The rule in plain words
In Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01): every value in 11 rows (listed below) in column "Positions subject to capital charge" (column 0050) on 24 sheets must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark OF18.00.01 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
Rows
- R0020Maturity-based approach
- R0210Duration-based approach
- R0251Own funds requirement for non-securitisation debt instruments
- R0260Debt securities under the first category in Table 1
- R0270Debt securities under the second category in Table 1
- R0280With residual term <= 6 months
- R0290With a residual term > 6 months and <= 24 months
- R0300With a residual term > 24 months
- R0310Debt securities under the third category in Table 1
- R0320Debt securities under the fourth category in Table 1
- R0321Rated nth-to default credit derivatives
Column
- C0050Positions subject to capital charge
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 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:
v3767_s: [OF18.00.01.01 (r0020;0210;0251;0260;0270;0280;0290;0300;0310;0320;0321, c0050, All sheets)] >= 0
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: 0020; 0210; 0251; 0260; 0270; 0280; 0290; 0300; 0310; 0320; 0321, c: 0050, 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} >= 0Other rules on Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
- Every value in 32 rows in "Long" and "Short" on 24 sheets must be zero or more (v3766_s)Blocking
- Every value in 19 rows in "Long" and "Short" on 24 sheets must be zero or more (v3765_s)Blocking
- Every value in 22 rows in column "Own funds requirements" on 24 sheets must be zero or more (v3764_s)Blocking
- Every value in "Traded debt instruments in trading book" in column "Total risk exposure amount" on 24 sheets must be zero or more (v3763_s)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a value must not be negative (v3774_s)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): two values must match (v3389_i)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): two values must match (v3388_i)
- "Maturity-based approach" must equal the sum of "Zone 1", "Zone 2" and "Zone 3" (v4848_m)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.