The rule in plain words
In each of 9 columns (listed below) of Own funds requirements (CA2) (CP02.00.05.01): "Other risk exposure amounts" (row 0690) must not be less than the sum of "Of which: Additional stricter prudential requirements based on Art 458" (row 0710), "Of which: Additional stricter prudential requirements based on Art 459" (row 0750) and "Of which: Additional risk exposure amount due to Article 3 CRR" (row 0760).
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.
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 CP02.00.05 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) (CP02.00.05.01)
Rows
- R0690Other risk exposure amounts
- R0710Of which: Additional stricter prudential requirements based on Art 458
- R0750Of which: Additional stricter prudential requirements based on Art 459
- R0760Of which: Additional risk exposure amount due to Article 3 CRR
Columns
- C0020Q1
- C0030Q2
- C0040Q3
- C0050Q4
- C0060Q5
- C0070Q6
- C0080Q7
- C0090Q8
- C0100Year-end following Q8
Which returns it applies to
Line4 Check runs it on the capital+ forecast semi annual (PRA113) and capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) and capital+ forecast semi annual (PRA113) returns, as a warning.
The Bank’s own words and formula
The plain words above spell out the Bank’s formula, with each cell named from its templates. In the Bank of England’s list of validations, word for word:
[v0216-2_m];[scope({t: CP02.00.05.01, c:0020;0030;0040;0050;0060;0070;0080;0090;0100})];[{t: CP02.00.05.01, r: 0690} >= {t: CP02.00.05.01, r: 0710} + {t: CP02.00.05.01, r: 0750} + {t: CP02.00.05.01, r: 0760}]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: CP02.00.05.01, r: 0690} >= {t: CP02.00.05.01, r: 0710} + {t: CP02.00.05.01, r: 0750} + {t: CP02.00.05.01, r: 0760}Where it applies, in the Bank's words (its scope):
scope({t: CP02.00.05.01, c:0020;0030;0040;0050;0060;0070;0080;0090;0100, f: banking, fv: capital_plus})The same code in the capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) return: another check
The Bank of England uses v0216-2_m for a different check in the capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) return. There it is a warning on own funds requirements for SDDTs (CA2 SDDT) (SC02.00.02.01).
In each of 5 columns (listed below) of Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.02.01): "Other risk exposure amounts" (row 0690) must not be less than the sum of "Of which: Additional stricter prudential requirements based on Art 458" (row 0710), "Of which: Additional stricter prudential requirements based on Art 459" (row 0750) and "Of which: Additional risk exposure amount due to Article 3 CRR" (row 0760).
Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.02.01)
Rows
- R0690Other risk exposure amounts
- R0710Of which: Additional stricter prudential requirements based on Art 458
- R0750Of which: Additional stricter prudential requirements based on Art 459
- R0760Of which: Additional risk exposure amount due to Article 3 CRR
Columns
- C0030Q2
- C0050Q4
- C0070Q6
- C0090Q8
- C0100Year-end following Q8
The plain words above spell out the Bank’s formula, with each cell named from its templates. In the Bank of England’s list of validations, word for word:
[v0216-2_m];[scope({t: SC02.00.02.01, c:0030;0050;0070;0090;0100})];[{t: SC02.00.02.01, r: 0690} >= sum({t: SC02.00.02.01, r: 0710; 0750; 0760})]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: SC02.00.02.01, r: 0690} >= sum({t: SC02.00.02.01, r: 0710; 0750; 0760})Where it applies, in the Bank's words (its scope):
scope({t: SC02.00.02.01, c:0030;0050;0070;0090;0100, f: banking, fv: capital_plus_sddt})Other rules on Own funds requirements (CA2) (CP02.00.05.01)
- Own funds requirements (CA2): a value must not be less than another (v0217-2_m)Blocking
- Own funds requirements (CA2): a total must equal the sum of its parts (v0205-2_m)
- Own funds requirements (CA2): "Total risk exposure amount" must equal the sum of 9 cells (v0204-2_m)Blocking
- Own funds requirements (CA2): a total must equal the sum of its parts (boe_b0754)Blocking
- "Total risk exposure amount using standardised approaches (output floor - pre-multiplier)" must equal the sum of 6 rows (boe_b1078)Blocking
- Own funds requirements (CA2): every value in the cells it covers must be zero or more (v3686-2_s)Blocking
- Own funds requirements (CA2): a total must equal the sum of its parts (v4738-2_h)Blocking
Every PRA banking rule on CP02.00.05.01
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.