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

The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (OF91.01.01.01, Bank of England check boe_b0540)

A blocking check on the market risk: ASA general interest rate risk (AS1 IRR) template (OF91.01.01.01), in the own funds (PRA001) return.

Line4 Check does not run it on the own funds (PRA001) return. On items no template of the return has. It reads only concepts or members that none of the return’s templates has, so it can never apply to it.

Check your PRA001 returnWhat to do if it fails

Line4 Check does not run this check yet, so the button checks your return against the Bank's other checks for it. The validation run when you submit includes this one.

The rule in plain words

The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements.

In each of 38 rows (listed below) of Market risk: ASA general interest rate risk (AS1 IRR) (OF91.01.01.01): "Total" (column 0150) must equal the sum of "Delta Risk" (column 0120), "Vega Risk" (column 0130) and "Curvature Risk" (column 0140).

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02Add up the parts in your return and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  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 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')

Columns

  • C0120Delta Risk
  • C0130Vega Risk
  • C0140Curvature Risk
  • C0150Total

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 formulaShow

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

{t: OF91.01.01.01, c: 0150} = {t: OF91.01.01.01, c: 0120} + {t: OF91.01.01.01, c: 0130} + {t: OF91.01.01.01, c: 0140}

Where it applies, in the Bank's words (its scope):

scope({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, f: banking, fv: banking_reporting})

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.