The rule in plain words
This represents the calculation of exposure value post CRM post off-Balance sheet conversion factors
In row "Retail and real estate exposures - subject to the currency mismatch multiplier" (row 0380) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier (OF07.00.01.05): "Exposure value" (column 0200) must equal "Fully adjusted exposure value (E*)" (column 0150) minus 0.9 multiplied by "10%" (column 0160) minus 0.8 multiplied by "20%" (column 0170) minus 0.6 multiplied by "40%" (column 0171) minus 0.5 multiplied by "50%" (column 0180).
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF07.00.01 as reported.
The cells it reads
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier (OF07.00.01.05)
Row
- R0380Retail and real estate exposures - subject to the currency mismatch multiplier
Columns
- C0150Fully adjusted exposure value (E*)
- C016010%
- C017020%
- C017140%
- C018050%
- C0200Exposure value
Sheets
- S0001Total (SA exposures)
- S0009Retail
- S0010Real estate 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 blocking check.
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: OF07.00.01.05, c: 0200} = {t: OF07.00.01.05, c: 0150} - (0.9 * {t: OF07.00.01.05, c: 0160}) - (0.8 * {t: OF07.00.01.05, c: 0170}) - (0.6 * {t: OF07.00.01.05, c: 0171}) - (0.5 * {t: OF07.00.01.05, c: 0180})Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.05, r:0380,z:0001;0009;0010, f: banking, fv: banking_reporting})Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier (OF07.00.01.05)
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier: a value must not be more than another (boe_b0556_1)
- Values reported in these columns should be greater than or equal to zero (boe_b0657_2)Blocking
- Reported values should be greater than or equal to zero (boe_b0658_1)
- Exposure values shall exceed or be equal to zero (boe_b0666_1)Blocking
- Exposure value post adjustments is the sum of the adjustments and the exposure value pre-conversion factors (boe_b0708_2)Blocking
- The Fully-adjusted exposure value is the sum of the fully adjusted exposure values of off-balance sheet items by conversion factors (boe_b0710_3)Blocking
- Reported values should be negative or zero (boe_b0733_2)
Every PRA banking rule on OF07.00.01.05
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.