The rule in plain words
Check that value in the stated rows is empty for sheets other than total exposures (s0001) and real estate (s0010)
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): 12 rows (listed below) in column "Of which: Arising from Counterparty Credit Risk" (column 0210) on 14 sheets 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
- R0330of which: Real estate exposures - regulatory residential real estate exposures
- R0331of which: not materially dependent on the cash flows generated by the property
- R0332of which: materially dependent on the cash flows generated by the property
- R0340of which: Real estate exposures - regulatory commercial real estate exposures
- R0341of which: not materially dependent on the cash flows generated by the property
- R0342of which: materially dependent on the cash flows generated by the property
- R0350of which: Real estate exposures - other real estate exposures
- R0351of which: residential real estate - not materially dependent on the cash flows generated by the property
- R0352of which: residential real estate - materially dependent on the cash flows generated by the property
- R0353of which: commercial real estate - not materially dependent on the cash flows generated by the property
- R0354of which: commercial real estate - materially dependent on the cash flows generated by the property
- R0360of which: Real estate exposures - land acquisition, development and construction exposures
Column
- C0210Of which: Arising from Counterparty Credit Risk
Sheets
- S0002Central governments or Central banks
- S0003Regional governments or local authorities
- S0004Public sector entities
- S0005Multilateral development banks
- S0006International organisations
- S0007Institutions
- S0008Corporates
- S0009Retail
- S0011Exposures in default
- S0012Exposures associated with particularly high risk
- S0013Eligible covered bonds
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
- S0016Subordinated debt, equity and other own funds instruments
- S0017Other items
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: 0330; 0331; 0332; 0340; 0341; 0342; 0350; 0351; 0352; 0353; 0354; 0360, c: 0210, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0011; 0012; 0013; 0015; 0016; 0017})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 0016) (boe_b0458_1)
- Check that value of the stated rows is empty for all sheets other than Total exposures (s0001) and Corporates (s0008) (boe_b0460_1)
- Risk weights applicable for exposure class (sheet number 0013) (boe_b0450_1)
- Risk weights applicable for exposure class (sheet number 0012) (boe_b0449_1)
- Risk weights applicable for exposure class (sheet number 0011) (boe_b0448_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)
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.