The rule in plain words
risk-weighted exposure amount is the exposure value multiplied by the risk weight (50%)
In row "50%" (0200) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "Risk-weighted exposure amount" (column 0220) must equal "Exposure value" (column 0200) multiplied by 0.5.
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) (OF07.00.01.01)
Row
- R020050%
Columns
- 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
- 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R020050%
Columns
- 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
- 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) 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 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: OF07.00.01.01, r: 0200, c: 0220} = {t: OF07.00.01.01, r: 0200, c: 0200} * 0.5Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, z:0002;0003;0004;0005;0006;0007;0008;0011;0012;0013;0015;0016;0017, f: banking, fv: banking_reporting})Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (35%) (boe_b0486)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (70%) (boe_b0488)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (75%) (boe_b0489)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (150%) (boe_b0490)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (20%) (boe_b0483)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): values must agree (boe_b0491)
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (10%) (boe_b0482)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (1250%) (boe_b0492)Blocking
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.