The rule in plain words
In Counterparty credit risk: CCR exposures treated with the internal model method (IMM) (CCR 5) (C34.05.01.01): every value in 21 rows (listed below) in 6 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 C34.05.01 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 the internal model method (IMM) (CCR 5) (C34.05.01.01)
Rows
- R0010Total
- R0020Of which: SWWR positions
- R0050Interest rate
- R0060Foreign exchange
- R0070Credit
- R0080Equity
- R0090Commodity
- R0100Other
- R0110Total
- R0120Interest rate
- R0130Foreign exchange
- R0140Credit
- R0150Equity
- R0160Commodity
- R0170Other
- R0180Total
- R0190Bond underlying
- R0200Equity underlying
- R0210Other underlying
- R0220Total
- R0230Contractual cross-product netting sets
Columns
- C0010Number of transactions
- C0020Notional amounts
- C0030Current market value (CMV), positive
- C0090Number of transactions
- C0100Notional amounts
- C0110Current market value (CMV), positive
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:
v10490_s: [C34.05.01.01 (r0010;0020;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180;0190;0200;0210;0220;0230, c0010;0020;0030;0090;0100;0110)] {C34.05.01.01} >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C34.05.01.01, r: 0010; 0020; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190; 0200; 0210; 0220; 0230, c: 0010; 0020; 0030; 0090; 0100; 0110} >= 0Other rules on Counterparty credit risk: CCR exposures treated with the internal model method (IMM) (CCR 5) (C34.05.01.01)
- Every value in 8 rows in "Exposure value" and "Exposure value" must be zero or more (v10317_s)
- Every value in 6 rows in 7 columns must be zero or more (v10316_s)
- "Total" must equal the sum of "Credit", "Interest rate", "Commodity", "Equity", "Foreign exchange" and "Other" (v10290_h)
- "Total" must equal the sum of "Credit", "Interest rate", "Commodity", "Equity", "Foreign exchange" and "Other" (v10289_h)
- "Total" must equal the sum of "Bond underlying", "Equity underlying" and "Other underlying" (v09835_m)
- "Total" must equal the sum of "Total", "Total", "Total" and "Contractual cross-product netting sets" (v09832_m)
- "Total" must equal the sum of "Netting sets treated with the CR standardised approach" and "Netting sets treated with the CR IRB approach" (v09831_m)
- "Total" must not be less than "Of which: SWWR positions" (v09830_m)
Every PRA banking rule on C34.05.01.01
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.