The rule in plain words
This represents Own Funds requirements for equity instruments in the trading book for the 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 risk in equities (MKR SA EQU) (OF21.00.01.01): "Equities in trading book" (row 0010) must equal 3.5 multiplied by the sum of "General risk" (row 0020), "Specific risk" (row 0050) and "Additional requirements for options (non-delta risks)" (row 0090).
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 OF21.00.01 as reported.
The cells it reads
Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01)
Rows
- R0010Equities in trading book
- R0020General risk
- R0050Specific risk
- R0090Additional requirements for options (non-delta risks)
Column
- C0060Own funds requirements
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 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: OF21.00.01.01, r: 0010, c: 0060} = 3.5 * sum({t: OF21.00.01.01, r: 0020; 0050; 0090, c: 0060})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" (v0623_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" (v0621_m)Blocking
- "Own funds requirements" multiplied by 12.5 must equal "Total risk exposure amount" (v0619_m)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.