The rule in plain words
EXPOSURES OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK should not exceed TOTAL EXPOSURE VALUE
In each of 31 rows (listed below) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02): "Of which: Arising from Counterparty Credit Risk" (column 0210) must not be less than "Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP" (column 0211).
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 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
- R0090Securities Financing Transactions netting sets
- R0110Derivatives & Long Settlement Transactions netting sets
- R0130From Contractual Cross Product netting sets
Column
- C0200Exposure value
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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
Rows
- R0090Securities Financing Transactions netting sets
- R0110Derivatives & Long Settlement Transactions netting sets
- R0130From Contractual Cross Product netting sets
- R01400%
- R01502%
- R01604%
- R017010%
- R017115%
- R018020%
- R018125%
- R018230%
- R019035%
- R019140%
- R019245%
- R020050%
- R020160%
- R020265%
- R021070%
- R022075%
- R022180%
- R022285%
- R0230100%
- R0231105%
- R0232110%
- R0233130%
- R0234135%
- R0240150%
- R0250250%
- R0261400%
- R02701250%
- R0280Other risk weights
Columns
- C0210Of which: Arising from Counterparty Credit Risk
- C0211Of which: Arising from Counterparty Credit Risk excluding exposures cleared through a CCP
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: OF07.00.01.02, c: 0210} >= {t: OF07.00.01.02, c: 0211}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.02, r:0090;0110;0130;0140;0150;0160;0170;0171;0180;0181;0182;0190;0191;0192;0200;0201;0202;0210;0220;0221;0222;0230;0231;0232;0233;0234;0240;0250;0261;0270;0280,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) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
- Check that total exposures (row 0010) is greater than or equal to the row 'of which: SME' (0020) for the columns stated (boe_b0601)Blocking
- Check that total exposures (row 0010) is more than or equal to the sum of rows 0050 and 0060 for the columns stated (boe_b0598)Blocking
- Check that reported values are positive numbers or zero (boe_b0672)Blocking
- Row 0360 is an of which of total exposures therefore should be less than or equal to it (boe_b0526_1)Blocking
- Row 0350 is an of which of total exposures therefore should be less than or equal to it (boe_b0521_1)Blocking
- Commercial real estate exposures shouldn't exceed total exposures across the relevant columns (boe_b0518_1)Blocking
- Row 0330 is an of which of total exposures therefore should be less than or equal to Total exposures (boe_b0515_1)Blocking
- Specialised lending Project finance exposures shouldn't exceed total exposures in the relevant sheets (boe_b0514_1)Blocking
Every PRA banking rule on OF07.00.01.02
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.