The rule in plain words
Defaulted exposures shouldn't exceed TOTAL Exposures
In each of 24 columns (listed below) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "of which: Exposures to corporates - Specialised lending - Project finance exposures" (row 0023) must equal the sum of "of which: pre-operational phase" (row 0024), "of which: operational phase" (row 0025) and "of which: high quality operational phase" (row 0026).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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) (OF07.00.01.01)
Rows
- R0023of which: Exposures to corporates - Specialised lending - Project finance exposures
- R0024of which: pre-operational phase
- R0025of which: operational phase
- R0026of which: high quality operational phase
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
- C0050(-) Guarantees
- C0060(-) Credit derivatives
- C0070(-) Financial collateral: simple method
- C0080(-) Other funded credit protection
- C0090(-) Total Outflows
- C0100Total Inflows (+)
- C0110Net exposure after CRM substitution effects pre conversion factors
- C0120Volatility adjustment to the exposure
- C0130(-) Financial collateral: adjusted value (Cvam)
- C0140(-) of which: Volatility and maturity adjustments
- C0150Fully adjusted exposure value (E*)
- C016010%
- C017020%
- C017140%
- C018050%
- C0190100%
- C0200Exposure value
- C0220Risk-weighted exposure amount
- C0230Of which: with a credit assessment by a nominated ECAI
- C0235Of which: where a credit assessment by a nominated ECAI is not available
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: 0023} = sum({t: OF07.00.01.01, r: 0024; 0025; 0026})Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, c:0010;0030;0035;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0171;0180;0190;0200;0220;0230;0235,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 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
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): a value must not be less than another (boe_b0962)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA): two values must match (boe_b0967)
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Mandate-based approach (boe_b1002)Blocking
- Original exposure pre conversion factors consistency check for CIUs exposures subject to Fall-back approach (boe_b1003)Blocking
- Exposure value cross-template consistency for CIUs exposures subject to Fall-back approach (boe_b1004)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.