The rule in plain words
EXPOSURE VALUE cross-template consistency for CIUs exposures subject to Fall-back approach
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: to SMEs" (row 0343) must not be less than "of which: not materially dependent on the cash flows generated by the property" (row 0341).
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
- R0341of which: not materially dependent on the cash flows generated by the property
- R0343of which: to SMEs
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)
- 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
- R0341of which: not materially dependent on the cash flows generated by the property
- R0343of which: to SMEs
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)
- 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), step-in risk (PRA115) 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), own funds (PRA001) and step-in risk (PRA115) 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: 0343} >= {t: OF07.00.01.01, r: 0341}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;0002;0003;0004;0005;0006;0007;0008;0009;0010;0011;0012;0013;0015;0016;0017, f: banking, fv: banking_reporting})The same code in the step-in risk (PRA115) return: another check
The Bank of England uses boe_b1004 for a different check in the step-in risk (PRA115) return. There it is a blocking check on detailed reporting of material step-in entities (SI2) (SI02.00.01.01).
At least one description of the nature of relationship must be completed in the relevant column 0130 to 0160 and it is expected that column 0020 is always reported
In Detailed reporting of material step-in entities (SI2) (SI02.00.01.01): at least 1 values must be reported in "Sponsor" (column 0130), "Debt investor" (column 0140), "Equity investor" (column 0150) and "Other contractual/ non-contractual relationship" (column 0160), and exactly 1 values must be reported in "Type of Code" (column 0020).
Detailed reporting of material step-in entities (SI2) (SI02.00.01.01)
Columns
- C0020Type of Code
- C0130Sponsor
- C0140Debt investor
- C0150Equity investor
- C0160Other contractual/ non-contractual relationship
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}.
Count({t: SI02.00.01.01, c: 0130; 0140; 0150; 0160}) >= 1 and Count({t: SI02.00.01.01, c: 0020})=1Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01)
- Original exposure pre conversion factors consistency check for CIUs exposures subject to Fall-back approach (boe_b1003)Blocking
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Fall-back approach (boe_b1005)Blocking
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Mandate-based approach (boe_b1002)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_b1007)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_b1008)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_b1009)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_b1010)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_b1011)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.