The rule in plain words
In each of 16 columns (listed below) of Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03): "Portfolios under articles 9 to 17 - total category level post-diversification" (row 0030) must equal the sum of "Interest rates" (row 0090), "Foreign exchange" (row 0100), "Credit" (row 0110), "Equities" (row 0120) and "Commodities" (row 0130).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C32.02.01 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 - Other (PRUVAL 2) (C32.02.01.03)
Rows
- R0030Portfolios under articles 9 to 17 - total category level post-diversification
- R0090Interest rates
- R0100Foreign exchange
- R0110Credit
- R0120Equities
- R0130Commodities
Columns
- C0070Concentrated positions
- C0080Future admnistrative costs
- C0090Early termination
- C0100Operational risk
- C0130Fair-value assets
- C0140Fair-value liabilities
- C0150QTD revenue
- C0160IPV difference
- C0170Market price uncertainty
- C0180Close-out costs
- C0190Model risk
- C0200Concentrated positions
- C0230Future admnistrative costs
- C0240Early termination
- C0250Operational risk
- C0260Day 1 P&L
A worked example
With simple numbers.
Portfolios under articles 9 to 17 - total category level post-diversification 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 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:
[C32.02.01.03];[scope({t: C32.02.01.03, c:0070;0080;0090;0100;0130;0140;0150;0160;0170;0180;0190;0200;0230;0240;0250;0260})];[{t: C32.02.01.03, r: 0030} = {t: C32.02.01.03, r: 0090} + {t: C32.02.01.03, r: 0100} + {t: C32.02.01.03, r: 0110} + {t: C32.02.01.03, r: 0120} + {t: C32.02.01.03, r: 0130}]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C32.02.01.03, r: 0030} = {t: C32.02.01.03, r: 0090} + {t: C32.02.01.03, r: 0100} + {t: C32.02.01.03, r: 0110} + {t: C32.02.01.03, r: 0120} + {t: C32.02.01.03, r: 0130}Where it applies, in the Bank's words (its scope):
scope({t: C32.02.01.03, c:0070;0080;0090;0100;0130;0140;0150;0160;0170;0180;0190;0200;0230;0240;0250;0260, f: banking, fv: banking_reporting})Other rules on Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03)
- 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
- "Total core approach" must equal "Portfolios under articles 9 to 17 - total category level post-diversification" (v6336_m)
- Prudent valuation: core approach - Other (PRUVAL 2): a value must not be less than another (v6362_m)BlockingNot run
- 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): every value in 8 rows in 5 columns must be zero or more (v6574_s)Blocking
- 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): a value must not be negative (v6576_s)
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.