The rule in plain words
Input cannot be negative
In Market risk: internal model approach 1B (MKR IMA1B) (OF24.02.01.01): every value in 6 rows (listed below) in 13 columns (listed below) must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark OF24.02.01 as reported.
- 04This 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 1B (MKR IMA1B) (OF24.02.01.01)
Rows
- R0010Total positions
- R0020General interest rate risk (GIRR)
- R0030Credit spread risk (CSR)
- R0040Equity risk (EQU)
- R0050Commodity risk (COM)
- R0060Foreign exchange risk (FX)
Columns
- C0010Average of previous 60 working days (SSavg)
- C0020Of which: ΣSSk
- C0030Of which: Σ(SSk*SSk)
- C0040Of which: ΣISSk
- C0050Latest available (SSt-1)
- C0060Of which: ΣSSk
- C0070Of which: Σ(SSk*SSk)
- C0080Of which: ΣISSk
- C011012 Weeks average measure
- C0120Last measure
- C0130Risk Not in Model (RNiM)
- C0140Of which: not captured in ES/SS
- C0150Of which: not captured in DRC
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 first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF24.02.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060, c: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0110; 0120; 0130; 0140; 0150} >= 0Other 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_b0366)
- Market risk: internal model approach 1B (MKR IMA1B): a conditional check (boe_b0365)
- 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.