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1 min readWarningBank of England banking taxonomy 4.1.1Updated 11 November 2026

"Total AVA" must equal the sum of "Market price uncertainty", "Close-out costs" and "Model risk" (C32.02.01.01, Bank of England check v6358_m)

A warning on the prudent valuation: core approach - Pre and post diversification (PRUVAL 2) template (C32.02.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

In each of 5 rows (listed below) of Prudent valuation: core approach - Pre and post diversification (PRUVAL 2) (C32.02.01.01): "Total AVA" (column 0110) must equal the sum of "Market price uncertainty" (column 0010), "Close-out costs" (column 0030) and "Model risk" (column 0050).

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02Add up the parts in your return and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark C32.02.01 as reported.
  6. 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

  • R0040Total category level pre-diversification
  • R0050Of which: unearned credit spreads AVA
  • R0060Of which: investment and funding costs AVA
  • R0150(-) Diversification benefit calculated using method 1
  • R0160(-) Diversification benefit calculated using method 2

Columns

  • C0010Market price uncertainty
  • C0030Close-out costs
  • C0050Model risk
  • C0110Total AVA

A worked example

With simple numbers.

Illustrative values
Market price uncertainty1,200
Close-out costs800
Model risk450
Together2,450
What the rule then expects

Total AVA must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 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:

[v6358_m];[scope({t: C32.02.01.01, r:0040;0050;0060;0150;0160})];[{t: C32.02.01.01, c: 0110} = {t: C32.02.01.01, c: 0010} + {t: C32.02.01.01, c: 0030} + {t: C32.02.01.01, c: 0050}]
Show the formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: C32.02.01.01, c: 0110} = {t: C32.02.01.01, c: 0010} + {t: C32.02.01.01, c: 0030} + {t: C32.02.01.01, c: 0050}

Where it applies, in the Bank's words (its scope):

scope({t: C32.02.01.01, r:0040;0050;0060;0150;0160, f: banking, fv: banking_reporting})

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.