The rule in plain words
Of which items shall be less than or equal to row 0710
In column "All approaches" (0010) of Own funds requirements (CA2) (OF02.00.01.01): "Of which: Additional stricter prudential requirements based on Article 458" (row 0710) must not be less than the sum of "Of which: requirements for large exposures" (row 0720), "Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property" (row 0730) and "Of which: due to intra financial sector exposures" (row 0740).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF02.00.01 as reported.
- 05This 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
- R0710Of which: Additional stricter prudential requirements based on Article 458
- R0720Of which: requirements for large exposures
- R0730Of which: due to modified risk weights for targeting asset bubbles in the residential and commercial property
- R0740Of which: due to intra financial sector exposures
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: 0710, c: 0010} >= {t: OF02.00.01.01, r: 0720, c: 0010} + {t: OF02.00.01.01, r: 0730, c: 0010} + {t: OF02.00.01.01, r: 0740, c: 0010}Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Own funds requirements (CA2): of which items shall be less than or equal to row 0710 under standardised approaches (boe_b2218)
- Consistency check for Corporates (Specialised Lending) Risk-weighted exposures under non-modelled approaches across OF02 and OF08.01 (boe_b2290)
- Own funds requirements (CA2): this sum is to derive Total Credit Risk RWAs under all approaches (boe_b1093)Blocking
- 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
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.