The rule in plain words
In each of 6 columns (listed below) of Prudent valuation: fair-valued assets and liabilities (PRUVAL 1) (C32.01.01.01): "Total fair-valued liabilities" (row 0150) must equal the sum of "Financial liabilities held for trading" (row 0160), "Trading financial liabilities" (row 0170), "Financial liabilities designated at fair value through profit or loss" (row 0180), "Derivatives - hedge accounting" (row 0190), "Fair value changes of the hedged items in portfolio hedge of interest rate risk" (row 0200) and "Haircuts for trading liabilities at fair value" (row 0210).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C32.01.01 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
Prudent valuation: fair-valued assets and liabilities (PRUVAL 1) (C32.01.01.01)
Rows
- R0150Total fair-valued liabilities
- R0160Financial liabilities held for trading
- R0170Trading financial liabilities
- R0180Financial liabilities designated at fair value through profit or loss
- R0190Derivatives - hedge accounting
- R0200Fair value changes of the hedged items in portfolio hedge of interest rate risk
- R0210Haircuts for trading liabilities at fair value
Columns
- C0010Fair-valued assets and liabilities
- C0020of which: trading book
- C0050Prudential filters
- C0060Other
- C0080Fair-valued assets and liabilities included in art. 4(1) threshold
- C0090of which: trading book
A worked example
With simple numbers.
Total fair-valued liabilities 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 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:
v6324_m: [C32.01.01.01 (c0010;0020;0050;0060;0080;0090)] {r0150} = {r0160} + {r0170} + {r0180} + {r0190} + {r0200} + {r0210}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C32.01.01.01, r: 0150} = {t: C32.01.01.01, r: 0160} + {t: C32.01.01.01, r: 0170} + {t: C32.01.01.01, r: 0180} + {t: C32.01.01.01, r: 0190} + {t: C32.01.01.01, r: 0200} + {t: C32.01.01.01, r: 0210}Where it applies, in the Bank's words (its scope):
scope({t: C32.01.01.01, c:0010;0020;0050;0060;0080;0090, f: banking, fv: banking_reporting})Other rules on Prudent valuation: fair-valued assets and liabilities (PRUVAL 1) (C32.01.01.01)
- Prudent valuation: fair-valued assets and liabilities (PRUVAL 1): "Total fair-valued assets" must equal "Derivatives - hedge accounting" (v6323_m)Blocking
- Prudent valuation: fair-valued assets and liabilities (PRUVAL 1): a total must equal the sum of its parts (v6325_m)Blocking
- Prudent valuation: fair-valued assets and liabilities (PRUVAL 1): "Total fair-valued assets" must equal the sum of 11 cells (v6322_m)Blocking
- "Total fair-valued liabilities" must equal "Derivatives - hedge accounting" (v6326_m)Blocking
- Prudent valuation: fair-valued assets and liabilities (PRUVAL 1): "Total fair-valued assets" must equal the sum of 12 cells (v6321_m)Blocking
- "of which: trading book" must not be more than "Fair-valued assets and liabilities" (v6327_m)Blocking
- "Total fair-valued assets and liabilities" must equal the sum of "Total fair-valued assets" and "Total fair-valued liabilities" (v6320_m)Blocking
- "of which: trading book" must not be less than "Fair-valued assets and liabilities" (v6328_m)Blocking
Every PRA banking rule on C32.01.01.01
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.