The rule in plain words
Exposure value post adjustments is the sum of the adjustments and the exposure value pre-conversion factors
In each of "Exposures in default subject to a risk weight of 100%" (row 0300) and "Exposures in default subject to a risk weight of 150%" (row 0320) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Memorandum items - Exposures in default (OF07.00.01.03): "Exposure net of value adjustments, provisions and on-balance sheet netting" (column 0040) must equal the sum of "Original exposure pre conversion factors" (column 0010), "(-) Value adjustments and provision associated with the original exposure" (column 0030) and "(-) Adjustment to exposure value due to on-balance sheet netting" (column 0035).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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) - 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%
Columns
- C0010Original exposure pre conversion factors
- C0030(-) Value adjustments and provision associated with the original exposure
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0040Exposure net of value adjustments, provisions and on-balance sheet netting
Sheets
- S0001Total (SA exposures)
- S0002Central governments or Central banks
- S0003Regional governments or local authorities
- S0004Public sector entities
- S0007Institutions
- S0008Corporates
- S0009Retail
A worked example
With simple numbers.
Exposure net of value adjustments, provisions and on-balance sheet netting must then be 2,450.
A file that reports 2,450 passes. One that reports 2,550 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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, c: 0040} = {t: OF07.00.01.03, c: 0010} + {t: OF07.00.01.03, c: 0030} + {t: OF07.00.01.03, c: 0035}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.03, r:0300;0320,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)
- 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)
- Check that reported values are positive numbers or zero (boe_b0673)Blocking
- 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
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.