The rule in plain words
r0015 must be populated only in the sheets 0001, 0012, 0015, 0016
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02): "of which: Defaulted exposures" in column "Of which: Arising from Counterparty Credit Risk" (row 0015, column 0210) on 12 sheets must be left empty.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Remove the value from this cell where the rule applies. A 0 is a value too, so leave the cell out of the return altogether.
- 03It runs only when your filing indicators mark OF07.00.01 as reported.
- 04This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
Row
- R0015of which: Defaulted exposures
Column
- C0210Of which: Arising from Counterparty Credit Risk
Sheets
- 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
- S0013Eligible covered bonds
- 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 warning.
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}.
isNull({t: OF07.00.01.02, r: 0015, c: 0210, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0010; 0011; 0013; 0017})Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk (OF07.00.01.02)
- Defaulted exposures shouldn't exceed TOTAL Exposures (boe_b1070)Blocking
- Total regulatory commercial real estate exposures should be the sum of its components (boe_b0732_1)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) - Of which: Arising from Counterparty Credit Risk: a total must equal the sum of its parts (boe_b0722_1)Blocking
- Row 0350 should be the sum of the rows 0351 + 0352 + 0353 + 0354 (boe_b0698_22)Blocking
- Check that reported values are positive numbers or zero (boe_b0672)Blocking
- Exposures of which: arising from counterparty credit risk should not exceed total exposure value (boe_b0602)
- Check that total exposures (row 0010) is greater than or equal to the row 'of which: SME' (0020) for the columns stated (boe_b0601)Blocking
- Check that total exposures (row 0010) is more than or equal to the sum of rows 0050 and 0060 for the columns stated (boe_b0598)Blocking
Every PRA banking rule on OF07.00.01.02
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.