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

"General risk" must equal the sum of "Duration-based approach" and "Maturity-based approach" (OF18.00.01.01, Bank of England check v0002_h)

A blocking check on the market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) template (OF18.00.01.01), 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

In column "Own funds requirements" (0060) of Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01): "General risk" (row 0011) must equal the sum of "Duration-based approach" (row 0210) and "Maturity-based approach" (row 0020).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 OF18.00.01 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: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)

Rows

  • R0011General risk
  • R0020Maturity-based approach
  • R0210Duration-based approach

Column

  • C0060Own funds requirements

Sheets

  • S0001Total
  • S0002Euro
  • S0003Lek
  • S0004Bulgarian Lev
  • S0005Czech Koruna
  • S0006Danish Krone
  • S0007Pound Sterling
  • S0008Forint
  • S0009Yen
  • S0012Denar
  • S0013Zloty
  • S0014Romanian Leu
  • S0015Russian Ruble
  • S0016Serbian Dinar
  • S0017Swedish Krona
  • S0018Swiss Franc
  • S0019Turkish Lira
  • S0020Hryvnia
  • S0021US Dollar
  • S0022Iceland Krona
  • S0023Norwegian Krone
  • S0024Egyptian Pound
  • S0025Other
  • S0026Croatian Kuna

A worked example

With simple numbers.

Illustrative values
Duration-based approach1,200
Maturity-based approach800
Together2,000
What the rule then expects

General risk must then be 2,000.

2,000Passes
2,100Fails

A file that reports 2,000 passes. One that reports 2,100 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 plain words above spell out the Bank’s formula, with each cell named from its templates. In the Bank of England’s list of validations, word for word:

v0002_h: [OF18.00.01.01 (c0060, All sheets)] {r0011} = +{r0210} + {r0020}
Show the formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: OF18.00.01.01, r: 0011, c: 0060} = {t: OF18.00.01.01, r: 0210, c: 0060} + {t: OF18.00.01.01, r: 0020, c: 0060}

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

scope({t: OF18.00.01.01, z:0001;0002;0003;0004;0005;0006;0007;0008;0009;0012;0013;0014;0015;0016;0017;0018;0019;0020;0021;0022;0023;0024;0025;0026, f: banking, fv: banking_reporting})

Every PRA banking rule on OF18.00.01.01

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.