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2 min readWarningBank of England banking taxonomy 4.1.1Updated 11 November 2026

Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP): a total must equal the sum of its parts (OF20.00.01.01, Bank of England check v0611_m)

A warning on the market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) template (OF20.00.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

In each of 35 columns (listed below) of Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) (OF20.00.01.01): "Total exposures" (row 0010) must equal the sum of "Originator: total exposures" (row 0020), "Investor: total exposures" (row 0050), "Sponsor: total exposures" (row 0080), "N-th to default credit derivatives" (row 0110) and "Other CTP positions" (row 0120).

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.

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02Add up the parts in your return and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark OF20.00.01 as reported.
  6. 06This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.

The cells it reads

Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) (OF20.00.01.01)

Rows

  • R0010Total exposures
  • R0020Originator: total exposures
  • R0050Investor: total exposures
  • R0080Sponsor: total exposures
  • R0110N-th to default credit derivatives
  • R0120Other CTP positions

Columns

  • C0010Long
  • C0020Short
  • C0050Long
  • C0060Short
  • C0071[0-10%[
  • C0072[10-12%[
  • C0073[12-20%[
  • C0074[20-40%[
  • C0075[40-100%[
  • C0076[100-250%[
  • C0077[250-350%[
  • C0078[350-425%[
  • C0079[425-650%[
  • C0081[650-1250%[
  • C00821250%
  • C0086[0-10%[
  • C0087[10-12%[
  • C0088[12-20%[
  • C0089[20-40%[
  • C0091[40-100%[
  • C0092[100-250%[
  • C0093[250-350%[
  • C0094[350-425%[
  • C0095[425-650%[
  • C0096[650-1250%[
  • C00971250%
  • C0402SEC-IRBA
  • C0403SEC-SA
  • C0404SEC-ERBA
  • C0405Internal assessment approach
  • C0406OTHER (RW=1250%)
  • C0410Weighted net long positions
  • C0420Weighted net short positions
  • C0430Weighted net long positions
  • C0440Weighted net short positions

A worked example

With simple numbers.

Illustrative values
Originator: total exposures1,200
Investor: total exposures800
Sponsor: total exposures450
N-th to default credit derivatives300
Other CTP positions150
Together2,900
What the rule then expects

Total exposures must then be 2,900.

2,900Passes
3,000Fails

A file that reports 2,900 passes. One that reports 3,000 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

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 warning.

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:

v0611_m: [OF20.00.01.01 (c0010;0020;0050;0060;0071;0072;0073;0074;0075;0076;0077;0078;0079;0081;0082;0086;0087;0088;0089;0091;0092;0093;0094;0095;0096;0097;0402;0403;0404;0405;0406;0410;0420;0430;0440)] {r0010} = {r0020} + {r0050} + {r0080} + {r0110} + {r0120}
Show the formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: OF20.00.01.01, r: 0010} = {t: OF20.00.01.01, r: 0020} + {t: OF20.00.01.01, r: 0050} + {t: OF20.00.01.01, r: 0080} + {t: OF20.00.01.01, r: 0110} + {t: OF20.00.01.01, r: 0120}

Where it applies, in the Bank's words (its scope):

scope({t: OF20.00.01.01, c:0010;0020;0050;0060;0071;0072;0073;0074;0075;0076;0077;0078;0079;0081;0082;0086;0087;0088;0089;0091;0092;0093;0094;0095;0096;0097;0402;0403;0404;0405;0406;0410;0420;0430;0440, f: banking, fv: banking_reporting})

Every PRA banking rule on OF20.00.01.01

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.