The rule in plain words
At the individual entity level, the total own funds requirement for equity risk is determined as the highest of the own funds requirements under the low, medium and high-correlation scenarios. At the consolidated and partially consolidated levels, the total own funds requirement for equity risk is determined as the sum of the risk class specific own funds requirements calculated at the individual entity level, taking into account any netting permitted under Article 325b permission
In row "Total Equity risk (EQU)" (0010) of Market risk: ASA equity risk (AS5 EQ) (OF91.05.01.01): "Own funds requirements" (column 0160) must equal the largest of "Total" (column 0070), "Total" (column 0110) and "Total" (column 0150).
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.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark OF91.05.01 as reported.
The cells it reads
Market risk: ASA equity risk (AS5 EQ) (OF91.05.01.01)
Row
- R0010Total Equity risk (EQU)
Columns
- C0070Total
- C0110Total
- C0150Total
- C0160Own 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 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: OF91.05.01.01, r: 0010, c: 0160} = max({t: OF91.05.01.01, r: 0010, c: 0070}, {t: OF91.05.01.01, r: 0010, c: 0110}, {t: OF91.05.01.01, r: 0010, c: 0150})Other rules on Market risk: ASA equity risk (AS5 EQ) (OF91.05.01.01)
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0695)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0693)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0692)Blocking
- Market risk: ASA equity risk (AS5 EQ): total net sensitivites of equity risk (boe_b0691)Blocking
- Market risk: ASA equity risk (AS5 EQ): deriving total risk exposure from own funds requirements (boe_b0545)Blocking
- Market risk: ASA equity risk (AS5 EQ): total negative unweighted delta senitivities of equity risk (boe_b0420)Blocking
- Market risk: ASA equity risk (AS5 EQ): total positive unweighted delta senitivities of equity risk (boe_b0419)Blocking
Every PRA banking rule on OF91.05.01.01
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.