The rule in plain words
Column 0220 risk-weighted exposure amount (exposure value * risk weight i.e. 2% in the case of 0150) should equal or exceed exposure value in column 0200 multiplied by 2% risk weight
In row "2%" (0150) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "Risk-weighted exposure amount" (column 0220) must not be less than "Exposure value" (column 0200) multiplied by 0.02.
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)
Row
- R01502%
Columns
- C0200Exposure value
- C0220Risk-weighted exposure amount
Sheets
- S0001Total (SA exposures)
- S0009Retail
- S0010Real estate exposures
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R01502%
Columns
- C0200Exposure value
- C0220Risk-weighted exposure amount
Sheets
- S0001Total (SA exposures)
- S0009Retail
- S0010Real estate exposures
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. It is blocking for PRA116 and PRA001, and a warning for PRA115.
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: 0150, c: 0220} >= {t: OF07.00.01.01, r: 0150, c: 0200} * 0.02Where it applies, in the Bank's words (its scope):
scope({t: OF07.00.01.01, z:0001;0009;0010, f: banking, fv: banking_reporting})The same code in the step-in risk (PRA115) return: another check
The Bank of England uses boe_b1007 for a different check in the step-in risk (PRA115) return. There it is a warning on identification of step-in entities (SI1) (SI01.00.01.01).
Typical contractual exposure must be smaller than total assets.
In Identification of step-in entities (SI1) (SI01.00.01.01): "Total asset size of entity" (column 0050) must be more than "Typical contractual exposure to the entity" (column 0060).
Identification of step-in entities (SI1) (SI01.00.01.01)
Columns
- C0050Total asset size of entity
- C0060Typical contractual exposure to the entity
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: SI01.00.01.01, c: 0050} > {t: SI01.00.01.01, c: 0060}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_b1008)Blocking
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Fall-back approach (boe_b1005)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
- Exposure value cross-template consistency for CIUs exposures subject to Fall-back approach (boe_b1004)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
- Original exposure pre conversion factors consistency check for CIUs exposures subject to Fall-back approach (boe_b1003)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
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Mandate-based approach (boe_b1002)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.