The rule in plain words
This represents the aggregate own funds requirements for non-modellable risk factors (NMRF SS Total) calculated in accordance with the formula set out in Article 325bk of the Market Risk: Internal Model Approach (CRR) Part of the PRA rulebook based on the latest available observation (previous one-day horizon)
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
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 OF24.02.01 as reported.
- 05This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Market risk: internal model approach 1B (MKR IMA1B) (OF24.02.01.01)
Rows
- R0010Total positions
- R0030Credit spread risk (CSR)
- R0040Equity risk (EQU)
Columns
- C0050Latest available (SSt-1)
- C0060Of which: ΣSSk
- C0070Of which: Σ(SSk*SSk)
- C0080Of which: ΣISSk
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 warning.
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 ((0.6 * {t: OF24.02.01.01, r: 0010, c: 0060}) * (0.6 * {t: OF24.02.01.01, r: 0010, c: 0060}) + (0.64 * {t: OF24.02.01.01, r: 0010, c: 0070})>=0) and ({t: OF24.02.01.01, r: 0030, c: 0080} >= 0) and ({t: OF24.02.01.01, r: 0040, c: 0080} >= 0) then {t: OF24.02.01.01, r: 0010, c: 0050} = exp((0.6 * {t: OF24.02.01.01, r: 0010, c: 0060}) * (0.6 * {t: OF24.02.01.01, r: 0010, c: 0060}) + (0.64 * {t: OF24.02.01.01, r: 0010, c: 0070}), 1, 2) + exp({t: OF24.02.01.01, r: 0030, c: 0080}, 1, 2) + exp({t: OF24.02.01.01, r: 0040, c: 0080}, 1, 2) else true()Other rules on Market risk: internal model approach 1B (MKR IMA1B) (OF24.02.01.01)
- Market risk: internal model approach 1B (MKR IMA1B): a conditional check (boe_b0365)
- Market risk: internal model approach 1B (MKR IMA1B): input cannot be negative (boe_b0428)Blocking
- Market risk: internal model approach 1B (MKR IMA1B): a value must not be more than another (boe_b0891)Blocking
- Market risk: internal model approach 1B (MKR IMA1B): a value must not be more than another (boe_b0900)Blocking
- Market risk: internal model approach 1B (MKR IMA1B): a value must not be more than another (boe_b0901)Blocking
- Value should match aggregated own fund requirements and RWAs for Default risk charge in IMA1b (boe_b0920)Blocking
Every PRA banking rule on OF24.02.01.01
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.