The rule in plain words
In each of 21 columns (listed below) of General governments exposures by country of the counterparty and regulatory approach (Gov) (C33.00.01.01): "Total exposures" (row 0010) must not be less than "Exposures under the market risk framework" (row 0160).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C33.00.01 as reported.
- 05This 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
- R0160Exposures under the market risk framework
Columns
- C0010Total gross carrying amount of non-derivative financial assets
- C0020Total carrying amount of non-derivative financial assets (net of short positions)
- C0030Financial assets held for trading
- C0040Trading financial assets
- C0050Non-trading financial assets mandatorily at fair value through profit or loss
- C0060Financial assets designated at fair value through profit or loss
- C0070Non-trading non-derivative financial assets measured at fair value through profit or loss
- C0080Financial assets at fair value through other comprehensive income
- C0090Non-trading non-derivative financial assets measured at fair value to equity
- C0100Financial assets at amortised cost
- C0110Non-trading non-derivative financial assets measured at a cost-based method
- C0120Other non-trading non-derivative financial assets
- C0130Short positions
- C0140Of which: Short positions from reverse repurchased loans classified as held for trading or trading financial assets
- C0200Carrying amount
- C0210Notional amount
- C0220Carrying amount
- C0230Notional amount
- C0240Nominal amount
- C0250Provisions
- C0260Accumulated negative changes in fair value due to credit risk
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:
[v5854_h];[scope({t: C33.00.01.01, c:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0200;0210;0220;0230;0240;0250;0260})];[{t: C33.00.01.01, r: 0010} >= {t: C33.00.01.01, r: 0160}]
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C33.00.01.01, r: 0010} >= {t: C33.00.01.01, r: 0160}Where it applies, in the Bank's words (its scope):
scope({t: C33.00.01.01, c:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0200;0210;0220;0230;0240;0250;0260, f: banking, fv: banking_reporting})Other rules on General governments exposures by country of the counterparty and regulatory approach (Gov) (C33.00.01.01)
- "Total exposures" must not be less than "Exposures under the credit risk framework" (v5853_h)
- "Exposures under the credit risk framework" must equal the sum of "IRB Approach" and "Standardised Approach" (v5855_h)
- Every value in 24 rows in 17 columns must be zero or more (v5857_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 5 columns must be zero or less (v5889_s)Blocking
- "Total exposures" must not be more than "Exposures under the credit risk framework" (v6163_h)Blocking
- "Total exposures" must not be more than "Exposures under the market risk framework" (v6164_h)Blocking
- General governments exposures by country of the counterparty and regulatory approach (Gov): a conditional check (v10650_m)
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.