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Overview
The UK Financial Conduct Authority (FCA) requires regulated firms to submit regular prudential returns. The FSA005 Market Risk return captures detailed information on a firm’s market risk exposures across interest rate risk, equity risk, commodity risk, foreign currency risk, and collective investment undertaking risk.
Using North52 Business Rules Engine, organizations can automate XML data validation directly within Dynamics 365 or Dataverse – ensuring totals reconcile correctly, PRR calculations are accurate, and reporting thresholds are met before submission to the regulator.
This article demonstrates how to validate FSA005 Market Risk XML data using a Microsoft Copilot Studio agent that calls a North52 formula via an unbound Dataverse action. The validation rules check various calculations including General Interest Rate Risk PRR totals, Specific Interest Rate Risk aggregations, and Internal Models-based charges.
Rules for Validation
The validation rules for the FSA005 return are defined in the FCA’s data definition specification. A sample of the rules implemented in this example is shown below:
| Rule # | Description |
|---|---|
| 3G ERR0030 | GeneralInterestRateRisk-PRR-Total = + GeneralInterestRateRisk-PRR-USD + GeneralInterestRateRisk-PRR-GBP + GeneralInterestRateRisk-PRR-EUR + GeneralInterestRateRisk-PRR-CHF + GeneralInterestRateRisk-PRR-YEN + GeneralInterestRateRisk-PRR-Other |
| 18G ERR0010 | InterestRate-TotalPRR-Total = GeneralInterestRate-PRR-Total + SpecificInterestRate-PRR-Total + the higher of (LongSecuritisationPRR-Total + LongReSecuritisationPRR-Total) or (ShortSecuritisationPRR-Total + ShortReSecuritisationPRR-Total) + Sum of (OrdinaryCDSPRR-Total, SecuritisationCDSPRR-Total, BasicPRR-Total, OptionPRR-Total, CAD1PRR-Total, OtherPRR-Total) + the higher of (LongCorrelationTradingPRR-Total,ShortCorrelationTradingPRR-Total) |
| 70G | Conditional: mandatory if InterestRate-ShortCorrelationTradingPRR-Total (71G) is present |
| Add-ons | Description is conditional mandatory if the add-on row is present Value is conditional mandatory if the add-on row is present Repeat this for as many add-on rows are present in the XML document |