The rule in plain words
Deriving total risk exposure from own funds requirements
In row "Total Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)" (0010) of Market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) (OF91.03.01.01): "Total risk exposure amount" (column 0170) must equal "Own funds requirements" (column 0160) multiplied by 12.5.
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 OF91.03.01 as reported.
The cells it reads
Market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) (OF91.03.01.01)
Row
- R0010Total Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)
Columns
- C0160Own funds requirements
- C0170Total risk 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: OF91.03.01.01, r: 0010, c: 0170} = {t: OF91.03.01.01, r: 0010, c: 0160} * 12.5Other rules on Market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) (OF91.03.01.01)
- Total net sensitivites of ACTP CSR (boe_b0588)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0589)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0591)Blocking
- Total negative unweighted delta senitivities of ACTP CSR (boe_b0415)Blocking
- Total positive unweighted delta senitivities of ACTP CSR (boe_b0414)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0680)Blocking
- Market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP): values must agree (boe_b0933)
Every PRA banking rule on OF91.03.01.01
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