The rule in plain words
If total RWA using standardised approaches, including the multiplier, is larger than or equal to total RWA using all approaches, the output floor is met.
In Own funds requirements (CA2) (OF02.00.01.01): if "Total risk exposure amount" in column "Output Floor" (row 0010, column 0030) is reported, if "Total risk exposure amount" in column "Output Floor" (row 0010, column 0030) is not less than "Total risk exposure amount" in column "All approaches" (row 0010, column 0010), "Output floor activated" in column "Output Floor" (row 0034, column 0030) must equal true; otherwise "Output floor activated" in column "Output Floor" (row 0034, column 0030) must equal false.
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 check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 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 OF02.00.01 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
Own funds requirements (CA2) (OF02.00.01.01)
Rows
- R0010Total risk exposure amount
- R0034Output floor activated
Columns
- C0010All approaches
- C0030Output Floor
Output floor - Total RWA (OFL) (OF02.01.01.03)
Row
- R0080Total
Column
- C0030Total RWA (U-TREA)
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to 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}.
if not(isNull({t: OF02.00.01.01, r: 0010, c: 0030})) then (if ({t: OF02.00.01.01, r: 0010, c: 0030} >= {t: OF02.00.01.01, r: 0010, c: 0010}) then ({t: OF02.00.01.01, r: 0034, c: 0030} = true()) else {t: OF02.00.01.01, r: 0034, c: 0030} = false()) else true()Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Own funds requirements (CA2): output Floor multiplier should be limited to 55, 60, 65, 70, 72.5 (boe_b0359)Blocking
- Own funds requirements (CA2): a conditional check (boe_b0560)Blocking
- Own funds requirements (CA2): a conditional check (boe_b0561)Blocking
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0563)Blocking
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0564)Blocking
- Own funds requirements (CA2): a conditional check (boe_b0565)
- Aggregates provided in OF02.01 and OF02.00 should be consistent (boe_b0615)
- Own funds requirements (CA2): total RWEA should be the same for the relevant exposure class across the templates (boe_b0616)Blocking
Every PRA banking rule on OF02.00.01.01
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.