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 26 rows (listed below) of Market risk: ASA credit spread risk for securitisation not included in the alternative correlation trading portfolio (AS4 NACTP) (OF91.04.01.01): "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
- 01Open the table below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark OF91.04.01 as reported.
- 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 not included in the alternative correlation trading portfolio (AS4 NACTP) (OF91.04.01.01)
Rows
- R0010Total Credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)
- R0020RMBS-Prime
- R0030RMBS- Mid-Prime
- R0040RMBS- Sub-Prime
- R0050CMBS
- R0060Asset backed securities (ABS) - Student loans
- R0070ABS - Credit cards
- R0080ABS- Auto
- R0090Collateralised loan obligations (CLO) non-ACTP
- R0100RMBS-Prime
- R0110RMBS- Mid-Prime
- R0120RMBS- Sub-Prime
- R0130CMBS
- R0140ABS - Student loans
- R0150ABS - Credit cards
- R0160ABS- Auto
- R0170CLO non-ACTP
- R0180RMBS-Prime
- R0190RMBS- Mid-Prime
- R0200RMBS- Sub-Prime
- R0210CMBS
- R0220ABS - Student loans
- R0230ABS - Credit cards
- R0240ABS- Auto
- R0250CLO non-ACTP
- R0260Other sector
Columns
- C0040Delta Risk
- C0050Vega Risk
- C0060Curvature Risk
- C0070Total
A worked example
With simple numbers.
Total must then be 2,450.
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 formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF91.04.01.01, c: 0070} = {t: OF91.04.01.01, c: 0040} + {t: OF91.04.01.01, c: 0050} + {t: OF91.04.01.01, c: 0060}Where it applies, in the Bank's words (its scope):
scope({t: OF91.04.01.01, 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, f: banking, fv: banking_reporting})Other rules on Market risk: ASA credit spread risk for securitisation not included in the alternative correlation trading portfolio (AS4 NACTP) (OF91.04.01.01)
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0689)Blocking
- The total owns funds requirement under each scenario is the sum of delta, vega and curvature risk requirements (boe_b0690)Blocking
- Total net sensitivites of non-ACTP CSR (boe_b0681)Blocking
- Deriving total risk exposure from own funds requirements (boe_b0544)Blocking
- Market risk: ASA credit spread risk for securitisation not included in the alternative correlation trading portfolio (AS4 NACTP): values must agree (boe_b0934)
- Total negative unweighted delta senitivities of non-ACTP CSR (boe_b0418)Blocking
- Total positive unweighted delta senitivities of non-ACTP CSR (boe_b0417)Blocking
Every PRA banking rule on OF91.04.01.01
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.