The rule in plain words
In Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03): "Portfolios under articles 9 to 17 - total category level post-diversification" in column "Total AVA" (row 0030, column 0110) in Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01) must equal the sum of "Total category level pre-diversification" in column "Total AVA" (row 0040, column 0110) in Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01), "(-) Diversification benefits" in column "Total AVA" (row 0140, column 0110) in Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01), "Portfolios under articles 9 to 17 - total category level post-diversification" in column "Concentrated positions" (row 0030, column 0070), "Portfolios under articles 9 to 17 - total category level post-diversification" in column "Future admnistrative costs" (row 0030, column 0080), "Portfolios under articles 9 to 17 - total category level post-diversification" in column "Early termination" (row 0030, column 0090) and "Portfolios under articles 9 to 17 - total category level post-diversification" in column "Operational risk" (row 0030, column 0100).
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 tables 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C32.02.01 as reported.
- 06This 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)
Rows
- R0030Portfolios under articles 9 to 17 - total category level post-diversification
- R0040Total category level pre-diversification
- R0140(-) Diversification benefits
Column
- C0110Total AVA
Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03)
Row
- R0030Portfolios under articles 9 to 17 - total category level post-diversification
Columns
- C0070Concentrated positions
- C0080Future admnistrative costs
- C0090Early termination
- C0100Operational risk
A worked example
With simple numbers.
Portfolios under articles 9 to 17 - total category level post-diversification, Total AVA must then be 3,000.
A file that reports 3,000 passes. One that reports 3,100 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 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:
[v10235_m];[{t: C32.02.01.01, r: 0030, c: 0110} = {t: C32.02.01.01, r: 0040, c: 0110} + {t: C32.02.01.01, r: 0140, c: 0110} + {t: C32.02.01.03, r: 0030, c: 0070} + {t: C32.02.01.03, r: 0030, c: 0080} + {t: C32.02.01.03, r: 0030, c: 0090} + {t: C32.02.01.03, r: 0030, 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: 0030, c: 0110} = {t: C32.02.01.01, r: 0040, c: 0110} + {t: C32.02.01.01, r: 0140, c: 0110} + {t: C32.02.01.03, r: 0030, c: 0070} + {t: C32.02.01.03, r: 0030, c: 0080} + {t: C32.02.01.03, r: 0030, c: 0090} + {t: C32.02.01.03, r: 0030, c: 0100}Other rules on Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03)
- Prudent valuation: core approach - Other (PRUVAL 2): a value must not be negative (v6576_s)
- Prudent valuation: core approach - Other (PRUVAL 2): every value in 9 rows in 7 columns must be zero or more (v6575_s)Blocking
- Prudent valuation: core approach - Other (PRUVAL 2): every value in 8 rows in 5 columns must be zero or more (v6574_s)Blocking
- Every value in 11 rows in "Fair-value assets" and "Fair-value liabilities" must be zero or more (v6573_s)Blocking
- Prudent valuation: core approach - Other (PRUVAL 2): a value must not be less than another (v6362_m)BlockingNot run
- Prudent valuation: core approach - Other (PRUVAL 2): a total must equal the sum of its parts (v6343_m)
- Prudent valuation: core approach - Other (PRUVAL 2): "of which: trading book" must not be more than "Total core approach" (v6341_m)
- Prudent valuation: core approach - Other (PRUVAL 2): a total must equal the sum of its parts (v6338_m)Blocking
Every PRA banking rule on C32.02.01.03
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.