The rule in plain words
This sum represents the calculation for Total Risk exposure amount under all approaches
In column "All approaches" (0010) of Own funds requirements (CA2) (OF02.00.01.01): "Total risk exposure amount" (row 0010) must equal the sum of 9 rows (listed below).
What to do if your return fails it
- 01Open the table 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 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
- R0040Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries
- R0490Total risk exposure amount for settlement/delivery
- R0520Total risk exposure amount for position, foreign exchange and commodities risks
- R0590Total risk exposure amount for operational risk (OpR)
- R0630Additional risk exposure amount due to fixed overheads
- R0640Total risk exposure amount for credit valuation adjustment
- R0680Total risk exposure amount related to large exposures in the trading book
- R0690Other risk exposure amounts
- R5898Total risk exposure amount for capital charge due to switching positions between trading and non-trading book
Column
- C0010All approaches
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: OF02.00.01.01, r: 0010, c: 0010} = sum({t: OF02.00.01.01, r: 0040; 0490; 0520; 0590; 0630; 0640; 0680; 0690; 5898, c: 0010})Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Own funds requirements (CA2): this sum represents Total Market Risk RWAs under all approaches (boe_b1091)
- Own funds requirements (CA2): this sum is to derive Total Credit Risk RWAs under all approaches (boe_b1093)Blocking
- Total CVA Risk Exposure Amount under standardised approaches is the sum of CVA risk exposure amounts calculated using each CVA risk approach (boe_b1076)
- Total CVA Risk Exposure Amount under all approaches is the sum of CVA risk exposure amounts calculated using each CVA risk approach (boe_b1075)
- Own funds requirements (CA2): these items must be completed if the output floor is reported (boe_b0957)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.