The rule in plain words
to ensure the of which: volatility and maturity adjustments 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
- C0103(-) Of which: volatility and maturity adjustments
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) 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: OF08.01.01.01} <= 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:0103,z:0002;0010, f: banking, fv: banking_reporting})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 financial collateral is negative or zero (boe_b1037)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
- To ensure that of which volatility and maturity adjustments is less than or equal to financial collateral adjusted value (CVAM) (boe_b1036)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.