The rule in plain words
In column "Total risk exposure amount" (0070) of Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01): "Equities in trading book" (row 0010) on sheet "Total" (sheet 0001) must equal the sum of 24 cells (listed below).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 OF21.00.01 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
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
Column
- C0070Total risk exposure amount
Sheets
- 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:
[v5848_h];[{t: OF21.00.01.01, r: 0010, c: 0070, z: 0001} = {t: OF21.00.01.01, r: 0010, c: 0070, z: 0004} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0006} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0007} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0013} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0021} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0023} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0027} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0028} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0029} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0030} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0031} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0032} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0033} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0034} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0035} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0036} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0037} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0038} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0039} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0040} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0041} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0042} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0043} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0044}]
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: 0070, z: 0001} = {t: OF21.00.01.01, r: 0010, c: 0070, z: 0004} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0006} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0007} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0013} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0021} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0023} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0027} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0028} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0029} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0030} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0031} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0032} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0033} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0034} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0035} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0036} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0037} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0038} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0039} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0040} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0041} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0042} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0043} + {t: OF21.00.01.01, r: 0010, c: 0070, z: 0044}Other rules on Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01)
- "Own funds requirements" on sheet "Total" must equal the sum of 24 cells (v5849_h)Blocking
- The cells it covers on sheet "Total" must equal the sum of 24 cells (v5850_h)Blocking
- The cells it covers on sheet "Total" must equal the sum of 24 cells (v5851_h)Blocking
- "Positions subject to capital charge" on sheet "Total" must equal the sum of 24 cells (v5852_h)Blocking
- "Equities in trading book" on sheet "Total" must equal the sum of "Equities in trading book" on 24 sheets (v6020_m)Blocking
- Every value in "General risk" and "Specific risk" in column "Positions subject to capital charge" on 25 sheets must be zero or more (v3782_s)Blocking
- Market risk: standardised approach for position risk in equities (MKR SA EQU): a value must not be negative (v3781_s)Blocking
- Every value in 6 rows in "Long" and "Short" on 25 sheets must be zero or more (v3780_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.