The rule in plain words
In Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) (OF20.00.01.01): every value in 12 rows (listed below) in 35 columns (listed below) 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 OF20.00.01 as reported.
- 04This 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
- R0030SECURITISATIONS
- R0040Other CTP positions
- R0050Investor: total exposures
- R0060SECURITISATIONS
- R0070Other CTP positions
- R0080Sponsor: total exposures
- R0090SECURITISATIONS
- R0100Other CTP positions
- 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
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:
[v3775_s];[{t: OF20.00.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120, 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} >= 0]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF20.00.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120, 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} >= 0Other rules on Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) (OF20.00.01.01)
- The size of "(-) Long" (ignoring its sign) must not be more than "Long" (v4846_m)Blocking
- The size of "(-) Short" (ignoring its sign) must not be more than "Short" (v4847_m)Blocking
- Every value in 12 rows in "(-) Long" and "(-) Short" must be zero or less (v2057_s)Blocking
- "Sponsor: total exposures" must equal the sum of "SECURITISATIONS" and "Other CTP positions" (v0616_m)
- "Investor: total exposures" must equal the sum of "SECURITISATIONS" and "Other CTP positions" (v0614_m)
- "Originator: total exposures" must equal the sum of "SECURITISATIONS" and "Other CTP positions" (v0612_m)
- Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP): a total must equal the sum of its parts (v0611_m)
- "Weighted net short positions" must not be less than "Weighted net short positions" (v0605_m)Blocking
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.