The rule in plain words
In each of 5 columns (listed below) of Market risk: standardised approaches for position risk in commodities (MKR SA COM) (OF23.00.01.01): "Total positions in commodities" (row 0010) must equal the sum of "Precious metals (except gold)" (row 0020), "Base metals" (row 0030), "Agricultural products (softs)" (row 0040) and "Others" (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.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF23.00.01 as reported.
- 06This 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 approaches for position risk in commodities (MKR SA COM) (OF23.00.01.01)
Rows
- R0010Total positions in commodities
- R0020Precious metals (except gold)
- R0030Base metals
- R0040Agricultural products (softs)
- R0050Others
Columns
- C0010Long
- C0020Short
- C0030Long
- C0040Short
- C0050Positions subject to capital charge
A worked example
With simple numbers.
Total positions in commodities must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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 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:
v0632_m: [OF23.00.01.01 (c0010;0020;0030;0040;0050)] {r0010} = {r0020} + {r0030} + {r0040} + {r0050}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF23.00.01.01, r: 0010} = {t: OF23.00.01.01, r: 0020} + {t: OF23.00.01.01, r: 0030} + {t: OF23.00.01.01, r: 0040} + {t: OF23.00.01.01, r: 0050}Where it applies, in the Bank's words (its scope):
scope({t: OF23.00.01.01, c:0010;0020;0030;0040;0050, f: banking, fv: banking_reporting})Other rules on Market risk: standardised approaches for position risk in commodities (MKR SA COM) (OF23.00.01.01)
- Market risk: standardised approaches for position risk in commodities (MKR SA COM): a total must equal the sum of its parts (v0633_m)Blocking
- "Own funds requirements" multiplied by 12.5 must equal "Total risk exposure amount" (v0630_m)Blocking
- Market risk: standardised approaches for position risk in commodities (MKR SA COM): values must agree (boe_b0827)Blocking
- Market risk: standardised approaches for position risk in commodities (MKR SA COM): a total must equal the sum of its parts (v0005_h)Blocking
- Market risk: standardised approaches for position risk in commodities (MKR SA COM): every value in 9 rows in 5 columns must be zero or more (v3790_s)Blocking
- Every value in 15 rows in column "Own funds requirements" must be zero or more (v3791_s)Blocking
- "Others" must not be less than "Of which energy products (oil, gas)" (v4826_m)Blocking
Every PRA banking rule on OF23.00.01.01
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.