The rule in plain words
In Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03): every value in 11 rows (listed below) in "Fair-value assets" (column 0130) and "Fair-value liabilities" (column 0140) must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark C32.02.01 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03)
Rows
- R0010Total core approach
- R0020of which: trading book
- R0030Portfolios under articles 9 to 17 - total category level post-diversification
- R0050of which: unearned credit spreads AVA
- R0060of which: investment and funding costs AVA
- R0090Interest rates
- R0100Foreign exchange
- R0110Credit
- R0120Equities
- R0130Commodities
- R0180Portfolios under the fall-back approach
Columns
- C0130Fair-value assets
- C0140Fair-value liabilities
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:
[C32.02.01.03];[{t: C32.02.01.03, r: 0010; 0020; 0030; 0050; 0060; 0090; 0100; 0110; 0120; 0130; 0180, c: 0130; 0140} >= 0]
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: 0010; 0020; 0030; 0050; 0060; 0090; 0100; 0110; 0120; 0130; 0180, c: 0130; 0140} >= 0Other rules on Prudent valuation: core approach - Other (PRUVAL 2) (C32.02.01.03)
- 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)
- 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
- "Total core approach" must equal "Portfolios under articles 9 to 17 - total category level post-diversification" (v6336_m)
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.