The rule in plain words
In Own funds requirements (CA2) (OF02.00.01.01): "Total positions in commodities" in column "Total risk exposure amount" (row 0010, column 0070) in Market risk: standardised approaches for position risk in commodities (MKR SA COM) (OF23.00.01.01) must not be negative.
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.
- 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 OF23.00.01 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
Own funds requirements (CA2) (OF02.00.01.01)
Row
- R0570Commodities
Column
- C0010All approaches
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:
v3789_s: [OF23.00.01.01 (r0010, c0070)] >= 0
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, c: 0070} >= 0Other rules on Own funds requirements (CA2) (OF02.00.01.01)
- Consistency check for Corporates (Specialised Lending) Risk-weighted exposures under non-modelled approaches across OF02 and OF08.01 (boe_b2290)
- Own funds requirements (CA2): of which items shall be less than or equal to row 0710 under standardised approaches (boe_b2218)
- Own funds requirements (CA2): of which items shall be less than or equal to row 0710 (boe_b2217)
- Own funds requirements (CA2): this sum is to derive Total Credit Risk RWAs under all approaches (boe_b1093)Blocking
- Own funds requirements (CA2): this sum represents the calculation for Total Risk exposure amount under all approaches (boe_b1092)
- Own funds requirements (CA2): this sum represents Total Market Risk RWAs under all approaches (boe_b1091)
- Total CVA Risk Exposure Amount under standardised approaches is the sum of CVA risk exposure amounts calculated using each CVA risk approach (boe_b1076)
- Total CVA Risk Exposure Amount under all approaches is the sum of CVA risk exposure amounts calculated using each CVA risk approach (boe_b1075)
Every PRA banking rule on OF02.00.01.01
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.