The rule in plain words
Defaulted exposures (row 0015) should be reported only for items associated with a particularly high risk (s0012), subordinated debt, equity and other own funds instrument (s0016) and CIUs (s0015). This data entry should be left blank in all the other sheets.
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "of which: Defaulted exposures" (row 0015) in 22 columns (listed below) on 12 sheets must be left empty.
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.
- 02Remove the value from this cell where the rule applies. A 0 is a value too, so leave the cell out of the return altogether.
- 03It runs only when your filing indicators mark OF07.00.01 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 and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
Row
- R0015of which: Defaulted exposures
Columns
- C0010Original exposure pre conversion factors
- C0030(-) Value adjustments and provisions associated with the original exposure
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0040Exposure net of value adjustments, provisions, and on-balance sheet netting
- C0050(-) Guarantees
- C0060(-) Credit derivatives
- C0070(-) Financial collateral: simple method
- C0080(-) Other funded credit protection
- C0090(-) Total Outflows
- C0100Total Inflows (+)
- C0110Net exposure after CRM substitution effects pre conversion factors
- C0120Volatility adjustment to the exposure
- C0130(-) Financial collateral: adjusted value (Cvam)
- C0140(-) of which: Volatility and maturity adjustments
- C0150Fully adjusted exposure value (E*)
- C016010%
- C017020%
- C017140%
- C018050%
- C0190100%
- C0200Exposure value
- C0220Risk-weighted exposure amount
Sheets
- S0002Central governments or Central banks
- S0003Regional governments or local authorities
- S0004Public sector entities
- S0005Multilateral development banks
- S0006International organisations
- S0007Institutions
- S0008Corporates
- S0009Retail
- S0010Real estate exposures
- S0011Exposures in default
- S0013Eligible covered bonds
- S0017Other items
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Rows
- R0010Central governments or central banks
- R0020Regional governments or local authorities
- R0030Public sector entities
- R0040Multilateral Development Banks
- R0050International Organisations
- R0060Institutions
- R0070Corporates
- R0080Retail
- R0090Real estate exposures
- R0100Exposures in default
- R0120Eligible covered bonds
- R0160Other items
Column
- C0020Defaulted exposures
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}.
isNull({t: OF07.00.01.01, r: 0015, c: 0010; 0030; 0035; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0171; 0180; 0190; 0200; 0220, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0010; 0011; 0013; 0017})Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
- Risk weights applicable for exposure class (sheet number 0002, 0003) (boe_b0430)
- 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)
- Risk weights applicable for exposure class (sheet number 0008) (boe_b0441)
- Risk weights applicable for exposure class (sheet number 0009) (boe_b0442)
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.