The rule in plain words
The constrained expected shortfall measure for the risk factor Commodity risk
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 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 OF24.01.01 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: internal model approach 1A (MKR IMA1A) (OF24.01.01.01)
Rows
- R0180Commodity risk(COM)
- R0190with liquidity horizon ≥ 10 days
- R0200with liquidity horizon ≥ 20 days
- R0210with liquidity horizon ≥ 40 days
- R0220with liquidity horizon ≥ 60 days
- R0230with liquidity horizon ≥ 120 days
Columns
- C0050ES (F,C)
- C0060ES (R,C)
- C0070ES (R,S)
- C0080Total
- C0140ES (F,C)
- C0150ES (R,C)
- C0160ES (R,S)
- C0170Total
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 are the Bank of England’s own, word for word, from its list of validations.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
If (({t: OF24.01.01.01, r: 0190}* {t: OF24.01.01.01, r: 0190}) + (({t: OF24.01.01.01, r: 0200} * exp(1, 1, 2)) * ({t: OF24.01.01.01, r: 0200} * exp(1, 1, 2))) + (({t: OF24.01.01.01, r: 0210} * exp(2, 1, 2)) * ({t: OF24.01.01.01, r: 0210} * exp(2, 1, 2))) + (({t: OF24.01.01.01, r: 0220} * exp(2, 1, 2)) * ({t: OF24.01.01.01, r: 0220} * exp(2, 1, 2))) + (({t: OF24.01.01.01, r: 0230} * exp(6, 1, 2)) * ({t: OF24.01.01.01, r: 0230} * exp(6, 1, 2))))>=0 then {t: OF24.01.01.01, r: 0180} = exp(({t: OF24.01.01.01, r: 0190}*{t: OF24.01.01.01, r: 0190}) + (({t: OF24.01.01.01, r: 0200} * exp(1, 1, 2)) * ({t: OF24.01.01.01, r: 0200} * exp(1, 1, 2))) + (({t: OF24.01.01.01, r: 0210} * exp(2, 1, 2)) * ({t: OF24.01.01.01, r: 0210} * exp(2, 1, 2))) + (({t: OF24.01.01.01, r: 0220} * exp(2, 1, 2)) * ({t: OF24.01.01.01, r: 0220} * exp(2, 1, 2))) + (({t: OF24.01.01.01, r: 0230} * exp(6, 1, 2)) * ({t: OF24.01.01.01, r: 0230} * exp(6, 1, 2))),1, 2) else true()Where it applies, in the Bank's words (its scope):
scope({t: OF24.01.01.01, c:0050;0060;0070;0080;0140;0150;0160;0170, f: banking, fv: banking_reporting})Other rules on Market risk: internal model approach 1A (MKR IMA1A) (OF24.01.01.01)
- Market risk: internal model approach 1A (MKR IMA1A): the constrained expected shortfall measure for the risk factor Equity Risk (boe_b0362)Blocking
- Market risk: internal model approach 1A (MKR IMA1A): the constrained expected shortfall measure for the risk factor Foreign Exchange Risk (boe_b0364)Blocking
- Market risk: internal model approach 1A (MKR IMA1A): the constrained expected shortfall measure for the risk factor Credit spread risk (boe_b0361)Blocking
- The constrained expected shortfall measure for the risk factor General interest rate risk (GIRR) (boe_b0360)Blocking
- Market risk: internal model approach 1A (MKR IMA1A): the expected shortfall measure for each risk factor (boe_b0427)Blocking
- Market risk: internal model approach 1A (MKR IMA1A): a conditional check (boe_b0429)Blocking
- Market risk: internal model approach 1A (MKR IMA1A): the total expected shortfall over the previous 60 working days (boe_b0551)Blocking
- Market risk: internal model approach 1A (MKR IMA1A): the total expected shortfall for the previous day (boe_b0552)Blocking
Every PRA banking rule on OF24.01.01.01
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.