The rule in plain words
In Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01): the sum of "Traded debt instruments in trading book" in column "Total risk exposure amount" (row 0010, column 0070) on 23 sheets must equal "Traded debt instruments in trading book" in column "Total risk exposure amount" (row 0010, column 0070) on sheet "Total" (sheet 0001) minus 12.5 multiplied by the sum of "Own funds requirement for securitisation instruments" in column "Own funds requirements" (row 0325, column 0060) on sheet "Total" (sheet 0001) and "Own funds requirement for the correlation trading portfolio" in column "Own funds requirements" (row 0330, column 0060) on sheet "Total" (sheet 0001).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF18.00.01 as reported.
- 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Own funds requirements (CA2) (OF02.00.01.01)
Row
- R0540Traded debt instruments
Column
- C0010All approaches
Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
Rows
- R0010Traded debt instruments in trading book
- R0325Own funds requirement for securitisation instruments
- R0330Own funds requirement for the correlation trading portfolio
Columns
- C0060Own funds requirements
- C0070Total risk exposure amount
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:
[v6019_m];[sum({t: OF18.00.01.01, r: 0010, c: 0070, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0012; 0013; 0014; 0015; 0016; 0017; 0018; 0019; 0020; 0021; 0022; 0023; 0024; 0025; 0026}) = {t: OF18.00.01.01, r: 0010, c: 0070, z: 0001} - 12.5 * ({t: OF18.00.01.01, r: 0325, c: 0060, z: 0001} + {t: OF18.00.01.01, r: 0330, c: 0060, z: 0001})]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
sum({t: OF18.00.01.01, r: 0010, c: 0070, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0012; 0013; 0014; 0015; 0016; 0017; 0018; 0019; 0020; 0021; 0022; 0023; 0024; 0025; 0026}) = {t: OF18.00.01.01, r: 0010, c: 0070, z: 0001} - 12.5 * ({t: OF18.00.01.01, r: 0325, c: 0060, z: 0001} + {t: OF18.00.01.01, r: 0330, c: 0060, z: 0001})Other rules on Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
- The cells it covers on sheet "Total" must equal the sum of the cells it covers on 23 sheets (v6268_m)
- The cells it covers on sheet "Total" must equal the sum of the cells it covers on 23 sheets (v6269_m)
- The cells it covers on sheet "Total" must equal the sum of the cells it covers on 23 sheets (v6270_m)
- "Duration-based approach" must equal the sum of "Zone 1", "Zone 2" and "Zone 3" (v4852_m)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): "Zone 3" must equal the sum of 8 cells (v4851_m)Blocking
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a total must equal the sum of its parts (v4850_m)Blocking
- "Zone 1" must equal the sum of "0 <= 1 month", "> 1 <= 3 months", "> 3 <= 6 months" and "> 6 <= 12 months" (v4849_m)Blocking
- "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.