The rule in plain words
In each of 36 rows (listed below) of Market risk: standardised approaches for foreign exchange risk (MKR SA FX) (OF22.00.01.01): "Short" (column 0030) must not be less than "Short" (column 0050).
What to do if your return fails it
- 01Open the tables 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 OF22.00.01 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 foreign exchange risk (MKR SA FX) (OF22.00.01.01)
Rows
- R0010Total positions
- R0130Euro
- R0140Lek
- R0150Argentine Peso
- R0160Australian Dollar
- R0170Brazilian Real
- R0180Bulgarian Lev
- R0190Canadian Dollar
- R0200Czech Koruna
- R0210Danish Krone
- R0220Egyptian Pound
- R0230Pound Sterling
- R0240Forint
- R0250Yen
- R0270Lithuanian Litas
- R0280Denar
- R0290Mexican Peso
- R0300Zloty
- R0310Romanian Leu
- R0320Russian Ruble
- R0330Serbian Dinar
- R0340Swedish Krona
- R0350Swiss Franc
- R0360Turkish Lira
- R0370Hryvnia
- R0380US Dollar
- R0390Iceland Krona
- R0400Norwegian Krone
- R0410Hong Kong Dollar
- R0420New Taiwan Dollar
- R0430New Zealand Dollar
- R0440Singapore Dollar
- R0450Won
- R0460Yuan Renminbi
- R0470Other
- R0480Croatian Kuna
Columns
- C0030Short
- C0050Short
Information on foreign exchange risk for SDDTs (MKR SA FX SDDT) (SC22.00.01.01)
Rows
- R0010Total positions
- R0130Euro
- R0140Lek
- R0150Argentine Peso
- R0160Australian Dollar
- R0170Brazilian Real
- R0180Bulgarian Lev
- R0190Canadian Dollar
- R0200Czech Koruna
- R0210Danish Krone
- R0220Egyptian Pound
- R0230Pound Sterling
- R0240Forint
- R0250Yen
- R0270Lithuanian Litas
- R0280Denar
- R0290Mexican Peso
- R0300Zloty
- R0310Romanian Leu
- R0320Russian Ruble
- R0330Serbian Dinar
- R0340Swedish Krona
- R0350Swiss Franc
- R0360Turkish Lira
- R0370Hryvnia
- R0380US Dollar
- R0390Iceland Krona
- R0400Norwegian Krone
- R0410Hong Kong Dollar
- R0420New Taiwan Dollar
- R0430New Zealand Dollar
- R0440Singapore Dollar
- R0450Won
- R0460Yuan Renminbi
- R0470Other
- R0480Croatian Kuna
Columns
- C0030Short
- C0050Short
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) and 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:
v4885_m: [OF22.00.01.01 (r0010;0130;0140;0150;0160;0170;0180;0190;0200;0210;0220;0230;0240;0250;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470;0480)] {c0030} >= {c0050}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF22.00.01.01, c: 0030} >= {t: OF22.00.01.01, c: 0050}Where it applies, in the Bank's words (its scope):
scope({t: OF22.00.01.01, r:0010;0130;0140;0150;0160;0170;0180;0190;0200;0210;0220;0230;0240;0250;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470;0480, f: banking, fv: banking_reporting})Other rules on Market risk: standardised approaches for foreign exchange risk (MKR SA FX) (OF22.00.01.01)
- Market risk: standardised approaches for foreign exchange risk (MKR SA FX): "Long" must not be less than "Long" (v4884_m)Blocking
- Market risk: standardised approaches for foreign exchange risk (MKR SA FX): a total must equal the sum of its parts (v4907_m)
- Market risk: standardised approaches for foreign exchange risk (MKR SA FX): a value must not be negative (v3788_s)Blocking
- Every value in 40 rows in "Long" and "Short" must be zero or more (v3787_s)Blocking
- Every value in 42 rows in "Long" and "Short" must be zero or more (v3786_s)Blocking
- Every value in 10 rows in column "Own funds requirements" must be zero or more (v3785_s)Blocking
- Market risk: standardised approaches for foreign exchange risk (MKR SA FX): a value must not be negative (v3784_s)Blocking
- "Total positions" in column "Total risk exposure amount" must not be negative (v3783_s)Blocking
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.