The rule in plain words
The three 'of which' rows r0024, r0025 and r0026 should add up to the total row r0023, because project finance exposures shall be classified as either pre-operational phase, operational phase, or high quality operational phase
In each of 9 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: Defaulted exposures" (row 0015) must not be less than "Total exposures" (row 0010).
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.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 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
- R0015of which: Defaulted exposures
Columns
- C0030(-) Value adjustments and provisions associated with the original exposure
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0050(-) Guarantees
- C0060(-) Credit derivatives
- C0070(-) Financial collateral: simple method
- C0080(-) Other funded credit protection
- C0090(-) Total Outflows
- C0130(-) Financial collateral: adjusted value (Cvam)
- C0140(-) of which: Volatility and maturity adjustments
Sheets
- S0001Total (SA exposures)
- S0012Exposures associated with particularly high risk
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
- S0016Subordinated debt, equity and other own funds instruments
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
- R0015of which: Defaulted exposures
Columns
- C0030(-) Value adjustments and provisions associated with the original exposure
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0050(-) Guarantees
- C0060(-) Credit derivatives
- C0070(-) Financial collateral: simple method
- C0080(-) Other funded credit protection
- C0090(-) Total Outflows
- C0130(-) Financial collateral: adjusted value (Cvam)
- C0140(-) of which: Volatility and maturity adjustments
Sheets
- S0001Total (SA exposures)
- S0012Exposures associated with particularly high risk
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
- S0016Subordinated debt, equity and other own funds instruments
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: 0015} >= {t: OF07.00.01.01, r: 0010}Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, c:0030;0035;0050;0060;0070;0080;0090;0130;0140,z:0001;0012;0015;0016, 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)
- Defaulted exposures shouldn't exceed TOTAL Exposures (boe_b0958)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.