The rule in plain words
Since row 0025 is a subset of row 0023 and the columns 0030, 0035, 0050, 0060, 0070, 0080, 0090, 0130, 0140 are negatives, then row 0025 should be less negative (i.e. larger than or equal to) row 0023 for the total exposure input (higher negative)
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01): "of which: Defaulted exposures" in column "Original exposure pre conversion factors" (row 0015, column 0010) on sheet "Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)" (sheet 0015) must equal "Collective investments undertakings (CIU)" in column "Defaulted exposures" (row 0140, column 0020) (where country where the exposure is generated is "All countries") in Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01).
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.
- 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
- R0015of which: Defaulted 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
- 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
- R0015of which: Defaulted 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
- 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: 0015, c: 0010, z: 0015} = {t: OF09.01.01.01, r: 0140, c: 0020, filter: [eba_dim:CEG] = [eba_GA:x1]}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_b0962)Blocking
- Row 0344 is an of which of row 0342 therefore should be less than or equal to it (boe_b0961)Blocking
- Row 0343 is an of which of row 0341 therefore should be less than or equal to it (boe_b0960)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_b0959)Blocking
- Defaulted exposures shouldn't exceed TOTAL Exposures (boe_b0958)Blocking
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Mandate-based approach (boe_b1002)Blocking
- Original exposure pre conversion factors consistency check for CIUs exposures subject to Fall-back approach (boe_b1003)Blocking
- Exposure value cross-template consistency for CIUs exposures subject to Fall-back approach (boe_b1004)Blocking
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.