The rule in plain words
The SS start observation date used in the Stress-Scenario for the non-modellable risk factors shall be earlier than the SS period end date (the start period must be in the past, not in the future)
In each of 5 rows (listed below) of Market risk: internal model approach 1B (MKR IMA1B) (OF24.02.01.01): "Start period" (column 0090) must not be more than "End Period" (column 0100).
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.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 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
- R0020General interest rate risk (GIRR)
- R0030Credit spread risk (CSR)
- R0040Equity risk (EQU)
- R0050Commodity risk (COM)
- R0060Foreign exchange risk (FX)
Columns
- C0090Start period
- C0100End Period
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, c: 0090} <= {t: OF24.02.01.01, c: 0100}Where it applies, in the Bank's words (its scope):
scope({t: OF24.02.01.01, r:0020;0030;0040;0050;0060, f: banking, fv: banking_reporting})Other rules on Market risk: internal model approach 1B (MKR IMA1B) (OF24.02.01.01)
- 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
- Market risk: internal model approach 1B (MKR IMA1B): input cannot be negative (boe_b0428)Blocking
- 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)
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.