The rule in plain words
The own funds requirement calculated for equity investment in funds
In Market risk: ASA equity investment in funds (AS10 FUND) (OF91.10.01.01): every value in 16 rows (listed below) in column "Own funds requirements" (column 0010) must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark OF91.10.01 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Market risk: ASA equity investment in funds (AS10 FUND) (OF91.10.01.01)
Rows
- R0010Total own funds requirements
- R0020Sensitivity-based method (SBM)
- R0030Of which: General Interest Rate Risk
- R0040Of which: Credit spread risk for non-securitisations (CSR)
- R0050Of which: Equity risk
- R0060Of which: Commodity risk
- R0070Of which: Foreign exchange risk
- R0080Default risk capital (DRC)
- R0090Third-party risk weighted approach for CIUs
- R0100Sensitivity-based method (SBM)
- R0110Of which: General Interest Rate Risk
- R0120Of which: Credit spread risk for non-securitisations (CSR)
- R0130Of which: Equity risk
- R0140Of which: Commodity risk
- R0150Of which: Foreign exchange risk
- R0160Default risk capital (DRC)
Column
- C0010Own funds requirements
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 blocking check.
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: OF91.10.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160, c: 0010} >= 0Other rules on Market risk: ASA equity investment in funds (AS10 FUND) (OF91.10.01.01)
Every PRA banking rule on OF91.10.01.01
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.