The rule in plain words
Check that reported values are positive numbers or zero
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Exposures in default (OF07.00.01.03): every value in the cells it covers must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark OF07.00.01 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Exposures in default (OF07.00.01.03)
Rows
- R0300Exposures in default subject to a risk weight of 100%
- R0320Exposures in default subject to a risk weight of 150%
Column
- C0210Of which: Arising from Counterparty Credit Risk
Sheets
- S0001Total (SA exposures)
- S0002Central governments or Central banks
- S0003Regional governments or local authorities
- S0004Public sector entities
- S0007Institutions
- S0008Corporates
- S0009Retail
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: OF07.00.01.03} >= 0Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.03, r:0300;0320,c:0210,z:0001;0002;0003;0004;0007;0008;0009, 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 - Exposures in default (OF07.00.01.03)
- Check that reported values are positive numbers or zero (boe_b0672_1)Blocking
- Check that reported values are positive numbers or zero (boe_b0670)
- Check that reported values are positive numbers or zero (boe_b0665)
- The data entry for the corresponding cell should be greater than or equal to zero (boe_b0660)Blocking
- Values reported in these columns should be greater than or equal to zero (boe_b0656)Blocking
- Exposure value post adjustments is the sum of the adjustments and the exposure value pre-conversion factors (boe_b0708_1)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_1)Blocking
- Reported values should be negative or zero (boe_b0733_1)
Every PRA banking rule on OF07.00.01.03
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.