The rule in plain words
In each of 12 rows (listed below) of Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP) (OF20.00.01.01): the size of "(-) Short" (column 0040) (ignoring its sign) must not be more than "Short" (column 0020).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF20.00.01 as reported.
- 05This 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 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
- C0020Short
- C0040(-) Short
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:
v4847_m: [OF20.00.01.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120)] abs({c0040}) <= {c0020}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
abs({t: OF20.00.01.01, c: 0040}) <= {t: OF20.00.01.01, c: 0020}Where it applies, in the Bank's words (its scope):
scope({t: OF20.00.01.01, r:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120, f: banking, fv: banking_reporting})Other 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
- Every value in 12 rows in 35 columns must be zero or more (v3775_s)
- Market risk: standardised approach for specific risk in the correlation trading portfolio (MKR SA CTP): a total must equal the sum of its parts (v7382_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 (v7383_m)
- The sum of "Long" and "Short" must equal the sum of "OTHER (RW=1250%)", "SEC-IRBA", "SEC-SA", "SEC-ERBA" and "Internal assessment approach" (v7392_m)
- 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)
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.