GN JIBs 5.2 Commodities Validation - Standardised approach to market risk (December 2018, rev. February 2019)

Summary

This is a technical guidance note from the JFSC explaining the automated validation and verification checks applied to the 5.2 Commodities sheet of the Jersey prudential return (JIBs) used to calculate the standardised approach to market risk for commodities exposures. It sets out, cell by cell, what data is expected, what must be left blank, and how calculated fields (net position and simplified approach capital charge) are derived.

• Data entry checks: Specifies which cells must be blank, which must contain a whole number within -1,000,000,000 to +1,000,000,000, and which must contain text of no more than 50 characters, for each commodity line item (A.1-A.4, B.0, C.1-C.5).
• Calculation checks: Sets out the formulas the JFSC expects the workbook to apply, including Net Position (Gross Long minus Gross Short) and the Simplified Approach charge, calculated as 15% of the absolute net position plus 3% of the sum of gross long and short positions, rounded to zero decimal places.
• Submission process: On submission, the JFSC's system runs these checks automatically; if all checks pass the return is accepted and the JIB is notified together with any warnings, while Excel's own validation is described as not a failsafe.
• February 2019 correction: The Excel formula reference for Check 45 (cell G8) was corrected in the February 2019 revision to properly reflect the Prudential Return template.

The note does not itself impose new prudential requirements but explains the mechanics behind existing JIBs prudential reporting so that banks can pre-check their data before submission and interpret any validation error messages received from the JFSC.

Key obligations

• JIBs (reporting banks) must ensure that data entered into the 5.2 Commodities sheet conforms to the specified cell-level validation rules (blank fields, numeric ranges, text length limits) before submission of the Prudential Return.
• JIBs should check their own data prior to submission, as Excel's built-in validation is not a failsafe and the JFSC will independently validate the data on submission.
• JIBs must review and address any validation error messages or warnings identified by the JFSC's checks on the 5.2 Commodities sheet, using the Check reference numbers to match errors to this guidance.

Applies to

JIBs (Jersey banks submitting prudential returns)