The rule in plain words
In Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01): every value in 9 rows (listed below) in column "Own funds requirements" (column 0060) on 25 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 OF21.00.01 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 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)
- R0100Simplified method
- R0110Delta plus approach - additional requirements for gamma risk
- R0120Delta plus approach - additional requirements for vega risk
- R0125Delta plus approach - non-continuous options and warrants
- R0130Scenario matrix approach
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 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:
v3779_s: [OF21.00.01.01 (r0010;0020;0050;0090;0100;0110;0120;0125;0130, c0060, All sheets)] >= 0
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; 0020; 0050; 0090; 0100; 0110; 0120; 0125; 0130, c: 0060, 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} >= 0Other rules on Market risk: standardised approach for position risk in equities (MKR SA EQU) (OF21.00.01.01)
- 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 6 rows in "Long" and "Short" on 25 sheets must be zero or more (v3780_s)Blocking
- Market risk: standardised approach for position risk in equities (MKR SA EQU): a value must not be negative (v3781_s)Blocking
- Every value in "General risk" and "Specific risk" in column "Positions subject to capital charge" on 25 sheets must be zero or more (v3782_s)Blocking
- "Equities in trading book" on sheet "Total" must equal the sum of 24 cells (v5848_h)Blocking
- "Own funds requirements" on sheet "Total" must equal the sum of 24 cells (v5849_h)Blocking
- The cells it covers on sheet "Total" must equal the sum of 24 cells (v5850_h)Blocking
- The cells it covers on sheet "Total" must equal the sum of 24 cells (v5851_h)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.