The rule in plain words
Total negative unweighted delta senitivities of equity risk
In Market risk: ASA equity risk (AS5 EQ) (OF91.05.01.01): 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
- 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 OF91.05.01 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: ASA equity risk (AS5 EQ) (OF91.05.01.01)
Rows
- R0010Total Equity risk (EQU)
- R0020Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities
- R0030Telecommunications, industrials
- R0040Basic materials, energy, agriculture, manufacturing, mining and quarrying
- R0050Financials including government-backed financials, real estate activities, technology
- R0060Consumer goods and services, transportation and storage, administrative and support service activities, healthcare, utilities
- R0070Telecommunications, industrials
- R0080Basic materials, energy, agriculture, manufacturing, mining and quarrying
- R0090Financials including government-backed financials, real estate activities, technology
- R0100All sectors described under buckets 1, 2, 3, 4
- R0110All sectors described under buckets 1, 2, 3, 4
- R0120Other sector
- R0130Of which: Equity investment in funds calculated using the Fall-back approach
- R0140Large market capitalisation, advanced economy equity indices
- R0150Of which: Equity investment in funds calculated using the Index tracker
- R0160Other equity indices
- R0170Of which: Equity investment in funds calculated using the Index tracker
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 formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF91.05.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170, c: 0020} <= 0Other rules on Market risk: ASA equity risk (AS5 EQ) (OF91.05.01.01)
- Market risk: ASA equity risk (AS5 EQ): total positive unweighted delta senitivities of equity risk (boe_b0419)Blocking
- Market risk: ASA equity risk (AS5 EQ): deriving total risk exposure from own funds requirements (boe_b0545)Blocking
- Market risk: ASA equity risk (AS5 EQ): total net sensitivites of equity risk (boe_b0691)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0692)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0693)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0695)Blocking
- Market risk: ASA equity risk (AS5 EQ): values must agree (boe_b0935)
Every PRA banking rule on OF91.05.01.01
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.