The rule in plain words
EXPOSURE VALUE cross-template consistency for exposures subject to Look-through approach
In Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01): "Mandate-based approach" in column "Risk-weighted exposure amount" (row 0142, column 0090) (where country where the exposure is generated is "All countries") must equal "Mandate-based approach" in column "Risk-weighted exposure amount" (row 0282, column 0220) 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
- R0282Mandate-based approach
Column
- C0220Risk-weighted exposure amount
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
- R0142Mandate-based approach
Column
- C0090Risk-weighted exposure amount
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R0282Mandate-based approach
Column
- C0220Risk-weighted exposure amount
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
- R0142Mandate-based approach
Column
- 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: 0142, c: 0090, filter: [eba_dim:CEG] = [eba_GA:x1]} = {t: OF07.00.01.01, r: 0282, c: 0220, z: 0015}Other rules on Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
- Original exposure pre conversion factors consistency check for exposures subject to Look-through approach (boe_b0997)
- Risk-weighted exposure amount cross-template consistency for CIUs exposures subject to Look-through approach (boe_b0999)
- Risk-weighted exposure amount cross-template consistency for Real Estate Exposures of which SME (boe_b0996)
- Original exposure pre conversion factors consistency check for CIUs exposures subject to Mandate-based approach (boe_b1000)
- Exposure value cross-template consistency for Real Estate Exposures of which SME (boe_b0995)
- Exposure value cross-template consistency for CIUs exposures subject to Mandate-based approach (boe_b1001)
- Original exposure pre conversion factors cross-template consistency for Real Estate Exposures of which SME (boe_b0994)
- Risk-weighted exposure amount cross-template consistency for Real Estate Exposures of which: Land acquisition, development and construction (boe_b0993)
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.