The rule in plain words
Total amount for exposures in default in OF07.00 should equal the total exposures in default in OF09.01 less subordinated debt, equity and other capital instrument exposure in default, items associated with particularly high risk exposures in default, and exposures in the form of units or shares in collective investment undertakings in default, in accordance with exposure class hierarchy in Article 112
In Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01): "Total exposures" in column "Original exposure pre conversion factors" (row 0010, column 0010) on sheet "Exposures in default" (sheet 0011) in Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01) must equal "Total exposures" in column "Defaulted exposures" (row 0170, column 0020) (where country where the exposure is generated is "All countries") minus "Exposures associated with particularly high risk" in column "Defaulted exposures" (row 0110, column 0020) (where country where the exposure is generated is "All countries") minus "Subordinated debt, equity and other own funds instruments" in column "Defaulted exposures" (row 0150, column 0020) (where country where the exposure is generated is "All countries") minus "Collective investments undertakings (CIU)" in column "Defaulted exposures" (row 0140, column 0020) (where country where the exposure is generated is "All countries").
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.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark OF07.00.01 and OF09.01.01 as reported.
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
- S0011Exposures in default
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Rows
- R0100Exposures in default
- R0110Exposures associated with particularly high risk
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0170Total exposures
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
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
- S0011Exposures in default
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Rows
- R0100Exposures in default
- R0110Exposures associated with particularly high risk
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0170Total exposures
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
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: OF07.00.01.01, r: 0010, c: 0010, z: 0011} = {t: OF09.01.01.01, r: 0170, c: 0020, filter: [eba_dim:CEG] = [eba_GA:x1]} - {t: OF09.01.01.01, r: 0110, c: 0020, filter: [eba_dim:CEG] = [eba_GA:x1]} - {t: OF09.01.01.01, r: 0150, c: 0020, filter: [eba_dim:CEG] = [eba_GA:x1]} - {t: OF09.01.01.01, r: 0140, c: 0020, filter: [eba_dim:CEG] = [eba_GA:x1]}Other rules on Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
- Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1): a conditional check (boe_b0262)Blocking
- Risk-weighted exposure amount for total exposures should be consistent across templates (boe_b0260)
- Exposure value for total exposures should be consistent across templates (boe_b0259)
- Original exposure pre conversion factors for total exposures should be consistent across templates (boe_b0258)
- Risk-weighted exposure amount for other items (TOTAL) should be consistent across templates (boe_b0257)
- Exposure value for other items (TOTAL) should be consistent across templates (boe_b0256)
- Original exposure pre conversion factors for other items (TOTAL) should be consistent across templates (boe_b0255)
- Risk-weighted exposure amount cross-template consistency for Subordinated debt, equity and other own funds instruments (TOTAL) (boe_b0254)
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.