The rule in plain words
Balance sheet exposures must be positive or zero
In Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH) (OF90.00.01.01): every value in "Month 3" (row 0010), "Month 2" (row 0020) and "Month 1" (row 0030) in 6 columns (listed below) 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 OF90.00.01.01 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: authorisations - Trading book and market risk thresholds (MKR AUTH) (OF90.00.01.01)
Rows
- R0010Month 3
- R0020Month 2
- R0030Month 1
Columns
- C0010On- and off-balance sheet business subject to market risk
- C0020Trading book
- C0030Total
- C0050Positions subject to foreign exchange risk
- C0060Positions subject to Commodities risk
- C0080Total assets
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 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}.
{t: OF90.00.01.01, r: 0010; 0020; 0030, c: 0010; 0020; 0030; 0050; 0060; 0080} >= 0Other rules on Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH) (OF90.00.01.01)
- 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
- Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH): % of total assets (boe_b0313)Blocking
- Market risk: authorisations - Trading book and market risk thresholds (MKR AUTH): calculation of the asset as a % of total assets (boe_b0312)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.