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2 min readBlockingBank of England banking taxonomy 4.1.1Updated 11 November 2026

Total negative unweighted delta senitivities of ACTP CSR (OF91.03.01.01, Bank of England check boe_b0415)

A blocking check on the market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) template (OF91.03.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

Total negative unweighted delta senitivities of ACTP CSR

In Market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) (OF91.03.01.01): every value in 17 rows (listed below) in column "Negative" (column 0020) must be zero or less.

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 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.
  3. 03It runs only when your filing indicators mark OF91.03.01 as reported.
  4. 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: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) (OF91.03.01.01)

Rows

  • R0010Total Credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)
  • R0020Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of the CRR
  • R0030Regional or local authority and public sector entities
  • R0040Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders
  • R0050Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
  • R0060Consumer goods and services, transportation and storage, administrative and support service activities
  • R0070Technology, telecommunications
  • R0080Health care, utilities, professional and technical activities
  • R0090Covered bonds issued by credit institutions
  • R0100Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 of the CRR
  • R0110Regional or local authority and public sector entities
  • R0120Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders
  • R0130Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
  • R0140Consumer goods and services, transportation and storage, administrative and support service activities
  • R0150Technology, telecommunications
  • R0160Health care, utilities, professional and technical activities
  • R0170Other sectors

Column

  • C0020Negative

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 formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: OF91.03.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170, c: 0020} <= 0

Every PRA banking rule on OF91.03.01.01

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.