The rule in plain words
Counterparty credit risk exposures (c0200) should equal column 0210
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "From Contractual Cross Product netting sets" in column "Exposure value" (row 0130, column 0200) must equal "From Contractual Cross Product netting sets" in column "Of which: Arising from Counterparty Credit Risk" (row 0130, column 0210) in 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).
What to do if your return fails it
- 01Open the table 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)
Row
- R0130From Contractual Cross Product netting sets
Column
- C0200Exposure value
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: OF07.00.01.01, r: 0130, c: 0200} = {t: OF07.00.01.02, r: 0130, c: 0210}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, z:0001;0002;0003;0004;0005;0006;0007;0008;0009;0010;0011;0012;0013;0015;0016;0017, f: banking, fv: banking_reporting},{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) (OF07.00.01.01)
- Counterparty credit risk exposures (c0200) should equal column 0210 (boe_b0893)Blocking
- Counterparty credit risk exposures (c0200) should equal c0210 (boe_b0895)
- Counterparty credit risk exposures (c0200) should equal column 0210 (boe_b0892)Blocking
- Counterparty credit risk exposures (c0200) should equal c0210 (boe_b0896)
- Defaulted exposures shouldn't exceed TOTAL Exposures (boe_b0958)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a value must not be less than another (boe_b0959)Blocking
- Row 0343 is an of which of row 0341 therefore should be less than or equal to it (boe_b0960)Blocking
- Row 0344 is an of which of row 0342 therefore should be less than or equal to it (boe_b0961)Blocking
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.