The rule in plain words
This sum is to derive Total Credit Risk RWAs under all approaches
In column "All approaches" (0010) of Own funds requirements (CA2) (OF02.00.01.01): "Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries" (row 0040) must equal the sum of "Standardised Approach (SA)" (row 0050), "Internal ratings based Approach (IRB)" (row 0240), "Risk exposure amount for contributions to the default fund of a CCP" (row 0460) and "Securitisation positions" (row 0470).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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
Credit risk: securitisations (CR SEC) (C13.01.01.01)
Row
- R0010Total exposures
Column
- C0920Total risk-weighted exposure amount
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
Column
- C0010All approaches
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: 0010} = sum({t: OF02.00.01.01, r: 0050; 0240; 0460; 0470, c: 0010})Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- 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 represents Total Market Risk RWAs under all approaches (boe_b1091)
- 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.