The rule in plain words
In row "Equities in trading book" (0010) of Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01): "Own funds requirements" (column 0060) multiplied by 12.5 must equal "Total risk exposure amount" (column 0070).
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF21.00.01 as reported.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Row
- R0550Equity
Column
- C0010All approaches
Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01)
Row
- R0010Equities in trading book
Columns
- C0060Own funds requirements
- C0070Total risk exposure amount
Sheets
- S0001Total
- S0004Bulgaria
- S0006Czech Republic
- S0007Denmark
- S0013Hungary
- S0021Poland
- S0023Romania
- S0027Sweden
- S0028United Kingdom
- S0029Albania
- S0030Japan
- S0031Macedonia
- S0032Russian Federation
- S0033Serbia
- S0034Switzerland
- S0035Turkey
- S0036Ukraine
- S0037USA
- S0038Norway
- S0039Egypt
- S0040Iceland
- S0041Liechtenstein
- S0042Other
- S0043Croatia
- S0044Euro Area
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 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:
v0619_m: [OF21.00.01.01 (All sheets)] {r0010, c0060} * 12.5 = {r0010, c0070}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF21.00.01.01, r: 0010, c: 0060} * 12.5 = {t: OF21.00.01.01, r: 0010, c: 0070}Where it applies, in the Bank's words (its scope):
scope({t: OF21.00.01.01, z:0001;0004;0006;0007;0013;0021;0023;0027;0028;0029;0030;0031;0032;0033;0034;0035;0036;0037;0038;0039;0040;0041;0042;0043;0044, f: banking, fv: banking_reporting})Other rules on Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01)
- "Positions subject to capital charge" multiplied by 0.08 must equal "Own funds requirements" (v0621_m)Blocking
- Market risk: standardised approach for position risk in equities (MKR SA EQU): a total must equal the sum of its parts (v0622_m)Blocking
- "Positions subject to capital charge" multiplied by 0.08 must equal "Own funds requirements" (v0623_m)Blocking
- Market risk: standardised approach for position risk in equities (MKR SA EQU): values must agree (boe_b0825)Blocking
- "General risk" must not be less than the sum of "Derivatives" and "Other assets and liabilities" (v0055_h)Blocking
- Market risk: standardised approach for position risk in equities (MKR SA EQU): a total must equal the sum of its parts (v0004_h)Blocking
- Every value in "Equities in trading book" in column "Total risk exposure amount" on 25 sheets must be zero or more (v3778_s)Blocking
- Every value in 9 rows in column "Own funds requirements" on 25 sheets must be zero or more (v3779_s)Blocking
Every PRA banking rule on OF21.00.01.01
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.