01): "Total" in column "Number of obligors" (row 0180, column 0030) on sheet "Institutions (FIRB approach)" (sheet 0006) must equal the sum of "Securities Financing Transactions netting sets" (row 0040), "Derivatives & Long Settlement Transactions netting sets" (row 0050) and "From Contractual Cross Product netting sets" (row 0060) in column "Number of obligors" (column 0300) on sheet "Institutions (FIRB approach)" (sheet 0006) in Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 and 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
Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
Rows
- R0040Securities Financing Transactions netting sets
- R0050Derivatives & Long Settlement Transactions netting sets
- R0060From Contractual Cross Product netting sets
Column
- C0300Number of obligors
Sheet
- S0006Institutions (FIRB approach)
Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)
Row
- R0180Total
Column
- C0030Number of obligors
Sheet
- S0006Institutions (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. It is an active check of the Bank's for the step-in risk (PRA115) return too, where Line4 Check does not run it yet, for the reason above. The Bank of England applies it to own funds (PRA001) and step-in risk (PRA115) 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, c: 0030, z: 0006} = sum({t: OF08.01.01.01, r: 0040; 0050; 0060, c: 0300, z: 0006})The same code in the step-in risk (PRA115) return: another check
The Bank of England uses boe_b1035 for a different check in the step-in risk (PRA115) return. There it is a blocking check on identification of step-in entities (SI1) (SI01.00.01.01) and detailed reporting of material step-in entities (SI2) (SI02.00.01.01).
If the entity is material, then "Total Asset size" (c0050) must be consistent across templates for each corresponding "Entity code" (c0010) and "Material entity group code" (c0080), if applicable.
In Identification of step-in entities (SI1) (SI01.00.01.01): "Total asset size of entity" (column 0050) must equal "Total asset size of the entity" (column 0050) in Detailed reporting of material step-in entities (SI2) (SI02.00.01.01).
Identification of step-in entities (SI1) (SI01.00.01.01)
Column
- C0050Total asset size of entity
Detailed reporting of material step-in entities (SI2) (SI02.00.01.01)
Column
- C0050Total asset size of the entity
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: SI01.00.01.01, c: 0050} = {t: SI02.00.01.01, c: 0050}Other rules on Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)
- CCR RW-exposure amount post-adjustments for Institutions (FIRB approach) (boe_b1067)Blocking
- CCR Exposure value consistency check for Institutions (FIRB) (boe_b1068)Blocking
- CCR Exposure value consistency check for Retail - Other non-SME (AIRB approach) (boe_b0889)Blocking
- CCR Exposure value consistency check for Retail - Other SME (AIRB approach) (boe_b0888)Blocking
- CCR Exposure value consistency check for Retail - Qualifying revolving exposures (AIRB approach) (boe_b0887)Blocking
- CCR Exposure value consistency check for Retail - Secured by commercial immovable property non-SME (AIRB approach) (boe_b0886)Blocking
- CCR Exposure value consistency check for Retail - Secured by commercial immovable property SME (AIRB approach) (boe_b0885)Blocking
- CCR Exposure value consistency check for Retail - Secured by residential immovable property non-SME (AIRB approach) (boe_b0884)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.