The rule in plain words
ORIGINAL EXPOSURE PRE CONVERSION FACTORS consistency check for TOTAL CIUs
In Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01): "Collective investments undertakings (CIU)" in column "Original exposure pre conversion factors" (row 0140, column 0010) (where country where the exposure is generated is "All countries") must equal "Total exposures" in column "Original exposure pre conversion factors" (row 0010, column 0010) on sheet "Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)" (sheet 0015) in Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02The two values must be the same. Find which of the two is right, and correct the other one.
- 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 and OF09.01.01 as reported.
- 05This 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) (OF07.00.01.01)
Row
- R0010Total exposures
Column
- C0010Original exposure pre conversion factors
Sheet
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Row
- R0140Collective investments undertakings (CIU)
Column
- C0010Original exposure pre conversion factors
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R0010Total exposures
Column
- C0010Original exposure pre conversion factors
Sheet
- S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Row
- R0140Collective investments undertakings (CIU)
Column
- C0010Original exposure pre conversion factors
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 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}.
{t: OF09.01.01.01, r: 0140, c: 0010, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF07.00.01.01, r: 0010, c: 0010, z: 0015}Other rules on Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
- Exposure value cross-template consistency for total CIUs (boe_b0250)
- Risk-weighted exposure amount cross-template consistency for total CIUs (boe_b0251)
- Original exposure pre conversion factors consistency checks for Subordinated debt, equity and other own funds instruments (TOTAL) s0016 (boe_b0252)
- Risk-weighted exposure amount cross-template consistency for Eligible Covered bonds (boe_b0245)
- Exposure value cross-template consistency for Subordinated debt, equity and other own funds instruments (TOTAL) (boe_b0253)
- Exposure value cross-template consistency for Eligible Covered bonds (boe_b0244)
- Risk-weighted exposure amount cross-template consistency for Subordinated debt, equity and other own funds instruments (TOTAL) (boe_b0254)
- Original exposure pre conversion factors consistency check for Eligible Covered bonds (boe_b0243)
Every PRA banking rule on OF09.01.01.01
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.