The rule in plain words
In Counterparty credit risk: composition of collateral for CCR exposures - Collateral used in derivative transactions (CCR 8) (C34.08.01.01): every value in 9 rows (listed below) in 9 columns (listed below) must be zero or more.
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 C34.08.01 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: composition of collateral for CCR exposures - Collateral used in derivative transactions (CCR 8) (C34.08.01.01)
Rows
- R0010Cash - domestic currency
- R0020Cash - other currencies
- R0030Domestic sovereign debt
- R0040Other sovereign debt
- R0050Government agency debt
- R0060Corporate bonds
- R0070Equity securities
- R0080Other collateral
- R0090Total
Columns
- C0010Initial margin
- C0020Variation margin
- C0030Initial margin
- C0040Variation margin
- C0090Initial margin
- C0100Variation margin
- C0110Initial margin
- C0120Variation margin
- C0130SFT security
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:
[v10324_s];[{t: C34.08.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090, c: 0010; 0020; 0030; 0040; 0090; 0100; 0110; 0120; 0130} >= 0]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C34.08.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090, c: 0010; 0020; 0030; 0040; 0090; 0100; 0110; 0120; 0130} >= 0Other rules on Counterparty credit risk: composition of collateral for CCR exposures - Collateral used in derivative transactions (CCR 8) (C34.08.01.01)
- "Total" must equal the sum of 8 cells (v09845_m)
Every PRA banking rule on C34.08.01.01
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.