The rule in plain words
The value of SFT cash conduit lending (cash receivables) in row 0240 should be less than or equal to the value of securities financing transactions reported in row 0071 of this column.
In column "Accounting value assuming no netting or other CRM" (0020) of Alternative treatment of the exposure measure (LR1) (LV40.00.00.01): "SFT cash conduit lending (cash receivables)" (row 0240) must not be more than "Security Financing Transactions" (row 0071).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
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 bigger 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
- R0071Security Financing Transactions
- R0240SFT cash conduit lending (cash receivables)
Column
- 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, r: 0240, c: 0020} <= {t: LV40.00.00.01, r: 0071, c: 0020}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)
- Accounting value assuming no netting or other CRM should be greater than or equal to accounting balance sheet value (v10095_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.