The rule in plain words
In Group solvency: information on affiliates (GS) (C06.02.01.01): "Combined buffer requirements" (column 0410) must equal "Capital conservation buffer" (column 0420) plus "Institution specific countercyclical buffer" (column 0430) plus "Conservation buffer due to macro-prudential or systemic risk identified at the level of A member state" (column 0440) plus "Systemic risk buffer" (column 0450) plus the larger of "Global systemically important institution buffer" (column 0470) and "Other systemically important institution buffer" (column 0480).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C06.02.01 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
Group solvency: information on affiliates (GS) (C06.02.01.01)
Columns
- C0410Combined buffer requirements
- C0420Capital conservation buffer
- C0430Institution specific countercyclical buffer
- C0440Conservation buffer due to macro-prudential or systemic risk identified at the level of A member state
- C0450Systemic risk buffer
- C0470Global systemically important institution buffer
- C0480Other systemically important institution buffer
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:
v6289_m: [C06.02.01.01 (All rows)] {c0410} = {c0420} + {c0430} + {c0440} + {c0450} + max({c0470}, {c0480})
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C06.02.01.01, c: 0410} = {t: C06.02.01.01, c: 0420} + {t: C06.02.01.01, c: 0430} + {t: C06.02.01.01, c: 0440} + {t: C06.02.01.01, c: 0450} + max({t: C06.02.01.01, c: 0470}, {t: C06.02.01.01, c: 0480})Other rules on Group solvency: information on affiliates (GS) (C06.02.01.01)
- If "Minority interests included in consolidated common equity tier 1 capital" is reported, "Of which: common equity tier 1" must be reported (e8707_e)
- Group solvency: information on affiliates (GS): a conditional check (e8708_e)
- If "Qualifying own funds instruments included in consolidated tier 2 capital" is reported, "Consolidated own funds" must be reported (e8709_e)
- If "Qualifying own funds included in consolidated own funds" is reported, "Consolidated own funds" must be reported (e8710_e)
- If "Memorandum item: goodwill (-) / (+) negative goodwill" is reported, "Of which: (-) goodwill / (+) negative goodwill" must be reported (e8711_e)
- Group solvency: information on affiliates (GS): a conditional check (e8712_e)
- If "Of which: minority interests" is reported, "Institution or equivalent (yes / no)" must equal true (v8713_m)
- Group solvency: information on affiliates (GS): every value in 29 columns must be zero or more (v3696_s)
Every PRA banking rule on C06.02.01.01
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.
