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2 min readBlockingBank of England banking taxonomy 4.1.1Updated 11 November 2026

Risk-weighted exposure amount shall be equal to Exposure value multiplied by the density of risk-weighted exposure (OF34.07.01.01, Bank of England check boe_b0759)

A blocking check on the counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) template (OF34.07.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this rule

The rule in plain words

RISK-WEIGHTED EXPOSURE AMOUNT shall be equal to Exposure value multiplied by the density of RISK-WEIGHTED EXPOSURE

In each of 19 rows (listed below) of Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01): "Density of risk-weighted exposure amounts" (column 0070) multiplied by "Exposure value" (column 0010) must equal "Risk-weighted exposure amount" (column 0060).

This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF34.07.01 as reported.

The cells it reads

Counterparty credit risk: IRB approach - CCR exposures by exposure class and PD scale (CCR 7) (OF34.07.01.01)

Rows

  • R00100.00 to <0.15
  • R00150.00 to <0.05
  • R00250.05 to <0.10
  • R00300.10 to <0.15
  • R00400.15 to <0.25
  • R00500.25 to <0.50
  • R00600.50 to <0.75
  • R00700.75 to <2.50
  • R00800.75 to <1.75
  • R00901.75 to <2.5
  • R01002.50 to <10.00
  • R01102.50 to <5.00
  • R01205.00 to <10.00
  • R013010.00 to <100.00
  • R014010.00 to <20.00
  • R015020.00 to <30.00
  • R016030.00 to <100.00
  • R0170100.00 (Default)
  • R0180Total

Columns

  • C0010Exposure value
  • C0060Risk-weighted exposure amount
  • C0070Density of risk-weighted exposure amounts

Sheets

  • S0001Total (AIRB approach)
  • S0002Total (FIRB approach or slotting approach)
  • S0006Institutions (FIRB approach)
  • S0009Corporates - Specialised Lending (AIRB approach)
  • S0010Corporates - Specialised Lending (FIRB approach or slotting approach)
  • S0011Corporates - Other general corporates - non-SME (AIRB approach)
  • S0012Corporates - Other general corporates - non-SME (FIRB approach)
  • S0015Retail - Qualifying revolving (AIRB approach)
  • S0016Retail - Other SME (AIRB approach)
  • S0017Retail - Other non-SME (AIRB approach)
  • S0018Retail - Secured by commercial immovable property SME (AIRB approach)
  • S0019Retail - Secured by commercial immovable property non-SME (AIRB approach)
  • S0020Retail - Secured by residential immovable property - SME (AIRB approach)
  • S0021Retail - Secured by residential immovable property non-SME (AIRB approach)
  • S0022Corporates - Financial corporates and large corporates (FIRB approach)
  • S0023Corporates - Other general corporates - SME (AIRB approach)
  • S0024Corporates - Other general corporates - SME (FIRB approach)

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 formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: OF34.07.01.01, c: 0070} * {t: OF34.07.01.01, c: 0010} = {t: OF34.07.01.01, c: 0060}

Where it applies, in the Bank's words (its scope):

scope({t: OF34.07.01.01, r:0010;0015;0025;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180,z:0001;0002;0006;0009;0010;0011;0012;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024, f: banking, fv: banking_reporting})

Every PRA banking rule on OF34.07.01.01

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.