The rule in plain words
Market Risk positions shall exceed or be equal to zero
In Market risk: internal models (MKR IM) (C24.00.01.01): every value in the cells it covers 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 C24.00.01 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 models (MKR IM) (C24.00.01.01)
Rows
- R0010Total positions
- R0020Traded debt instruments
- R0030TDI - General risk
- R0040TDI - Specific risk
- R0050Equities
- R0060Equities - General risk
- R0070Equities - Specific risk
- R0080Foreign Exchange risk
- R0090Commodities risk
- R0100Total amount for general risk
- R0110Total amount for specific risk
Columns
- C0030Multiplication factor (mc) x average of previous 60 working days (VaRavg)
- C0040Previous day (VaRt-1)
- C0050Multiplication factor (ms) x average of previous 60 working days (SVaRavg)
- C0060Latest available (SVaRt-1)
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: C24.00.01.01} >=0Where it applies, in the Bank's words (its scope):
scope({t: C24.00.01.01, r:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110,c:0030;0040;0050;0060, f: banking, fv: banking_reporting})Other rules on Market risk: internal models (MKR IM) (C24.00.01.01)
- Market risk: internal models (MKR IM): market risk positions shall be positive amounts or zero (v3792_s)Blocking
- Market risk: internal models (MKR IM): two values must match (v3346_i)
- Market risk: internal models (MKR IM): a value must not be more than another (v4859_m)
- "Total amount for specific risk" must not be more than the sum of "TDI - Specific risk" and "Equities - Specific risk" (v4860_m)Blocking
- Market risk: internal models (MKR IM): every value in "Total positions" must not be less than 3 (v6296_m)
- "Total positions" in column "Number of overshootings during previous 250 working days" must not be more than 250 (v6297_m)
- Market risk: internal models (MKR IM): "Latest available (SVaRt-1)" must not be less than "Previous day (VaRt-1)" (v6303_m)
- Market risk: internal models (MKR IM): a total must equal the sum of its parts (v0637_m)Blocking
Every PRA banking rule on C24.00.01.01
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.