The rule in plain words
Total positive unweighted delta senitivities of GIRR, which must be zero or higher
In Market risk: ASA general interest rate risk (AS1 IRR) (OF91.01.01.01): every value in 38 rows (listed below) in column "Positive" (column 0010) 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.
- 03This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Market risk: ASA general interest rate risk (AS1 IRR) (OF91.01.01.01)
Rows
- R0010Total General interest rate risk (GIRR)
- R0020GBP
- R0030USD
- R0040EUR
- R0050JPY
- R0060AUD
- R0070CAD
- R0080SEK
- R0090HKD
- R0100CHF
- R0110NZD
- R0120KRW
- R0130SGD
- R0140MXN
- R0150NOK
- R0160ZAR
- R0170DKK
- R0180ILS
- R0190CNY
- R0200RUB
- R0210TRY
- R0220BRL
- R0230SAR
- R0240COP
- R0250PEN
- R0260AED
- R0270INR
- R0280PLN
- R0290TWD
- R0300HUF
- R0310MYR
- R0320CZK
- R0330THB
- R0340CLP
- R0350IDR
- R0360Other 1 (This would be the top 10 most material currencies not listed from rows '0020'-'0350')
- R0370Other 2 (This would be the next top 10 most material currencies not listed from rows '0020'-'0350' and not included in row '0360')
- R0380Other remaining currencies (This would be the currencies not listed from rows '0020'-'0350' and not included in rows '0360' & '0370')
Column
- C0010Positive
Which returns it applies to
It is an active check of the Bank's for the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. Line4 Check does not run it yet, for the reason above. 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: OF91.01.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190; 0200; 0210; 0220; 0230; 0240; 0250; 0260; 0270; 0280; 0290; 0300; 0310; 0320; 0330; 0340; 0350; 0360; 0370; 0380, c: 0010} >= 0Other rules on Market risk: ASA general interest rate risk (AS1 IRR) (OF91.01.01.01)
- Market risk: ASA general interest rate risk (AS1 IRR): total negative unweighted delta senitivities of GIRR, which must be zero or less (boe_b0408)BlockingNot run
- Market risk: ASA general interest rate risk (AS1 IRR): total net sensitivites of GIRR (boe_b0527)BlockingNot run
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0528)BlockingNot run
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0539)BlockingNot run
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0540)BlockingNot run
- Market risk: ASA general interest rate risk (AS1 IRR): deriving total risk exposure from own funds requirements (boe_b0541)BlockingNot run
- Market risk: ASA general interest rate risk (AS1 IRR): values must agree (boe_b0931)
- Market risk: ASA general interest rate risk (AS1 IRR): values must agree (boe_b0931_1)
Every PRA banking rule on OF91.01.01.01
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.