The rule in plain words
In Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01): "Own funds requirement for the correlation trading portfolio" in column "Own funds requirements" (row 0330, column 0060) on 23 sheets must be left empty.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Remove the value from this cell where the rule applies. A 0 is a value too, so leave the cell out of the return altogether.
- 03It runs only when your filing indicators mark OF18.00.01 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 position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
Row
- R0330Own funds requirement for the correlation trading portfolio
Column
- C0060Own funds requirements
Sheets
- 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 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:
v7322_n: [OF18.00.01.01 (s0002;0003;0004;0005;0006;0007;0008;0009;0012;0013;0014;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024;0025;0026)] {r0330, c0060} = empty
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
isNull({t: OF18.00.01.01, r: 0330, c: 0060, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0012; 0013; 0014; 0015; 0016; 0017; 0018; 0019; 0020; 0021; 0022; 0023; 0024; 0025; 0026})Other rules on Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
- "Own funds requirement for securitisation instruments" in column "Own funds requirements" on 23 sheets must be left empty (v7321_n)
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a value must not be negative (v7780_m)
- The cells it covers on sheet "Total" must equal the sum of the cells it covers on 23 sheets (v6270_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 (v6268_m)
- Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI): a total must equal the sum of its parts (v6019_m)Blocking
- "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
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.