The rule in plain words
Total credit risk RWAs under standardised approaches only should reflect the sum of SA on the SA, and IRB exposures on the SA
In Own funds requirements (CA2) (OF02.00.01.01): "Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries" in column "Standardised approaches only (Output Floor)" (row 0040, column 0020) must equal the sum of "Standardised Approach (SA)" in column "All approaches" (row 0050, column 0010), "Internal ratings based Approach (IRB)" in column "Standardised approaches only (Output Floor)" (row 0240, column 0020), "Risk exposure amount for contributions to the default fund of a CCP" in column "Standardised approaches only (Output Floor)" (row 0460, column 0020) and "Securitisation positions" in column "Standardised approaches only (Output Floor)" (row 0470, column 0020).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF02.00.01 as reported.
- 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Rows
- R0040Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries
- R0050Standardised Approach (SA)
- R0240Internal ratings based Approach (IRB)
- R0460Risk exposure amount for contributions to the default fund of a CCP
- R0470Securitisation positions
Columns
- C0010All approaches
- C0020Standardised approaches only (Output Floor)
Geographical breakdown of exposures by residence of the obligor: SA exposures (OF CR GB 1) (OF09.01.01.01)
Row
- R0170Total exposures
Column
- C0090Risk-weighted exposure amount
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: OF02.00.01.01, r: 0040, c: 0020} = {t: OF02.00.01.01, r: 0050, c: 0010} + {t: OF02.00.01.01, r: 0240, c: 0020} + {t: OF02.00.01.01, r: 0460, c: 0020} + {t: OF02.00.01.01, r: 0470, c: 0020}Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Own funds requirements (CA2): a conditional check (boe_b0718)Blocking
- Own funds requirements (CA2): values provided must be positive (boe_b0712)
- Totals provided in OF 02.01 and OF 02.00 should be consistent (boe_b0720)
- Own funds requirements (CA2): values provided must be positive (boe_b0706)
- Own funds requirements (CA2): non-modelled RWEA should be the same value across templates for the relevant exposure class (boe_b0654)Blocking
- Own funds requirements (CA2): non-modelled RWEA should be the same value across templates for the relevant exposure class (boe_b0653)Blocking
- Own funds requirements (CA2): non-modelled RWEA should be the same value across templates for the relevant exposure class (boe_b0652)Blocking
- Own funds requirements (CA2): non-modelled RWEA should be the same value across templates for the relevant exposure class (boe_b0651)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.