The rule in plain words
In Market risk: standardised approaches for position risk in commodities (MKR SA COM) (OF23.00.01.01): every value in 15 rows (listed below) in column "Own funds requirements" (column 0060) 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 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
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
- R0060Of which energy products (oil, gas)
- R0070Maturity ladder approach
- R0080Extended maturity ladder approach
- R0090Simplified approach: All positions
- R0100Additional requirements for options (non-delta risks)
- R0110Simplified method
- R0120Delta plus approach - additional requirements for gamma risk
- R0130Delta plus approach - additional requirements for vega risk
- R0135Delta plus approach - non-continuous options and warrants
- R0140Scenario matrix approach
Column
- C0060Own 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 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:
v3791_s: [OF23.00.01.01 (All rows, c0060)] >= 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; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0135; 0140, c: 0060} >= 0Other 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): every value in 9 rows in 5 columns must be zero or more (v3790_s)Blocking
- "Others" must not be less than "Of which energy products (oil, gas)" (v4826_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 (v0633_m)Blocking
- Market risk: standardised approaches for position risk in commodities (MKR SA COM): a total must equal the sum of its parts (v0632_m)
- "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): a total must equal the sum of its parts (v0005_h)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.