The rule in plain words
These items must be completed if the output floor is reported
In column "Output Floor" (0030) of Own funds requirements (CA2) (OF02.00.01.01): if "Total risk exposure amount" (row 0010) is reported, "Output floor activated" (row 0034) must be reported, and "Output floor multiplier" (row 0035) must be reported, and "Output floor adjustment (OF-ADJ)" (row 0036) must be reported.
What to do if your return fails it
- 01Open the table 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.
- 03It runs only when your filing indicators mark OF02.00.01 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
Own funds requirements (CA2) (OF02.00.01.01)
Rows
- R0010Total risk exposure amount
- R0034Output floor activated
- R0035Output floor multiplier
- R0036Output floor adjustment (OF-ADJ)
Column
- C0030Output Floor
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}.
if (not(isNull({t: OF02.00.01.01, r: 0010, c: 0030}))) then (not(isNull({t: OF02.00.01.01, r: 0034, c: 0030})) and not(isNull({t: OF02.00.01.01, r: 0035, c: 0030})) and not(isNull({t: OF02.00.01.01, r: 0036, c: 0030}))) else (true())Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Total CVA Risk Exposure Amount under all approaches is the sum of CVA risk exposure amounts calculated using each CVA risk approach (boe_b1075)
- Total CVA Risk Exposure Amount under standardised approaches is the sum of CVA risk exposure amounts calculated using each CVA risk approach (boe_b1076)
- Own funds requirements (CA2): this sum represents Total Market Risk RWAs under all approaches (boe_b1091)
- Own funds requirements (CA2): this sum represents the calculation for Total Risk exposure amount under all approaches (boe_b1092)
- Own funds requirements (CA2): this sum is to derive Total Credit Risk RWAs under all approaches (boe_b1093)Blocking
- Total credit risk RWAs under standardised approaches should reflect the sum of SA on the SA, and IRB exposures on the SA (boe_b0793)Blocking
- Own funds requirements (CA2): a conditional check (boe_b0792)Blocking
- This is the Own Funds amount calculated by using as variable parameters c0010 or alternatively c0030 if c0030 is greater than c0010 (boe_b0791)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.