The rule in plain words
Holdings 'of which held in trading book for less than 30 days' shall not exceed total holdings with a significant investment (row 140)
In each of 7 columns (listed below) of MREL Resources - accounting value (MR02.01.01.02): "Of which held in the trading book for no longer than 30 business days, with significant investment" (row 143) must not be more than "Institution’s holdings of MREL eligible liabilities instruments of G-SIB entities in which the institution has a significant investment" (row 140).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark MR02.01.01 as reported.
- 05This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
MREL Resources - accounting value (MR02.01.01.02)
Rows
- R140Institution’s holdings of MREL eligible liabilities instruments of G-SIB entities in which the institution has a significant investment
- R143Of which held in the trading book for no longer than 30 business days, with significant investment
Columns
- C080Less than one year (accounting value)
- C090One year and greater, less than two years (accounting value)
- C100Two years and greater, less than five years (accounting value)
- C110Five years and greater (accounting value)
- C120Perpetual (accounting value)
- C130Calculated amount that does not have maturity (accounting value)
- C140Current reporting aggregate (accounting value)
Which returns it applies to
Line4 Check runs it on the MREL resources (MRL001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to MREL resources (MRL001) 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: MR02.01.01.02, r: 143} <= {t: MR02.01.01.02, r: 140}Where it applies, in the Bank's words (its scope):
scope({t: MR02.01.01.02, c:080;090;100;110;120;130;140, f: banking, fv: mrel})Other rules on MREL Resources - accounting value (MR02.01.01.02)
- MREL Resources - accounting value: all the accounting values shall be greater than or equal to zero (boe_b4006_2)Blocking
- Total MREL Resources shall be greater than or equal to the individual MREL items across the maturity profiles (boe_b4008_2)Blocking
- MREL Resources - accounting value: a value must not be more than another (boe_b4005_2)Blocking
- The total accounting value shall be equal to the sum of the accounting value for each residual maturity bucket (columns 080 to 130) (boe_b4004)Blocking
- MREL Resources - accounting value: all the data entries in the MREL Resources template are mandatory. Blank values are not acceptable (boe_b4103_2)Blocking
Every PRA banking rule on MR02.01.01.02
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.