The rule in plain words
In Counterparty credit risk: CCR exposures by approach (CCR 2) (C34.02.01.01): every value in "Simplified standardised approach for CCR (simplified SA-CCR for derivatives)" (row 0020) and "Standardised approach for CCR (SA-CCR for derivatives)" (row 0030) in "Variation margin (VM), received" (column 0060), "Variation margin (VM), posted" (column 0070), "Net independent collateral amount (NICA), received" (column 0080) and "Net independent collateral amount (NICA), posted" (column 0090) on 2 sheets must be zero or more.
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.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark C34.02.01 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
Counterparty credit risk: CCR exposures by approach (CCR 2) (C34.02.01.01)
Rows
- R0020Simplified standardised approach for CCR (simplified SA-CCR for derivatives)
- R0030Standardised approach for CCR (SA-CCR for derivatives)
Columns
- C0060Variation margin (VM), received
- C0070Variation margin (VM), posted
- C0080Net independent collateral amount (NICA), received
- C0090Net independent collateral amount (NICA), posted
Sheets
- S0001All CCR exposures
- S0002All CCR exposures excluding exposures to central counterparties (CCPs)
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:
v10319_s: [C34.02.01.01 (r0020;0030, c0060;0070;0080;0090, All sheets)] {C34.02.01.01} >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C34.02.01.01, r: 0020; 0030, c: 0060; 0070; 0080; 0090, z: 0001; 0002} >= 0Other rules on Counterparty credit risk: CCR exposures by approach (CCR 2) (C34.02.01.01)
- Every value in "Total" in column "Number of counterparties" on 2 sheets must be zero or more (v10318_s)
- Counterparty credit risk: CCR exposures by approach (CCR 2): a value must not be negative (v10320_s)
- Counterparty credit risk: CCR exposures by approach (CCR 2): a value must not be negative (v10321_s)
- Counterparty credit risk: CCR exposures by approach (CCR 2): a value must not be negative (v10322_s)
- Counterparty credit risk: CCR exposures by approach (CCR 2): every value in 11 rows in 5 columns on 2 sheets must be zero or more (v10323_s)
- Counterparty credit risk: CCR exposures by approach (CCR 2): every value in 14 rows in 6 columns on 2 sheets must be zero or more (v10493_s)
- Counterparty credit risk: CCR exposures by approach (CCR 2): a value must not be less than another (v10633_m)
- Counterparty credit risk: CCR exposures by approach (CCR 2): a total must equal the sum of its parts (v09811_m)
Every PRA banking rule on C34.02.01.01
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.