The rule in plain words
In each of 14 columns (listed below) of Counterparty credit risk: CCR exposures treated with the internal model method (IMM) (CCR 5) (C34.05.01.01): "Total" (row 0010) must not be less than "Of which: SWWR positions" (row 0020).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C34.05.01 as reported.
- 05This 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 the internal model method (IMM) (CCR 5) (C34.05.01.01)
Rows
- R0010Total
- R0020Of which: SWWR positions
Columns
- C0010Number of transactions
- C0020Notional amounts
- C0030Current market value (CMV), positive
- C0050Current exposure
- C0060EEPE
- C0070Stressed EEPE
- C0080Exposure value
- C0090Number of transactions
- C0110Current market value (CMV), positive
- C0130Current exposure
- C0140EEPE
- C0150Stressed EEPE
- C0160Exposure value
- C0170Exposure value
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:
v09830_m: [C34.05.01.01 (c0010;0020;0030;0050;0060;0070;0080;0090;0110;0130;0140;0150;0160;0170)] {r0010} >= {r0020}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C34.05.01.01, r: 0010} >= {t: C34.05.01.01, r: 0020}Where it applies, in the Bank's words (its scope):
scope({t: C34.05.01.01, c:0010;0020;0030;0050;0060;0070;0080;0090;0110;0130;0140;0150;0160;0170, f: banking, fv: banking_reporting})Other rules on Counterparty credit risk: CCR exposures treated with the internal model method (IMM) (CCR 5) (C34.05.01.01)
- The sum of "Exposure value" and "Exposure value" must equal "Exposure value" (v09829_m)
- "Total" must equal the sum of "Netting sets treated with the CR standardised approach" and "Netting sets treated with the CR IRB approach" (v09831_m)
- "Total" must equal the sum of "Total", "Total", "Total" and "Contractual cross-product netting sets" (v09832_m)
- "Total" must equal the sum of "Bond underlying", "Equity underlying" and "Other underlying" (v09835_m)
- "Total" must equal the sum of "Credit", "Interest rate", "Commodity", "Equity", "Foreign exchange" and "Other" (v10289_h)
- "Total" must equal the sum of "Credit", "Interest rate", "Commodity", "Equity", "Foreign exchange" and "Other" (v10290_h)
- Every value in 6 rows in 7 columns must be zero or more (v10316_s)
- Every value in 8 rows in "Exposure value" and "Exposure value" must be zero or more (v10317_s)
Every PRA banking rule on C34.05.01.01
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.