The rule in plain words
% of total assets
In each of "Month 3" (row 0010), "Month 2" (row 0020) and "Month 1" (row 0030) of Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH) (OF90.00.01.01): if "Total assets" (column 0080) is not zero, "in % of total assets" (column 0040) must equal "Total" (column 0030) divided by "Total assets" (column 0080).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 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 OF90.00.01.01 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: authorisations - Trading book and market risk thresholds (MKR AUTH) (OF90.00.01.01)
Rows
- R0010Month 3
- R0020Month 2
- R0030Month 1
Columns
- C0030Total
- C0040in % of total assets
- C0080Total assets
Size of SDDTs' trading business (STB SDDT) (SC90.00.01.01)
Rows
- R0010Month 3
- R0020Month 2
- R0030Month 1
Columns
- C0030Total
- C0040in % of total assets
- C0080Total assets
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) and own funds (PRA001) returns, as a blocking check.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
if ({t: OF90.00.01.01, c: 0080} != 0) then {t: OF90.00.01.01, c: 0040} = {t: OF90.00.01.01, c: 0030} / {t: OF90.00.01.01, c: 0080} else true()Where it applies, in the Bank's words (its scope):
scope({t: OF90.00.01.01, r:0010;0020;0030, f: banking, fv: banking_reporting})Other rules on Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH) (OF90.00.01.01)
- Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH): calculation of the asset as a % of total assets (boe_b0312)Blocking
- Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH): balance sheet exposures must be positive or zero (boe_b0409)Blocking
- Percentage of total assets must be a non-negative number between 0% and 100% (reported as a decimal value e.g. 0.4) (boe_b0411)Blocking
- Trading book positions as a percentage of total assets must be expressed as decimal values (e.g. 0.5) (boe_b0202)Blocking
- Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH): non-IMA firms must complete this table (boe_b0953)Blocking
Every PRA banking rule on OF90.00.01.01
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.