The rule in plain words
total exposures row 0010 should be equal to the sum of all exposures allocated to the breakdown of risk weights applicable for the exposures. This applies to each column 0010 (original exposure value), [OF07.00.01.01] (adjustments to original exposure), 0040 (net of adjustment exposure value)
In each of "Original exposure pre conversion factors" (column 0010), "(-) Value adjustments and provisions associated with the original exposure" (column 0030), "(-) Adjustment to exposure value due to on-balance sheet netting" (column 0035) and "Exposure net of value adjustments, provisions, and on-balance sheet netting" (column 0040) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "Total exposures" (row 0010) must equal the sum of 27 rows (listed below).
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 tables 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 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
- R0010Total exposures
- R01400%
- R01502%
- R01604%
- R017010%
- R017115%
- R018020%
- R018125%
- R018230%
- R019035%
- R019140%
- R019245%
- R020050%
- R020160%
- R020265%
- R022075%
- R022180%
- R022285%
- R0230100%
- R0231105%
- R0232110%
- R0233130%
- R0234135%
- R0240150%
- R0250250%
- R0261400%
- R02701250%
- R0280Other risk weights
Columns
- C0010Original exposure pre conversion factors
- C0030(-) Value adjustments and provisions 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
- 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
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Rows
- R0010Central governments or central banks
- R0020Regional governments or local authorities
- R0030Public sector entities
- R0040Multilateral Development Banks
- R0050International Organisations
- R0060Institutions
- R0070Corporates
- R0080Retail
- R0090Real estate exposures
- R0100Exposures in default
- R0110Exposures associated with particularly high risk
- R0120Eligible covered bonds
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0160Other items
- R0170Total exposures
Column
- C0010Original exposure pre conversion factors
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Rows
- R0010Total exposures
- R01400%
- R01502%
- R01604%
- R017010%
- R017115%
- R018020%
- R018125%
- R018230%
- R019035%
- R019140%
- R019245%
- R020050%
- R020160%
- R020265%
- R022075%
- R022180%
- R022285%
- R0230100%
- R0231105%
- R0232110%
- R0233130%
- R0234135%
- R0240150%
- R0250250%
- R0261400%
- R02701250%
- R0280Other risk weights
Columns
- C0010Original exposure pre conversion factors
- C0030(-) Value adjustments and provisions 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
- 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
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Rows
- R0010Central governments or central banks
- R0020Regional governments or local authorities
- R0030Public sector entities
- R0040Multilateral Development Banks
- R0050International Organisations
- R0060Institutions
- R0070Corporates
- R0080Retail
- R0090Real estate exposures
- R0100Exposures in default
- R0110Exposures associated with particularly high risk
- R0120Eligible covered bonds
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0160Other items
- R0170Total exposures
Column
- C0010Original exposure pre conversion factors
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) and 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: OF07.00.01.01, r: 0010} = sum({t: OF07.00.01.01, r: 0140; 0150; 0160; 0170; 0171; 0180; 0181; 0182; 0190; 0191; 0192; 0200; 0201; 0202; 0220; 0221; 0222; 0230; 0231; 0232; 0233; 0234; 0240; 0250; 0261; 0270; 0280})Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, c:0010;0030;0035;0040,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) (OF07.00.01.01)
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a total must equal the sum of its parts (boe_b0722)Blocking
- Total exposures row 0010 should be equal to the sum of all exposures allocated to the breakdown of risk weights applicable for the exposures (boe_b0719)
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a total must equal the sum of its parts (boe_b0717)
- The values reported for collective investment undertakings in rows 0281, 0282 and 0283 must sum to row 0010 in sheet 0015 (boe_b0728)
- The total exposure row 0010 shall equal the sum of all the sheets for each exposure class (boe_b0713)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a total must equal the sum of its parts (boe_b0710)Blocking
- Total regulatory commercial real estate exposures should be the sum of its components (boe_b0732)Blocking
- Values reported in these columns should be less than or equal to zero (boe_b0733)
Every PRA banking rule on OF07.00.01.01
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.