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 equity risk (AS5 EQ) (OF91.05.01.01): "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
- 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 OF91.05.01 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 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
Columns
- C0120Delta Risk
- C0130Vega Risk
- C0140Curvature Risk
- C0150Total
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: OF91.05.01.01, c: 0150} = {t: OF91.05.01.01, c: 0120} + {t: OF91.05.01.01, c: 0130} + {t: OF91.05.01.01, c: 0140}Where it applies, in the Bank's words (its scope):
scope({t: OF91.05.01.01, r:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170, f: banking, fv: banking_reporting})Other rules on Market risk: ASA equity risk (AS5 EQ) (OF91.05.01.01)
- 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_b0692)Blocking
- Market risk: ASA equity risk (AS5 EQ): total net sensitivites of equity risk (boe_b0691)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): values must agree (boe_b0935)
- Market risk: ASA equity risk (AS5 EQ): total negative unweighted delta senitivities of equity risk (boe_b0420)Blocking
- Market risk: ASA equity risk (AS5 EQ): total positive unweighted delta senitivities of equity risk (boe_b0419)Blocking
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.