The rule in plain words
row 0350 should be the sum of the rows 0351 + 0352 + 0353 + 0354
In column "Of which: Arising from Counterparty Credit Risk" (0210) 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: Real estate exposures - other real estate exposures" (row 0350) must equal the sum of "of which: residential real estate - not materially dependent on the cash flows generated by the property" (row 0351), "of which: residential real estate - materially dependent on the cash flows generated by the property" (row 0352), "of which: commercial real estate - not materially dependent on the cash flows generated by the property" (row 0353) and "of which: commercial real estate - materially dependent on the cash flows generated by the property" (row 0354).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF07.00.01 as reported.
- 06This 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) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
Rows
- R0350of which: Real estate exposures - other real estate exposures
- R0351of which: residential real estate - not materially dependent on the cash flows generated by the property
- R0352of which: residential real estate - materially dependent on the cash flows generated by the property
- R0353of which: commercial real estate - not materially dependent on the cash flows generated by the property
- R0354of which: commercial real estate - materially dependent on the cash flows generated by the property
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
- 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 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: OF07.00.01.02, r: 0350, c: 0210} = sum({t: OF07.00.01.02, r: 0351; 0352; 0353; 0354, c: 0210})Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.02, 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)
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk: a total must equal the sum of its parts (boe_b0722_1)Blocking
- Check that reported values are positive numbers or zero (boe_b0672)Blocking
- Total regulatory commercial real estate exposures should be the sum of its components (boe_b0732_1)Blocking
- Exposures of which: arising from counterparty credit risk should not exceed total exposure value (boe_b0602)
- 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
- 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
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.