The rule in plain words
Risk weights applicable for exposure class (sheet number 0013)
In Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01): 20 rows (listed below) in 15 columns (listed below) on sheet "Eligible covered bonds" (sheet 0013) must be left empty.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Remove the value from this cell where the rule applies. A 0 is a value too, so leave the cell out of the return altogether.
- 03It runs only when your filing indicators mark SC07.00.01 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Rows
- R01400%
- R01502%
- R01604%
- R018230%
- R019140%
- R019245%
- R020160%
- R020265%
- R021070%
- R022075%
- R022180%
- R022285%
- R0231105%
- R0232110%
- R0233130%
- R0234135%
- R0240150%
- R0250250%
- R0261400%
- R0280Other risk weights
Columns
- C0010Original exposure pre conversion factors
- C0030(-) Value adjustments and provisions associated with the original exposure
- C0035(-) Adjustment to exposure value due to on-balance sheet netting
- C0040Exposure net of value adjustments, provisions, and on-balance sheet netting
- C0150Fully adjusted exposure value (E*)
- C016010%
- C017020%
- C017140%
- C018050%
- C0190100%
- C0200Exposure value
- C0220Risk-weighted exposure amount
- C0230Of which: with a credit assessment by a nominated ECAI
- C0235Of which: where a credit assessment by a nominated ECAI is not available
- C0240Of which: with a credit assessment derived from central government
Sheet
- S0013Eligible covered bonds
Which returns it applies to
Line4 Check runs it on the own funds for SDDTs (PRA116) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) returns, as a warning.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
isNull({t: SC07.00.01.01, r: 0140; 0150; 0160; 0182; 0191; 0192; 0201; 0202; 0210; 0220; 0221; 0222; 0231; 0232; 0233; 0234; 0240; 0250; 0261; 0280, c: 0010; 0030; 0035; 0040; 0150; 0160; 0170; 0171; 0180; 0190; 0200; 0220; 0230; 0235; 0240, z: 0013})Other rules on Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
- Risk weights applicable for exposure class (sheet number 0012) (boe_b0042_ss)
- Risk weights applicable for exposure class (sheet number 0016) (boe_b0044_ss)
- Risk weights applicable for exposure class (sheet number 0011) (boe_b0041_ss)
- Defaulted exposures shouldn't exceed TOTAL Exposures (boe_b0045_ss)Blocking
- Risk weights applicable for exposure class (sheet number 0010) (boe_b0040_ss)
- Volatility and maturity adjustments should not exceed the adjusted financial collateral value (boe_b0046_ss)
- Risk weights applicable for exposure class (sheet number 0009) (boe_b0039_ss)
- Exposure value post adjustments is the sum of the adjustments and the exposure value pre-conversion factors (boe_b0047_ss)Blocking
Every PRA banking rule on SC07.00.01.01
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.