The rule in plain words
In each of 9 columns (listed below) of Own funds (CA1) (CP01.00.05.01): "Adjustments to CET1 due to prudential filters" (row 0250) must equal the sum of "(-) Increases in equity resulting from securitised assets" (row 0260), "Cash flow hedge reserve" (row 0270), "Cumulative gains and losses due to changes in own credit risk on fair valued liabilities" (row 0280), "Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities" (row 0285) and "(-) Value adjustments due to the requirements for prudent valuation" (row 0290).
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.
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 CP01.00.05 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
Own funds (CA1) (CP01.00.05.01)
Rows
- R0250Adjustments to CET1 due to prudential filters
- R0260(-) Increases in equity resulting from securitised assets
- R0270Cash flow hedge reserve
- R0280Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
- R0285Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
- R0290(-) Value adjustments due to the requirements for prudent valuation
Columns
- C0020Q1
- C0030Q2
- C0040Q3
- C0050Q4
- C0060Q5
- C0070Q6
- C0080Q7
- C0090Q8
- C0100Year-end following Q8
A worked example
With simple numbers.
Adjustments to CET1 due to prudential filters must then be 2,900.
A file that reports 2,900 passes. One that reports 3,000 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 capital+ forecast semi annual (PRA113) and capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) and capital+ forecast semi annual (PRA113) 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:
[v0177-2_m];[scope({t: CP01.00.05.01, c:0020;0030;0040;0050;0060;0070;0080;0090;0100})];[{t: CP01.00.05.01, r: 0250} = {t: CP01.00.05.01, r: 0260} + {t: CP01.00.05.01, r: 0270} + {t: CP01.00.05.01, r: 0280} + {t: CP01.00.05.01, r: 0285} + {t: CP01.00.05.01, r: 0290}]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: CP01.00.05.01, r: 0250} = {t: CP01.00.05.01, r: 0260} + {t: CP01.00.05.01, r: 0270} + {t: CP01.00.05.01, r: 0280} + {t: CP01.00.05.01, r: 0285} + {t: CP01.00.05.01, r: 0290}Where it applies, in the Bank's words (its scope):
scope({t: CP01.00.05.01, c:0020;0030;0040;0050;0060;0070;0080;0090;0100, f: banking, fv: capital_plus})The same code in the capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) return: another check
The Bank of England uses v0177-2_m for a different check in the capital+ forecast semi annual for SDDTs and SDDT consolidation entities (PRA117) return. There it is a blocking check on own funds for SDDTs (CA1 SDDT) (SC01.00.02.01).
In each of 5 columns (listed below) of Own funds for SDDTs (CA1 SDDT) (SC01.00.02.01): "Adjustments to CET1 due to prudential filters" (row 0250) must equal the sum of 5 rows (listed below).
Own funds for SDDTs (CA1 SDDT) (SC01.00.02.01)
Rows
- R0250Adjustments to CET1 due to prudential filters
- R0260(-) Increases in equity resulting from securitised assets
- R0270Cash flow hedge reserve
- R0280Cumulative gains and losses due to changes in own credit risk on fair valued liabilities
- R0285Fair value gains and losses arising from the institution's own credit risk related to derivative liabilities
- R0290(-) Value adjustments due to the requirements for prudent valuation
Columns
- C0030Q2
- C0050Q4
- C0070Q6
- C0090Q8
- C0100Year-end following Q8
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:
[v0177-2_m];[scope({t: SC01.00.02.01, c:0030;0050;0070;0090;0100})];[{t: SC01.00.02.01, r: 0250} = sum({t: SC01.00.02.01, r: 0260; 0270; 0280; 0285; 0290})]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: SC01.00.02.01, r: 0250} = sum({t: SC01.00.02.01, r: 0260; 0270; 0280; 0285; 0290})Where it applies, in the Bank's words (its scope):
scope({t: SC01.00.02.01, c:0030;0050;0070;0090;0100, f: banking, fv: capital_plus_sddt})Other rules on Own funds (CA1) (CP01.00.05.01)
- Own funds (CA1): "Common equity tier 1 (CET1) capital" must equal the sum of 29 cells (v0172-2_m)Blocking
- Own funds (CA1): "Additional tier 1 (AT1) capital" must equal the sum of 12 cells (v0182-2_m)Blocking
- Own funds (CA1): values must agree (v0185-2_m)Blocking
- Own funds (CA1): every value in the cells it covers must be zero or less (v3685-2_s)Blocking
- Own funds (CA1): a total must equal the sum of its parts (v09738-2_m)
Every PRA banking rule on CP01.00.05.01
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.