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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 (OF91.03.01.01, Bank of England check boe_b0589)

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

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

In each of 17 rows (listed below) of Market risk: ASA credit spread risk for securitisation included in the alternative correlation trading portfolio (AS3 ACTP) (OF91.03.01.01): "Total" (column 0070) must equal the sum of "Delta Risk" (column 0040), "Vega Risk" (column 0050) and "Curvature Risk" (column 0060).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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. 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark OF91.03.01 as reported.
  6. 06This 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

Columns

  • C0040Delta Risk
  • C0050Vega Risk
  • C0060Curvature Risk
  • C0070Total

A worked example

With simple numbers.

Illustrative values
Delta Risk1,200
Vega Risk800
Curvature Risk450
Together2,450
What the rule then expects

Total must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

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, c: 0070} = {t: OF91.03.01.01, c: 0040} + {t: OF91.03.01.01, c: 0050} + {t: OF91.03.01.01, c: 0060}

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

scope({t: OF91.03.01.01, r:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170, f: banking, fv: banking_reporting})

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.