The rule in plain words
In each of 17 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 equal the sum of "Total" (row 0110), "Total" (row 0180), "Total" (row 0220) and "Contractual cross-product netting sets" (row 0230).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C34.05.01 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 the internal model method (IMM) (CCR 5) (C34.05.01.01)
Rows
- R0010Total
- R0110Total
- R0180Total
- R0220Total
- R0230Contractual cross-product netting sets
Columns
- C0010Number of transactions
- C0020Notional amounts
- C0030Current market value (CMV), positive
- C0040Current market value (CMV), negative
- C0050Current exposure
- C0060EEPE
- C0070Stressed EEPE
- C0080Exposure value
- C0090Number of transactions
- C0100Notional amounts
- C0110Current market value (CMV), positive
- C0120Current market value (CMV), negative
- C0130Current exposure
- C0140EEPE
- C0150Stressed EEPE
- C0160Exposure value
- C0170Exposure value
A worked example
With simple numbers.
Total must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 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:
v09832_m: [C34.05.01.01 (All columns)] {r0010} = {r0110} + {r0180} + {r0220} + {r0230}
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: 0110} + {t: C34.05.01.01, r: 0180} + {t: C34.05.01.01, r: 0220} + {t: C34.05.01.01, r: 0230}Where it applies, in the Bank's words (its scope):
scope({t: C34.05.01.01, c:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;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)
- "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 not be less than "Of which: SWWR positions" (v09830_m)
- The sum of "Exposure value" and "Exposure value" must equal "Exposure value" (v09829_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.