The rule in plain words
The values reported for Defaulted exposures (row 0015) in sheets 0001, 0012,0015 and 0016 should be smaller than (or equal to) r0010 Total Exposures
In each of 12 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: Defaulted exposures" (row 0015) must not be more than "Total exposures" (row 0010).
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 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 warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Rows
- R0050Standardised Approach (SA)
- R0170Exposures associated with particularly high risk
- R0200Collective investments undertakings (CIU)
- R0210Subordinated debt, equity and other own funds instruments
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
- R0015of which: Defaulted exposures
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%
- C018050%
- C0190100%
- C0200Exposure value
- C0220Risk-weighted exposure amount
Sheets
- S0001Total (SA exposures)
- S0012Exposures associated with particularly high risk
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
- S0016Subordinated debt, equity and other own funds instruments
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Rows
- R0110Exposures associated with particularly high risk
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0170Total exposures
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
- C0075Exposure value
- C0090Risk-weighted exposure amount
Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)
Rows
- R0050Standardised Approach (SA)
- R0170Exposures associated with particular high risk
- R0200Collective investments undertakings (CIU)
- R0210Subordinated debt, equity and other own funds instruments
Column
- C0010All approaches
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Rows
- R0010Total exposures
- R0015of which: Defaulted exposures
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%
- C018050%
- C0190100%
- C0200Exposure value
- C0220Risk-weighted exposure amount
Sheets
- S0001Total (SA exposures)
- S0012Exposures associated with particularly high risk
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
- S0016Subordinated debt, equity and other own funds instruments
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Rows
- R0110Exposures associated with particularly high risk
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0170Total exposures
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
- C0075Exposure value
- C0090Risk-weighted exposure amount
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 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: 0015} <= {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;0180;0190;0200;0220,z:0001;0012;0015;0016, 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)
- Object finance exposures under Specialised lending shouldn't exceed total exposures (boe_b0535)Blocking
- 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
- Exposures of which subject to a permanent partial use permission shouldn't exceed total exposures (boe_b0534)Blocking
- Check that total exposures (row 0010) is less than or equal to the sum of rows 0050 and 0060 for the relevant negative columns (boe_b0538)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a value must not be less than another (boe_b0532)
- 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)
- Column 0220 is for risk-weighted exposure amount (exposure value * risk weight), row 0140 is 0% risk weight therefore should equal zero (boe_b0529)
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.