The rule in plain words
SA exposures of which subject to a roll-out plan shouldn't exceed TOTAL SA Exposures
In each of 13 columns (listed below) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "of which: Exposures subject to the standardised approach due to a roll-out plan" (row 0060) must not be more than "Total exposures" (row 0010).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF07.00.01 as reported.
- 05This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Rows
- R0050Standardised Approach (SA)
- R0070Central governments or central banks
- R0080Regional governments or local authorities
- R0090Public sector entities
- R0100Multilateral Development Banks
- R0110International Organisations
- R0120Institutions
- R0130Corporates
- R0140Retail
- R0150Real estate exposures
- R0160Exposures in default
- R0170Exposures associated with particularly high risk
- R0180Eligible covered bonds
- R0200Collective investments undertakings (CIU)
- R0210Subordinated debt, equity and other own funds instruments
- R0211Other items
Column
- C0010All approaches
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
Rows
- R0010Total exposures
- R0060of which: Exposures subject to the standardised approach due to a roll-out plan
Columns
- C0010Original exposure pre conversion factors
- C0040Exposure net of value adjustments, provisions, and on-balance sheet netting
- C0100Total Inflows (+)
- C0110Net exposure after CRM substitution effects pre conversion factors
- C0120Volatility adjustment to the exposure
- C0150Fully adjusted exposure value (E*)
- C016010%
- C017020%
- C017140%
- C018050%
- C0190100%
- C0200Exposure value
- C0220Risk-weighted exposure amount
Sheets
- S0001Total (SA exposures)
- 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
- 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
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
- R0110Exposures associated with particularly high risk
- R0120Eligible covered bonds
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0160Other items
- R0170Total exposures
Columns
- C0010Original exposure pre conversion factors
- C0075Exposure value
- C0090Risk-weighted exposure amount
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: OF07.00.01.01, r: 0060} <= {t: OF07.00.01.01, r: 0010}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, c:0010;0040;0100;0110;0120;0150;0160;0170;0171;0180;0190;0200;0220,z:0001;0002;0003;0004;0005;0006;0007;0008;0009;0010;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)
- Specialised lending Object finance exposures shouldn't exceed total exposures in the relevant sheets (boe_b0512_1)Blocking
- Specialised lending Commodities finance exposures shouldn't exceed total specialised lending exposures in the relevant sheets (boe_b0513)Blocking
- Specialised lending Project finance exposures shouldn't exceed total exposures in the relevant sheets (boe_b0514)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (4%) (boe_b0507)Blocking
- Row 0330 is an of which of total exposures therefore should be less than or equal to Total exposures (boe_b0515)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): values must agree (boe_b0506)
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (135%) (boe_b0505)Blocking
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (130%) (boe_b0504)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.