The rule in plain words
Risk weights applicable for exposure class (sheet number 0012)
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02): 26 rows (listed below) in column "Of which: Arising from Counterparty Credit Risk" (column 0210) on sheet "Exposures associated with particularly high risk" (sheet 0012) must be left empty.
What to do if your return fails it
- 01Open the table 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) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
Rows
- R01400%
- R01502%
- R01604%
- R017010%
- R017115%
- R018020%
- R018125%
- R018230%
- R019035%
- R019140%
- R019245%
- R020050%
- R020160%
- R020265%
- R021070%
- R022075%
- R022180%
- R022285%
- R0230100%
- R0231105%
- R0232110%
- R0233130%
- R0234135%
- R0250250%
- R0261400%
- R0280Other risk weights
Column
- C0210Of which: Arising from Counterparty Credit Risk
Sheet
- S0012Exposures associated with particularly high risk
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: OF07.00.01.02, r: 0140; 0150; 0160; 0170; 0171; 0180; 0181; 0182; 0190; 0191; 0192; 0200; 0201; 0202; 0210; 0220; 0221; 0222; 0230; 0231; 0232; 0233; 0234; 0250; 0261; 0280, c: 0210, z: 0012})Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
- Risk weights applicable for exposure class (sheet number 0011) (boe_b0448_1)
- Risk weights applicable for exposure class (sheet number 0013) (boe_b0450_1)
- Risk weights applicable for exposure class (sheet number 0010) (boe_b0445_1)
- Risk weights applicable for exposure class (sheet number 0009) (boe_b0442_1)
- Risk weights applicable for exposure class (sheet number 0008) (boe_b0441_1)
- Risk weights applicable for exposure class (sheet number 0007) (boe_b0440_1)
- Risk weights applicable for exposure class (sheet number 0016) (boe_b0458_1)
- Risk weights applicable for exposure class (sheet number 0006) (boe_b0439_1)
Every PRA banking rule on OF07.00.01.02
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.