The rule in plain words
Exposure value post off-balance sheet conversion factors (Column 0200) should be less than or equal to Fully adjusted exposure value (column 0150)
In row "Retail and real estate exposures - subject to the currency mismatch multiplier" (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 not be more than "Fully adjusted exposure value (E*)" (column 0150).
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 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
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*)
- 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 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: OF07.00.01.05, r: 0380, c: 0200} <= {t: OF07.00.01.05, r: 0380, c: 0150}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.05, 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)
- This represents the calculation of exposure value post CRM post off-Balance sheet conversion factors (boe_b0471_3)Blocking
- 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.