Line4

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

"Sponsor: total exposures" must equal the sum of "SECURITISATIONS" and "Other CTP positions" (OF20.00.01.01, Bank of England check v0616_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 37 columns (listed below) of Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) (OF20.00.01.01): "Sponsor: total exposures" (row 0080) must equal the sum of "SECURITISATIONS" (row 0090) and "Other CTP positions" (row 0100).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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

  • R0080Sponsor: total exposures
  • R0090SECURITISATIONS
  • R0100Other CTP positions

Columns

  • C0010Long
  • C0020Short
  • C0030(-) Long
  • C0040(-) Short
  • 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
SECURITISATIONS1,200
Other CTP positions800
Together2,000
What the rule then expects

Sponsor: total exposures must then be 2,000.

2,000Passes
2,100Fails

A file that reports 2,000 passes. One that reports 2,100 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:

v0616_m: [OF20.00.01.01 (c0010;0020;0030;0040;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)] {r0080} = {r0090} + {r0100}
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: 0080} = {t: OF20.00.01.01, r: 0090} + {t: OF20.00.01.01, r: 0100}

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

scope({t: OF20.00.01.01, c:0010;0020;0030;0040;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.