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1 min readWarningBank of England banking taxonomy 4.1.1Updated 11 November 2026

Market risk: ASA general interest rate risk (AS1 IRR): values must agree (OF91.01.01.01, Bank of England check boe_b0931_1)

A warning on the market risk: ASA general interest rate risk (AS1 IRR) template (OF91.01.01.01), 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 rule

The rule in plain words

At the individual entity level, the total own funds requirement for GIR risk is determined as the highest of the own funds requirements under the low, medium and high-correlation scenarios. At the consolidated and partially consolidated levels, the total own funds requirement for GIR risk is determined as the sum of the risk class specific own funds requirements calculated at the individual entity level, taking into account any netting permitted under Article 325b permission

In row "Total General interest rate risk (GIRR)" (0010) of Market risk: ASA general interest rate risk (AS1 IRR) (OF91.01.01.01): "Own funds requirements" (column 0160) on sheet "Other trading book positions" (sheet 0002) must equal the largest of "Total" (column 0070) on sheet "Other trading book positions" (sheet 0002), "Total" (column 0110) on sheet "Other trading book positions" (sheet 0002) and "Total" (column 0150) on sheet "Other trading book positions" (sheet 0002).

The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.

This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark OF91.01.01 as reported.

The cells it reads

Market risk: ASA general interest rate risk (AS1 IRR) (OF91.01.01.01)

Row

  • R0010Total General interest rate risk (GIRR)

Columns

  • C0070Total
  • C0110Total
  • C0150Total
  • C0160Own funds requirements

Sheet

  • S0002Other trading book positions

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 warning.

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, r: 0010, c: 0160, z: 0002} = max({t: OF91.01.01.01, r: 0010, c: 0070, z: 0002}, {t: OF91.01.01.01, r: 0010, c: 0110, z: 0002}, {t: OF91.01.01.01, r: 0010, c: 0150, z: 0002})

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.