The rule in plain words
Total exposures shall equal the Total THE FULLY ADJUSTED OFF BALANCE SHEET exposure value for the conversion factors 10%,20%,40%, 50%, 100%
In each of 5 columns (listed below) 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 "Off-balance sheet exposures subject to credit risk" (row 0080).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF07.00.01 as reported.
- 05This 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) (OF07.00.01.01)
Rows
- R0010Total exposures
- R0080Off-balance sheet exposures subject to credit risk
Columns
- C016010%
- C017020%
- C017140%
- C018050%
- C0190100%
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
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
- R0080Off-balance sheet exposures subject to credit risk
Columns
- C016010%
- C017020%
- C017140%
- C018050%
- C0190100%
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
A worked example
With simple numbers.
Total exposures must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 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) 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 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: OF07.00.01.01, r: 0010} = {t: OF07.00.01.01, r: 0080}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, c:0160;0170;0171;0180;0190,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)
- Risk-weighted exposure amount is the exposure value multiplied by the risk weight (100%) (boe_b0771)Blocking
- Values reported in these columns should be less than or equal to zero (boe_b0733)
- Total regulatory commercial real estate exposures should be the sum of its components (boe_b0732)Blocking
- The values reported for collective investment undertakings in rows 0281, 0282 and 0283 must sum to row 0010 in sheet 0015 (boe_b0728)
- 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
- 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_b0721)
- 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)
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.