The rule in plain words
to ensure that exposure after all CRM pre-conversion factors cell includes the volatility adjustment to exposure value and the effect of the FCCM (FINANCIAL COLLATERAL COMPREHENSIVE METHOD)
In each of 13 rows (listed below) of Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01): "Exposure after all CRM pre-conversion factors" (column 0104) must equal the sum of "Exposure after CRM substitution effects pre-conversion factors" (column 0090), "Volatility adjustment to the exposure" (column 0101) and "(-) Financial collateral: adjusted value (Cvam)" (column 0102).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 OF08.01.01 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
- 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
Columns
- C0090Exposure after CRM substitution effects pre-conversion factors
- C0101Volatility adjustment to the exposure
- C0102(-) Financial collateral: adjusted value (Cvam)
- C0104Exposure after all CRM pre-conversion factors
Sheets
- S0001Total (AIRB approach)
- S0002Total (FIRB approach and 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: OF08.01.01.01, c: 0104} = sum({t: OF08.01.01.01, c: 0090; 0101; 0102})Where 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,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 Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (CR IRB 1) (OF08.01.01.01)
- 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
- Slotting is only available for specialised lending exposures (boe_b1041)Blocking
- To ensure the of which: volatility and maturity adjustments is negative or zero (boe_b1038)Blocking
- To ensure financial collateral is negative or zero (boe_b1037)Blocking
- To ensure that of which volatility and maturity adjustments is less than or equal to financial collateral adjusted value (CVAM) (boe_b1036)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.