The rule in plain words
If the value reported in {row 0010, column 0220} is (strictly) greater than 4, then the value reported in {row 0010, column 0240} should be strictly greater than 1.5. If the value reported in {row 0010, column 0230} is (strictly) greater than 4, then the value reported in {row 0010, column 0240} should be strictly greater than 1.5. If neither the value reported in {row 0010, column 0220} nor the value reported in {row 0010, column 0230} is strictly greater than 4, then the value reported in {row 0010, column 0240} should be 1.5.
In row "Total positions" (0010) of Market risk: internal model approach 1A (MKR IMA1A) (OF24.01.01.01): if "Actual P&L" (column 0220) is more than 4 or "Hypothetical P&L" (column 0230) is more than 4, "ES Multiplication Factor (mc)" (column 0240) must be more than 1.5; otherwise "ES Multiplication Factor (mc)" (column 0240) must equal 1.5.
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.
- 03It runs only when your filing indicators mark OF24.01.01 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 1A (MKR IMA1A) (OF24.01.01.01)
Row
- R0010Total positions
Columns
- C0220Actual P&L
- C0230Hypothetical P&L
- C0240ES Multiplication Factor (mc)
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}.
if ({t: OF24.01.01.01, r: 0010, c: 0220} > 4 or {t: OF24.01.01.01, r: 0010, c: 0230} > 4) then ({t: OF24.01.01.01, r: 0010, c: 0240} > 1.5) else ({t: OF24.01.01.01, r: 0010, c: 0240} = 1.5)Other rules on Market risk: internal model approach 1A (MKR IMA1A) (OF24.01.01.01)
- 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): 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 Commodity risk (boe_b0363)Blocking
- 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 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 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.