The rule in plain words
In Part 1: Aggregate information (SR807.01.07.02): every value in the cells it covers 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 SR807.01.07 as reported.
- 04This 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
Part 1: Aggregate information (SR807.01.07.02)
Columns
- C020Average daily volume processed
- C030Peak daily volume processed
- C040Average daily value processed
- C050Peak daily value processed
- C060Average daily volume processed
- C070Peak daily volume processed
- C080Average daily value processed
- C090Peak daily value processed
- C100Average initial margin posted (to CCP or clearing member as relevant)
- C110Peak initial margin posted (to CCP or clearing member as relevant)
- C120Average default fund contribution (where made)
- C130Peak default fund contribution (where made)
Which returns it applies to
Line4 Check runs it on the use of financial market infrastructures (RFB007) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to use of financial market infrastructures (RFB007) 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:
boe_b1054_s: T1: SR807.01.07.02; columns: {SR807.01.07.02, c020-130}; Expression: {SR807.01.07.02} >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: SR807.01.07.02} >= 0Where it applies, in the Bank's words (its scope):
scope({t: SR807.01.07.02, c: 020; 030; 040; 050; 060; 070; 080; 090; 100; 110; 120; 130, seq: False, f: banking, fv: structural_reform})Other rules on Part 1: Aggregate information (SR807.01.07.02)
- Part 1: Aggregate information: "Peak daily volume processed" must not be less than "Average daily volume processed" (boe_b1055_m)
- Part 1: Aggregate information: a total must equal the sum of its parts (boe_b1052_m)
- Part 1: Aggregate information: "Peak daily value processed" must not be less than "Average daily value processed" (boe_b1056_m)
- Part 1: Aggregate information: a total must equal the sum of its parts (boe_b1051_m)
- Part 1: Aggregate information: "Peak daily volume processed" must not be less than "Average daily volume processed" (boe_b1057_m)
- Part 1: Aggregate information: a total must equal the sum of its parts (boe_b1050_m)
- Part 1: Aggregate information: "Peak daily value processed" must not be less than "Average daily value processed" (boe_b1058_m)
- Part 1: Aggregate information: a total must equal the sum of its parts (boe_b1049_m)
Every PRA banking rule on SR807.01.07.02
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.