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): "Others" (row 0050) must not be less than "Of which energy products (oil, gas)" (row 0060).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF23.00.01 as reported.
- 05This 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
- R0050Others
- R0060Of which energy products (oil, gas)
Columns
- C0010Long
- C0020Short
- C0030Long
- C0040Short
- C0050Positions subject to capital charge
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:
v4826_m: [OF23.00.01.01 (c0010;0020;0030;0040;0050)] {r0050} >= {r0060}
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: 0050} >= {t: OF23.00.01.01, r: 0060}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)
- Every value in 15 rows in column "Own funds requirements" must be zero or more (v3791_s)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
- 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.