The rule in plain words
total exposures arising from derivatives and long settlement transactions should be greater than or equal to the exposure of which through qualifying central counterparties for the columns 0200, 0210 and 0220
In each of "Exposure value" (column 0200) and "Risk-weighted exposure amount" (column 0220) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "Derivatives & Long Settlement Transactions netting sets" (row 0110) must not be less than "Of which: Centrally cleared through a QCCP" (row 0120).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller 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 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) (OF07.00.01.01)
Rows
- R0110Derivatives & Long Settlement Transactions netting sets
- R0120Of which: Centrally cleared through a QCCP
Columns
- 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
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}.
{t: OF07.00.01.01, r: 0110} >= {t: OF07.00.01.01, r: 0120}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, c: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)
- SFTs of which are centrally cleared should not exceed total SFT netting transactions (boe_b0531)
- SFTs of which are centrally cleared should not exceed total SFT netting transactions (boe_b0531_1)
- Exposures of which subject to a permanent partial use permission shouldn't exceed total exposures (boe_b0534)Blocking
- Column 0220 is for risk-weighted exposure amount (exposure value * risk weight), row 0140 is 0% risk weight therefore should equal zero (boe_b0529)
- Object finance exposures under Specialised lending shouldn't exceed total exposures (boe_b0535)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a value must not be more than another (boe_b0536)
- Check that total exposures (row 0010) is less than or equal to the row 'of which: SME' (0020) for the relevant negative columns (boe_b0537)Blocking
- Row 0360 is an of which of total exposures therefore should be less than or equal to it (boe_b0526)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.