The rule in plain words
Accounting value assuming no netting or other CRM should be greater than or equal to accounting balance sheet value.
In each of 6 rows (listed below) of Alternative treatment of the exposure measure (LR1) (LV40.00.00.01): "Accounting value assuming no netting or other CRM" (column 0020) must not be less than "Accounting balance sheet value" (column 0010).
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.
- 03It runs only when your filing indicators mark LV40.00.00 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
Alternative treatment of the exposure measure (LR1) (LV40.00.00.01)
Rows
- R0010Derivatives
- R0020Credit derivatives (protection sold)
- R0050Credit derivatives (protection bought)
- R0060Financial derivatives
- R0071Security Financing Transactions
- R0090Other assets
Columns
- C0010Accounting balance sheet value
- C0020Accounting value assuming no netting or other CRM
Which returns it applies to
Line4 Check runs it on the leverage ratio (LVR001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to leverage ratio (LVR001) returns, as a warning.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: LV40.00.00.01, c: 0020} >= {t: LV40.00.00.01, c: 0010}Where it applies, in the Bank's words (its scope):
scope({t: LV40.00.00.01, r:0010;0020;0050;0060;0071;0090, f: banking, fv: leverage_ratio})Other rules on Alternative treatment of the exposure measure (LR1) (LV40.00.00.01)
- The value reported in row 0020 should equal to the sum of the values reported in rows 0030 and 0040 of this column (v10097_m)
- Alternative treatment of the exposure measure (LR1): a value must not be more than another (v10098_m)
- The value reported in row 0010 should equal to the sum of the values reported in rows 0020, 0050 and 0060 of this column (v10244_h)
- The value of derivatives reported in row 0010 should be equal to the sum of the amounts reported in rows 0020, 0050 and 0060 of this column (v10247_h)
- Alternative treatment of the exposure measure (LR1): the value of this exposure should be greater than or equal to zero (v10261_s)
- Alternative treatment of the exposure measure (LR1): the value of this exposure should be greater than or equal to zero (v10262_s)
- Alternative treatment of the exposure measure (LR1): the value of this exposure should be greater than or equal to zero (boe_b0003)
- Alternative treatment of the exposure measure (LR1): the value of this exposure should be greater than or equal to zero (boe_b0002)
Every PRA banking rule on LV40.00.00.01
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.