The rule in plain words
to ensure financial collateral is negative or zero
In Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): every value in the cells it covers must be zero or less.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03It runs only when your filing indicators mark OF08.01.01 as reported.
- 04This 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
- R000140%
- R0010Total exposures
- R0017Of which: Exposures to revolving loan commitments
- R0020On-balance sheet items subject to credit risk
- R0030Off-balance sheet items subject to credit risk
- R003110%
- R003220%
- R003350%
- R0034100%
- R0035Own estimate
- R0070Exposures assigned to obligor grades or pools: Total
- R0080Specialised lending slotting approach: Total
- R0170Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights
Column
- C0102(-) Financial collateral: adjusted value (Cvam)
Sheets
- S0002Total (FIRB approach and slotting approach)
- S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) and step-in risk (PRA115) returns on Bank of England banking taxonomy 4.1.1. 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: OF08.01.01.01} <= 0Where it applies, in the Bank's words (its scope):
scope({t: OF08.01.01.01, r:0001;0010;0017;0020;0030;0031;0032;0033;0034;0035;0070;0080;0170,c:0102,z:0002;0010, f: banking, fv: banking_reporting})The same code in the step-in risk (PRA115) return: another check
The Bank of England uses boe_b1037 for a different check in the step-in risk (PRA115) return. There it is a blocking check on detailed reporting of material step-in entities (SI2) (SI02.00.01.01) and identification of step-in entities (SI1) (SI01.00.01.01).
For a given entity code and material entity group code (if applicable) in table SI02, the same code shall be reported in table SI01
In Detailed reporting of material step-in entities (SI2) (SI02.00.01.01): if "Type of Code" (column 0020) is reported, "Type of Code" (column 0020) in Identification of step-in entities (SI1) (SI01.00.01.01) must be reported.
Identification of step-in entities (SI1) (SI01.00.01.01)
Column
- C0020Type of Code
Detailed reporting of material step-in entities (SI2) (SI02.00.01.01)
Column
- C0020Type of Code
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}.
If not(isnull({t: SI02.00.01.01, c: 0020})) then not(isnull({t: SI01.00.01.01, c: 0020})) else true ()Other rules on Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
- To ensure that of which volatility and maturity adjustments is less than or equal to financial collateral adjusted value (CVAM) (boe_b1036)Blocking
- To ensure the of which: volatility and maturity adjustments is negative or zero (boe_b1038)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a cell must be left empty (boe_b1039)Blocking
- Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1): a total must equal the sum of its parts (boe_b1040)Blocking
- Slotting is only available for specialised lending exposures (boe_b1041)Blocking
- There should be consistency in the values reported across the templates (boe_b0814_01)BlockingNot run
- There should be consistency in the values reported across the templates (boe_b0814_02)BlockingNot run
- There should be consistency in the values reported across the templates (boe_b0814_03)BlockingNot run
Every PRA banking rule on OF08.01.01.01
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.