The rule in plain words
In each of 24 rows (listed below) of General governments exposures by country of the counterparty and regulatory approach (Gov) (C33.00.01.01): if "Total carrying amount of non-derivative financial assets (net of short positions)" (column 0020) is reported, "Total gross carrying amount of non-derivative financial assets" (column 0010) must be reported.
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.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 03It runs only when your filing indicators mark C33.00.01 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
General governments exposures by country of the counterparty and regulatory approach (Gov) (C33.00.01.01)
Rows
- R0010Total exposures
- R0020Exposures under the credit risk framework
- R0030Standardised Approach
- R0040Central governments
- R0050Regional governments or local authorities
- R0060Public sector entities
- R0070International Organisations
- R0075Other general government exposures subject to Standardised Approach
- R0080IRB Approach
- R0090Central governments
- R0100Regional governments or local authorities [Central governments and central banks]
- R0110Regional governments or local authorities [Institutions]
- R0120Public sector entities [Central governments and central banks]
- R0130Public sector entities [Institutions]
- R0140International Organisations [Central governments and central banks]
- R0155Other general government exposures subject to IRB approach
- R0160Exposures under the market risk framework
- R0170[ 0 - 3M [
- R0180[ 3M - 1Y [
- R0190[ 1Y - 2Y [
- R0200[ 2Y - 3Y [
- R0210[ 3Y - 5Y [
- R0220[ 5Y - 10Y [
- R0230[ 10Y - more
Columns
- C0010Total gross carrying amount of non-derivative financial assets
- C0020Total carrying amount of non-derivative financial assets (net of short positions)
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:
[v10650_m];[scope({t: C33.00.01.01, r:0010;0020;0030;0040;0050;0060;0070;0075;0080;0090;0100;0110;0120;0130;0140;0155;0160;0170;0180;0190;0200;0210;0220;0230})];[if not(isNull({t: C33.00.01.01, c: 0020})) then not(isNull({t: C33.00.01.01, c: 0010})) else true()]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
if not(isNull({t: C33.00.01.01, c: 0020})) then not(isNull({t: C33.00.01.01, c: 0010})) else true()Where it applies, in the Bank's words (its scope):
scope({t: C33.00.01.01, r:0010;0020;0030;0040;0050;0060;0070;0075;0080;0090;0100;0110;0120;0130;0140;0155;0160;0170;0180;0190;0200;0210;0220;0230, f: banking, fv: banking_reporting})Other rules on General governments exposures by country of the counterparty and regulatory approach (Gov) (C33.00.01.01)
- General governments exposures by country of the counterparty and regulatory approach (Gov): "Total exposures" must equal the sum of 7 cells (v10651_m)
- "Total exposures" must not be more than "Exposures under the market risk framework" (v6164_h)Blocking
- "Total exposures" must not be more than "Exposures under the credit risk framework" (v6163_h)Blocking
- Every value in 24 rows in 5 columns must be zero or less (v5889_s)Blocking
- Every value in 16 rows in "Exposure value" and "Risk weighted exposure amount" must be zero or more (v5888_s)Blocking
- Every value in 24 rows in 17 columns must be zero or more (v5857_s)Blocking
- "Exposures under the credit risk framework" must equal the sum of "IRB Approach" and "Standardised Approach" (v5855_h)
- "Total exposures" must not be less than "Exposures under the market risk framework" (v5854_h)
Every PRA banking rule on C33.00.01.01
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.