The rule in plain words
Exposures in the form of units or shares in collective investment undertakings in default reported in {OF 07.00, row 0015, c0010} for the exposure class sheet should be equal to that in OF 09.01 for the defaulted exposures for exposures in the form of units or shares in collective investment undertakings (row 0110)
In Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01): "of which: specialised lending - object finance exposures" in column "Exposure value" (row 0071, column 0075) (where country where the exposure is generated is "All countries") must equal "of which: Exposures to corporates - Specialised lending - Object finance exposures" in column "Exposure value" (row 0021, column 0200) on sheet "Corporates" (sheet 0008) in Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements (CR SA) (OF07.00.01.01).
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
- R0021of which: Exposures to corporates - Specialised lending - Object finance exposures
Column
- C0200Exposure value
Sheet
- S0008Corporates
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Row
- R0071of which: specialised lending - object finance exposures
Column
- C0075Exposure value
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R0021of which: Exposures to corporates - Specialised lending - Object finance exposures
Column
- C0200Exposure value
Sheet
- S0008Corporates
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Row
- R0071of which: specialised lending - object finance exposures
Column
- C0075Exposure value
A worked example
With simple numbers.
Of which: specialised lending - object finance exposures, Exposure value must then be 1,200.
A file that reports 1,200 passes. One that reports 1,300 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
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: 0071, c: 0075, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF07.00.01.01, r: 0021, c: 0200, z: 0008}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): two values must match (boe_b0970)
- R0095 should be less than or equal to r0090 as it's an 'of which' row (boe_b0972)
- Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1): two values must match (boe_b0969)
- Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1): two values must match (boe_b0973)
- Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1): a value must not be less than another (boe_b0968)Blocking
- Exposure value cross-template consistency for Specialised lending - Object finance exposures (boe_b0974)
- Risk-weighted exposure amount cross-template consistency for Specialised lending - Object finance exposures (boe_b0975)
- Original exposure pre conversion factors cross-template consistency for specialised lending - commodities finance exposures (boe_b0976)
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.