The rule in plain words
Column 0220 is for risk-weighted exposure amount (exposure value * risk weight i.e. 130% in the case of 0233 unless additional risk weight multipliers apply), row 0233 is 130% risk weight, therefore 0220 should equal or exceed c 0200 multiplied by 130%
In row "130%" (0233) 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 1.3.
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
- R0233130%
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
- R0233130%
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, 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: 0233, c: 0220} >= {t: OF07.00.01.01, r: 0233, c: 0200} * 1.3Where 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_b1029 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).
Percentages must be valid decimal values between 0 and 1
In Detailed reporting of material step-in entities (SI2) (SI02.00.01.01): every value in the cells it covers must be zero or more, and every value in the cells it covers must not be more than 1.
Detailed reporting of material step-in entities (SI2) (SI02.00.01.01)
Columns
- C0090Impact on CET1 ratio (percentage points)
- C0100Impact on leverage ratio (percentage points)
- C0110Impact on LCR (percentage points)
- C0120Impact on NSFR (percentage points)
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: SI02.00.01.01}>=0 and {t: SI02.00.01.01}<=1Where it applies, in the Bank's words (its scope):
scope({t: SI02.00.01.01, c:0090;0100;0110;0120, f: banking, fv: step-in-risk})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_b1028)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_b1030)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_b1027)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_b1031)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_b1026)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_b1032)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_b1025)Blocking
- Exposures subject to the standardised approach due to a roll-out plan shouldn't exceed total exposures (row 0010) (boe_b1033)BlockingNot run on every return
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.