The rule in plain words
In Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB) (C09.04.01.01): every value in 9 rows (listed below) in column "Amount" (column 0010) 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 C09.04.01 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
Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB) (C09.04.01.01)
Rows
- R0010Exposure value under the Standardised Approach
- R0020Exposure value under the IRB Approach
- R0030Sum of long and short positions of trading book exposures for standardised approaches
- R0040Value of trading book exposures for internal models
- R0055Exposure value of securitisation positions in the banking book
- R0070Total own funds requirements for CCB
- R0080Relevant credit exposures - Credit risk
- R0090Relevant credit exposures - Market risk
- R0100Relevant credit exposures - Securitisation positions in the banking book
Column
- C0010Amount
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:
v4745_s: [C09.04.01.01 (r0010;0020;0030;0040;0055;0070;0080;0090;0100, c0010, All sheets)] {C 09.04.01.01} >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C09.04.01.01, r: 0010; 0020; 0030; 0040; 0055; 0070; 0080; 0090; 0100, c: 0010} >= 0Other rules on Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB) (C09.04.01.01)
- Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB): a value must not be negative (v4746_s)Blocking
- Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB): a conditional check (v8730_m)
- Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB): values must agree (v8732_m)
- Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB): a total must equal the sum of its parts (v10627_m)
- Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB): a value must not be more than another (v10656_m)
Every PRA banking rule on C09.04.01.01
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.