Line4

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

Market risk: standardised approaches for foreign exchange risk (MKR SA FX): a total must equal the sum of its parts (OF22.00.01.01, Bank of England check v0007_h)

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.

Check your file for this ruleWhat to do if it fails

The rule in plain words

In column "Own funds requirements" (0090) of Market risk: standardised approaches for foreign exchange risk (MKR SA FX) (OF22.00.01.01): "Additional requirements for options (non-delta risks)" (row 0050) must equal the sum of "Simplified method" (row 0060), "Delta plus approach - additional requirements for gamma risk" (row 0070), "Delta plus approach - additional requirements for vega risk" (row 0080), "Delta plus approach - non-continuous options and warrants" (row 0085) and "Scenario matrix approach" (row 0090).

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

  1. 01Open the table below and find the cells the rule reads.
  2. 02Add up the parts in your return and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark OF22.00.01 as reported.
  6. 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.

The cells it reads

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

Rows

  • R0050Additional requirements for options (non-delta risks)
  • R0060Simplified method
  • R0070Delta plus approach - additional requirements for gamma risk
  • R0080Delta plus approach - additional requirements for vega risk
  • R0085Delta plus approach - non-continuous options and warrants
  • R0090Scenario matrix approach

Column

  • C0090Own funds requirements

A worked example

With simple numbers.

Illustrative values
Simplified method1,200
Delta plus approach - additional requirements for gamma risk800
Delta plus approach - additional requirements for vega risk450
Delta plus approach - non-continuous options and warrants300
Scenario matrix approach150
Together2,900
What the rule then expects

Additional requirements for options (non-delta risks) must then be 2,900.

2,900Passes
3,000Fails

A file that reports 2,900 passes. One that reports 3,000 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

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:

v0007_h: [OF22.00.01.01 (c0090)] {r0050} = +{r0060} + {r0070} + {r0080} + {r0085} + {r0090}
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: 0050, c: 0090} = {t: OF22.00.01.01, r: 0060, c: 0090} + {t: OF22.00.01.01, r: 0070, c: 0090} + {t: OF22.00.01.01, r: 0080, c: 0090} + {t: OF22.00.01.01, r: 0085, c: 0090} + {t: OF22.00.01.01, r: 0090, c: 0090}

Every PRA banking rule on OF22.00.01.01

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.