The rule in plain words
Permanent Partial Use (PPU) materiality of roll-out class threshold
In Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01): every value in the cells it covers must not be more than 0.05.
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 OF08.07.01 as reported.
- 04This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01)
Rows
- R0180Exposures to institutions
- R0190Specialised lending exposures
- R0200Exposures to purchased receivables within the corporate exposure class
- R0210Exposures to financial corporates, large corporates and other general corporates
- R0220Exposures to qualifying revolving retail exposures
- R0230Retail exposures secured by residential immovable property
- R0240Exposures to purchased receivables within the retail exposure class
- R0250Exposures to other retail
Column
- C0160Materiality of roll-out class
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 warning.
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: OF08.07.01.01} <= 0.05Where it applies, in the Bank's words (its scope):
scope({t: OF08.07.01.01, r:0180;0190;0200;0210;0220;0230;0240;0250,c:0160, f: banking, fv: banking_reporting})Other rules on Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) (OF08.07.01.01)
- PPU materiality threshold in aggregate (boe_b1046)
- Ensure this data entry is less than 50% in accordance with the threshold in Art 150(1)(f) (boe_b1048)
- Total risk-weighted exposure amount on SA and IRB (boe_b1045)Blocking
- Total risk-weighted exposure amount reported by roll-out class (boe_b0779)Blocking
- Sum of the stated percentages shall not exceed 100% (boe_b0778)Blocking
- The stated data entries shall be greater than or equal to zero (boe_b0320)Blocking
Every PRA banking rule on OF08.07.01.01
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.