The rule in plain words
Total Collective investment undertakings (CIUs) should be the sum of Look-through, Mandate-based and Fall-back approach
In each of 10 columns (listed below) of Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01): "Collective investments undertakings (CIU)" (row 0140) must equal the sum of "Look-through approach" (row 0141), "Mandate-based approach" (row 0142) and "Fall-back approach" (row 0143).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF09.01.01 as reported.
- 06This 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
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Rows
- R0140Collective investments undertakings (CIU)
- R0141Look-through approach
- R0142Mandate-based approach
- R0143Fall-back approach
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
- C0040Observed new defaults for the period
- C0050General credit risk adjustments
- C0055Specific credit risk adjustments
- C0060Write offs
- C0061Additional value adjustments and other own funds reductions
- C0070Credit risk adjustments/write-offs for observed new defaults
- C0075Exposure value
- C0090Risk-weighted exposure amount
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Rows
- R0140Collective investments undertakings (CIU)
- R0141Look-through approach
- R0142Mandate-based approach
- R0143Fall-back approach
Columns
- C0010Original exposure pre conversion factors
- C0020Defaulted exposures
- C0040Observed new defaults for the period
- C0050General credit risk adjustments
- C0055Specific credit risk adjustments
- C0060Write offs
- C0061Additional value adjustments and other own funds reductions
- C0070Credit risk adjustments/write-offs for observed new defaults
- C0075Exposure value
- C0090Risk-weighted exposure amount
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} = sum({t: OF09.01.01.01, r: 0141; 0142; 0143})Where it applies, in the Bank's words (its scope):
scope({t: OF09.01.01.01, c:0010;0020;0040;0050;0055;0060;0061;0070;0075;0090, f: banking, fv: banking_reporting})Other rules on Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
- Total exposures row 0170 should be the sum of all aggregate exposure class rows (boe_b0730)Blocking
- Total exposures row 0170 should be the sum of all aggregate exposure class rows (boe_b0729)Blocking
- Check that reported values are positive numbers or zero (boe_b0674)Blocking
- R0094 should be less than or equal to r0090 as it's an 'of which' row (boe_b0611)Blocking
- R0093 should be less than or equal to r0090 as it's an 'of which' row (boe_b0610)Blocking
- R0092 should be less than or equal to r0090 as it's an 'of which' row (boe_b0609)Blocking
- R0091 should be less than or equal to r0090 as it's an 'of which' row (boe_b0608)Blocking
- R0085 should be less than or equal to r0080 as it's an 'of which' row (boe_b0607)Blocking
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.