The rule in plain words
In each of 5 columns (listed below) of Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01): "Commodity risk" (row 0270) must equal the sum of "Energy" (row 0290), "Metals" (row 0300), "Agricultural goods" (row 0310), "Climatic conditions" (row 0320) and "Other commodities" (row 0330).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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
- R0270Commodity risk
- R0290Energy
- R0300Metals
- R0310Agricultural goods
- R0320Climatic conditions
- R0330Other commodities
Columns
- C0030Number of transactions
- C0040Notional amounts
- C0050Current market value (CMV), positive
- C0060Current market value (CMV), negative
- C0070Add-on
Sheets
- S0001SA-CCR
- S0002Simplified SA-CCR
A worked example
With simple numbers.
Commodity risk must then be 2,900.
A file that reports 2,900 passes. One that reports 3,000 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:
v09825_m: [C34.03.01.01 (c0030;0040;0050;0060;0070, All sheets)] {r0270} = {r0290} + {r0300} + {r0310} + {r0320} + {r0330}
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: 0270} = {t: C34.03.01.01, r: 0290} + {t: C34.03.01.01, r: 0300} + {t: C34.03.01.01, r: 0310} + {t: C34.03.01.01, r: 0320} + {t: C34.03.01.01, r: 0330}Where it applies, in the Bank's words (its scope):
scope({t: C34.03.01.01, c:0030;0040;0050;0060;0070,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)
- "Commodity risk" must not be less than "Of which: mapped exclusively to commodity risk category" (v09824_m)
- "Equity risk" must not be less than the sum of "Single-name transactions" and "Multi-names transactions" (v09823_m)
- "Equity risk" must not be less than "Of which: mapped exclusively to equity risk category" (v09822_m)
- "Credit risk" must equal the sum of "Single-name transactions" and "Multi-names transactions" (v09821_m)
- "Credit risk" must not be less than "Of which: mapped exclusively to credit risk category" (v09820_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)
- "Foreign exchange risk" must not be less than "Of which: mapped exclusively to foreign exchange risk category" (v09818_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)
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.