The rule in plain words
Own funds requirement for other residual underlying
In each of "Gap risk" (row 0030), "Correlation risk" (row 0040) and "Behavioural risk" (row 0050) of Market risk: ASA residual risk add on (AS9 RRAO) (OF91.09.01.01): "Own funds requirements" (column 0020) must equal "Gross notional value" (column 0010) multiplied by 0.001.
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF91.09.01 as reported.
The cells it reads
Market risk: ASA residual risk add on (AS9 RRAO) (OF91.09.01.01)
Rows
- R0030Gap risk
- R0040Correlation risk
- R0050Behavioural risk
Columns
- C0010Gross notional value
- C0020Own funds requirements
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: OF91.09.01.01, c: 0020} = {t: OF91.09.01.01, c: 0010} * 0.001Where it applies, in the Bank's words (its scope):
scope({t: OF91.09.01.01, r:0030;0040;0050, f: banking, fv: banking_reporting})Other rules on Market risk: ASA residual risk add on (AS9 RRAO) (OF91.09.01.01)
- Market risk: ASA residual risk add on (AS9 RRAO): own funds requirement for Exotic underlying (boe_b0549)Blocking
- Market risk: ASA residual risk add on (AS9 RRAO): deriving total risk exposure from own funds requirements (boe_b0547)Blocking
- Market risk: ASA residual risk add on (AS9 RRAO): the gross notional value of total residual risk add-on (boe_b0711)Blocking
- Market risk: ASA residual risk add on (AS9 RRAO): the total own funds requirements for residual risk (boe_b0714)Blocking
Every PRA banking rule on OF91.09.01.01
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.