The rule in plain words
This represents Own Funds requirements for traded debt instruments in trading book for relevant position risk calculated in accordance with Part Three Title IV Chapter 2 of the MARKET RISK: SIMPLIFIED STANDARDISED APPROACH (CRR) Part of PRA Rulebook
In column "Own funds requirements" (0060) of Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01): "Traded debt instruments in trading book" (row 0010) must equal 1.3 multiplied by the sum of "General risk" (row 0011), "Specific risk" (row 0250) and "Additional requirements for options (non-delta risks)" (row 0350).
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.
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 OF18.00.01 as reported.
The cells it reads
Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
Rows
- R0010Traded debt instruments in trading book
- R0011General risk
- R0250Specific risk
- R0350Additional requirements for options (non-delta risks)
Column
- C0060Own funds requirements
Sheets
- S0001Total
- S0002Euro
- S0003Lek
- S0004Bulgarian Lev
- S0005Czech Koruna
- S0006Danish Krone
- S0007Pound Sterling
- S0008Forint
- S0009Yen
- S0012Denar
- S0013Zloty
- S0014Romanian Leu
- S0015Russian Ruble
- S0016Serbian Dinar
- S0017Swedish Krona
- S0018Swiss Franc
- S0019Turkish Lira
- S0020Hryvnia
- S0021US Dollar
- S0022Iceland Krona
- S0023Norwegian Krone
- S0024Egyptian Pound
- S0025Other
- S0026Croatian Kuna
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: OF18.00.01.01, r: 0010, c: 0060} = 1.3 * sum({t: OF18.00.01.01, r: 0011; 0250; 0350, c: 0060})Where it applies, in the Bank's words (its scope):
scope({t: OF18.00.01.01, z:0001;0002;0003;0004;0005;0006;0007;0008;0009;0012;0013;0014;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024;0025;0026, f: banking, fv: banking_reporting})Other rules on Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
- "Positions subject to capital charge" multiplied by 0.12 must equal "Own funds requirements" (v0579_m)
- "Positions subject to capital charge" multiplied by 0.08 must equal "Own funds requirements" (v0578_m)
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a total must equal the sum of its parts (v0574_m)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a total must equal the sum of its parts (v0572_m)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a total must equal the sum of its parts (v0571_m)Blocking
- "Own funds requirements" multiplied by 12.5 must equal "Total risk exposure amount" (v0569_m)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a total must equal the sum of its parts (v0006_h)Blocking
- "General risk" must equal the sum of "Duration-based approach" and "Maturity-based approach" (v0002_h)Blocking
Every PRA banking rule on OF18.00.01.01
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.