The rule in plain words
In each of "Number of transactions" (column 0030), "Notional amounts" (column 0040), "Current market value (CMV), positive" (column 0050) and "Current market value (CMV), negative" (column 0060) of Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01): "Credit risk" (row 0190) must equal the sum of "Single-name transactions" (row 0210) and "Multi-names transactions" (row 0220).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark C34.03.01 as reported.
- 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
Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01)
Rows
- R0190Credit risk
- R0210Single-name transactions
- R0220Multi-names transactions
Columns
- C0030Number of transactions
- C0040Notional amounts
- C0050Current market value (CMV), positive
- C0060Current market value (CMV), negative
Sheets
- S0001SA-CCR
- S0002Simplified SA-CCR
A worked example
With simple numbers.
Credit risk must then be 2,000.
A file that reports 2,000 passes. One that reports 2,100 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:
v09821_m: [C34.03.01.01 (c0030;0040;0050;0060, All sheets)] {r0190} = {r0210} + {r0220}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C34.03.01.01, r: 0190} = {t: C34.03.01.01, r: 0210} + {t: C34.03.01.01, r: 0220}Where it applies, in the Bank's words (its scope):
scope({t: C34.03.01.01, c:0030;0040;0050;0060,z:0001;0002, f: banking, fv: banking_reporting})Other rules on Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01)
- "Credit risk" must not be less than "Of which: mapped exclusively to credit risk category" (v09820_m)
- "Equity risk" must not be less than "Of which: mapped exclusively to equity risk category" (v09822_m)
- Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3): a value must not be less than another (v09819_m)
- "Equity risk" must not be less than the sum of "Single-name transactions" and "Multi-names transactions" (v09823_m)
- "Foreign exchange risk" must not be less than "Of which: mapped exclusively to foreign exchange risk category" (v09818_m)
- "Commodity risk" must not be less than "Of which: mapped exclusively to commodity risk category" (v09824_m)
- Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3): a value must not be less than another (v09817_m)
- "Commodity risk" must equal the sum of "Energy", "Metals", "Agricultural goods", "Climatic conditions" and "Other commodities" (v09825_m)
Every PRA banking rule on C34.03.01.01
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.