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1 min readBlockingBank of England banking taxonomy 4.1.1Updated 11 November 2026

Market risk: standardised approaches for foreign exchange risk (MKR SA FX): values must agree (OF22.00.01.01, Bank of England check boe_b0826)

A blocking check on the market risk: standardised approaches for foreign exchange risk (MKR SA FX) template (OF22.00.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

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The rule in plain words

This represents Own Funds requirements for Foreign Exchange risk for any relevant position calculated in accordance with Title IV Part Three Chapter 3 of the MARKET RISK: SIMPLIFIED STANDARDISED APPROACH (CRR) Part of PRA Rulebook

In column "Own funds requirements" (0090) of Market risk: standardised approaches for foreign exchange risk (MKR SA FX) (OF22.00.01.01): "Total positions" (row 0010) must equal 1.2 multiplied by the sum of "Currencies closely correlated" (row 0020), "All other currencies (including CIUs treated as different currencies)" (row 0030), "Gold" (row 0040) and "Additional requirements for options (non-delta risks)" (row 0050).

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.

This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF22.00.01 as reported.

The cells it reads

Market risk: standardised approaches for foreign exchange risk (MKR SA FX) (OF22.00.01.01)

Rows

  • R0010Total positions
  • R0020Currencies closely correlated
  • R0030All other currencies (including CIUs treated as different currencies)
  • R0040Gold
  • R0050Additional requirements for options (non-delta risks)

Column

  • C0090Own funds requirements

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 formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: OF22.00.01.01, r: 0010, c: 0090} = 1.2 * sum({t: OF22.00.01.01, r: 0020; 0030; 0040; 0050, c: 0090})

Every PRA banking rule on OF22.00.01.01

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