The rule in plain words
Items associated with particularly high risk exposures in default reported in OF 07.00 in r 0015 c0010 for the exposure class sheet 0012 should be equal to that in OF 09.01 for the defaulted exposures for items associated with particularly high risk (row 0110)
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "of which: Defaulted exposures" in column "Original exposure pre conversion factors" (row 0015, column 0010) on sheet "Exposures associated with particularly high risk" (sheet 0012) must equal "Exposures associated with particularly high risk" in column "Defaulted exposures" (row 0110, column 0020) (where country where the exposure is generated is "All countries") in Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01).
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 tables below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF07.00.01 and OF09.01.01 as reported.
- 05This 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 and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
Row
- R0015of which: Defaulted exposures
Column
- C0010Original exposure pre conversion factors
Sheet
- S0012Exposures associated with particularly high risk
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Row
- R0110Exposures associated with particularly high risk
Column
- C0020Defaulted exposures
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R0015of which: Defaulted exposures
Column
- C0010Original exposure pre conversion factors
Sheet
- S0012Exposures associated with particularly high risk
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Row
- R0110Exposures associated with particularly high risk
Column
- C0020Defaulted exposures
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) and 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: OF07.00.01.01, r: 0015, c: 0010, z: 0012} = {t: OF09.01.01.01, r: 0110, c: 0020, filter: [eba_dim:CEG] = [eba_GA:x1]}Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): two values must match (boe_b0265)
- Risk weights applicable for exposure class (sheet number 0002, 0003) (boe_b0430)
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a cell must be left empty (boe_b0431)
- Risk weights applicable for exposure class (sheet number 0004) (boe_b0434)
- Risk weights applicable for exposure class (sheet number 0005) (boe_b0435)
- SA exposures of which subject to a permanent partial use permission shouldn't exceed TOTAL SA Exposures (boe_b0438)Blocking
- Risk weights applicable for exposure class (sheet number 0006) (boe_b0439)
- Risk weights applicable for exposure class (sheet number 0007) (boe_b0440)
Every PRA banking rule on OF07.00.01.01
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.