The rule in plain words
In Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01): every value in 34 rows (listed below) in "Number of transactions" (column 0030), "Notional amounts" (column 0040) and "Current market value (CMV), positive" (column 0050) 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 C34.03.01 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 treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01)
Rows
- R0010Total
- R0020Of which: mapped to 2 risk categories
- R0030Of which: mapped to 3 risk categories
- R0040Of which: mapped to more than 3 risk categories
- R0050Interest rate risk
- R0060Of which: mapped exclusively to interest rate risk category
- R0070Of which: largest currency
- R0080Of which: 2nd largest currency
- R0090Of which: 3rd largest currency
- R0100Of which: 4th largest currency
- R0110Of which: 5th largest currency
- R0120Foreign exchange risk
- R0130Of which: mapped exclusively to foreign exchange risk category
- R0140Of which: largest currency pair
- R0150Of which: 2nd largest currency pair
- R0160Of which: 3rd largest currency pair
- R0170Of which: 4th largest currency pair
- R0180Of which: 5th largest currency pair
- R0190Credit risk
- R0200Of which: mapped exclusively to credit risk category
- R0210Single-name transactions
- R0220Multi-names transactions
- R0230Equity risk
- R0240Of which: mapped exclusively to equity risk category
- R0250Single-name transactions
- R0260Multi-names transactions
- R0270Commodity risk
- R0280Of which: mapped exclusively to commodity risk category
- R0290Energy
- R0300Metals
- R0310Agricultural goods
- R0320Climatic conditions
- R0330Other commodities
- R0340Other risks
Columns
- C0030Number of transactions
- C0040Notional amounts
- C0050Current market value (CMV), positive
Sheets
- S0001SA-CCR
- S0002Simplified SA-CCR
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:
v10326_s: [C34.03.01.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340, c0030;0040;0050, All sheets)] >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C34.03.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190; 0200; 0210; 0220; 0230; 0240; 0250; 0260; 0270; 0280; 0290; 0300; 0310; 0320; 0330; 0340, c: 0030; 0040; 0050, z: 0001; 0002} >= 0Other rules on Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) (C34.03.01.01)
- Every value in 22 rows in column "Add-on" on 2 sheets must be zero or more (v10327_s)
- "Commodity risk" must equal the sum of "Energy", "Metals", "Agricultural goods", "Climatic conditions" and "Other commodities" (v09825_m)
- "Commodity risk" must not be less than "Of which: mapped exclusively to commodity risk category" (v09824_m)
- "Equity risk" must not be less than the sum of "Single-name transactions" and "Multi-names transactions" (v09823_m)
- "Equity risk" must not be less than "Of which: mapped exclusively to equity risk category" (v09822_m)
- "Credit risk" must equal the sum of "Single-name transactions" and "Multi-names transactions" (v09821_m)
- "Credit risk" must not be less than "Of which: mapped exclusively to credit risk category" (v09820_m)
- Counterparty credit risk: CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3): a value must not be less than another (v09819_m)
Every PRA banking rule on C34.03.01.01
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.