The rule in plain words
In Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01): "Of which: trading book" in column "Total AVA" (row 0020, column 0110) must not be less than the sum of 7 cells (listed below).
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller 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 C32.02.01 as reported.
- 05This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01)
Row
- R0020Of which: trading book
Columns
- C0010Market price uncertainty
- C0030Close-out costs
- C0050Model risk
- C0110Total AVA
Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03)
Row
- R0020of which: trading book
Columns
- C0070Concentrated positions
- C0080Future admnistrative costs
- C0090Early termination
- C0100Operational risk
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 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:
[v10234_m];[{t: C32.02.01.01, r: 0020, c: 0110} >= {t: C32.02.01.01, r: 0020, c: 0010} + {t: C32.02.01.01, r: 0020, c: 0030} + {t: C32.02.01.01, r: 0020, c: 0050} + {t: C32.02.01.03, r: 0020, c: 0070} + {t: C32.02.01.03, r: 0020, c: 0080} + {t: C32.02.01.03, r: 0020, c: 0090} + {t: C32.02.01.03, r: 0020, c: 0100}]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C32.02.01.01, r: 0020, c: 0110} >= {t: C32.02.01.01, r: 0020, c: 0010} + {t: C32.02.01.01, r: 0020, c: 0030} + {t: C32.02.01.01, r: 0020, c: 0050} + {t: C32.02.01.03, r: 0020, c: 0070} + {t: C32.02.01.03, r: 0020, c: 0080} + {t: C32.02.01.03, r: 0020, c: 0090} + {t: C32.02.01.03, r: 0020, c: 0100}Other rules on Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01)
- Prudent valuation: core approach - Pre and post diversification (PRUVAL 2): a conditional check (v10697_m)
- "Portfolios under articles 9 to 17 - total category level post-diversification" in column "Total AVA" must equal the sum of 7 cells (v8641_m)
- "Total core approach" in column "Total AVA" must equal the sum of 8 cells (v8640_m)
- Every value in 15 rows in column "Total AVA" must be zero or more (v7306_s)Blocking
- Prudent valuation: core approach - Pre and post diversification (PRUVAL 2): a value must not be more than another (v6571_s)Blocking
- Prudent valuation: core approach - Pre and post diversification (PRUVAL 2): every value in 12 rows in 6 columns must be zero or more (v6570_s)Blocking
- Prudent valuation: core approach - Pre and post diversification (PRUVAL 2): a value must not be less than another (v6359_m)BlockingNot run
- "Total AVA" must equal the sum of "Market price uncertainty", "Close-out costs" and "Model risk" (v6358_m)
Every PRA banking rule on C32.02.01.01
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.