The rule in plain words
'Market value of collateral lent (period average)' must be higher than or equal to zero
In each of 8 rows (listed below) of (LR6) Treatment of collateral swaps (LV49.00.00.01): every value in "Market value of collateral lent (period average)" (column 0030) 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 LV49.00.00 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
(LR6) Treatment of collateral swaps (LV49.00.00.01)
Rows
- R0010Total collateral swaps
- R0020of which client financing
- R0030of which activity for franchise clients
- R0040of which intra-group activity
- R0050of which: Totals for transactions in which Level 1 HQLAs are lent and the following collateral is borrowed
- R0100of which: Totals for transactions in which Level 2A HQLAs are lent and the following collateral is borrowed
- R0150of which: Totals for transactions in which Level 2B HQLAs are lent and the following collateral is borrowed
- R0200of which: Totals for transactions in which non-liquid assets are lent and the following collateral is borrowed
Column
- C0030Market value of collateral lent (period average)
Which returns it applies to
Line4 Check runs it on the contingent leverage (LVR002) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to contingent leverage (LVR002) returns, as a blocking check.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: LV49.00.00.01, c: 0030} >= 0Where it applies, in the Bank's words (its scope):
scope({t: LV49.00.00.01, r:0010;0020;0030;0040;0050;0100;0150;0200, f: banking, fv: leverage 2023-05-11})Other rules on (LR6) Treatment of collateral swaps (LV49.00.00.01)
- The amount of 'Total collateral swaps' must be equal or higher to the amount 'of which intra-group activity' (boe_b0034)Blocking
- (LR6) Treatment of collateral swaps: 'Market value of collateral borrowed (period average)' must be higher than or equal to zero (boe_b0036)Blocking
- The amount of 'Total collateral swaps' must be equal or higher to the amount 'of which activity for franchise clients' (boe_b0033)Blocking
- 'Market value of collateral lent (period end) - totals for transactions (...)' must be higher than or equal to zero (boe_b0037)Blocking
- The amount of 'Total collateral swaps' must be equal or higher to the amount 'of which client financing' (boe_b0032)Blocking
- 'Market value of collateral borrowed (period end)' - level 1, level 2A, level 2B and non-liquid assets must be higher than or equal to zero (boe_b0038)Blocking
- (LR6) Treatment of collateral swaps: the amount of 'Total collateral swaps' at period end must equal the sum of 'Totals for transactions' (boe_b0031)Blocking
- (LR6) Treatment of collateral swaps: a total must equal the sum of its parts (boe_b0039)Blocking
Every PRA banking rule on LV49.00.00.01
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.