The rule in plain words

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS is calculated as the sum of Total inflows, Total outflows and EXPOSURE NET OF VALUE ADJUSTMENTS

In each of 29 rows (listed below) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01): "Net exposure after CRM substitution effects pre conversion factors" (column 0110) must equal the sum of "Exposure net of value adjustments, provisions, and on-balance sheet netting" (column 0040), "(-) Total Outflows" (column 0090) and "Total Inflows (+)" (column 0100).

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.
02Add up the parts in your return and compare the result with the total.
03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
05It runs only when your filing indicators mark SC07.00.01 as reported.
06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.

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

R0010Total exposures
R0020of which: SME
R0021of which: Exposures to corporates - Specialised lending - Object finance exposures
R0022of which: Exposures to corporates - Specialised lending - Commodities finance exposures
R0023of which: Exposures to corporates - Specialised lending - Project finance exposures
R0024of which: pre-operational phase
R0025of which: operational phase
R0026of which: high quality operational phase
R0070On-balance sheet exposures subject to credit risk
R0080Off-balance sheet exposures subject to credit risk
R0281Look-through approach
R0282Mandate-based approach
R0283Fall-back approach
R0284of which: exposures to relevant CIUs
R0285of which: exposures to relevant CIUs
R0330of which: Real estate exposures - regulatory residential real estate exposures
R0331of which: not materially dependent on the cash flows generated by the property
R0332of which: materially dependent on the cash flows generated by the property
R0340of which: Real estate exposures - regulatory commercial real estate exposures
R0341of which: not materially dependent on the cash flows generated by the property
R0342of which: materially dependent on the cash flows generated by the property
R0343of which: to SMEs
R0344of which: to SMEs
R0350of which: Real estate exposures - other real estate exposures
R0351of which: residential real estate - not materially dependent on the cash flows generated by the property
R0352of which: residential real estate - materially dependent on the cash flows generated by the property
R0353of which: commercial real estate - not materially dependent on the cash flows generated by the property
R0354of which: commercial real estate - materially dependent on the cash flows generated by the property
R0360of which: Real estate exposures - land acquisition, development and construction exposures

Columns

C0040Exposure net of value adjustments, provisions, and on-balance sheet netting
C0090(-) Total Outflows
C0100Total Inflows (+)
C0110Net exposure after CRM substitution effects pre conversion factors

Sheets

S0001Total (SA exposures)
S0002Central governments or Central banks
S0003Regional governments or local authorities
S0004Public sector entities
S0005Multilateral development banks
S0006International organisations
S0007Institutions
S0008Corporates
S0009Retail
S0010Real estate exposures
S0011Exposures in default
S0012Exposures associated with particularly high risk
S0013Eligible covered bonds
S0015Exposures in the form of units or shares in collective investment undertakings (‘CIUs’)
S0016Subordinated debt, equity and other own funds instruments
S0017Other items

A worked example

With simple numbers.

Illustrative values

Exposure net of value adjustments, provisions, and on-balance sheet netting1,200

(-) Total Outflows800

Total Inflows (+)450

Together2,450

What the rule then expects

Net exposure after CRM substitution effects pre conversion factors must then be 2,450.

2,450Passes

2,550Fails

A file that reports 2,450 passes. One that reports 2,550 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

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 blocking check.

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 formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: SC07.00.01.01, c: 0110} = {t: SC07.00.01.01, c: 0040} + {t: SC07.00.01.01, c: 0090} + {t: SC07.00.01.01, c: 0100}

Where it applies, in the Bank's words (its scope):

scope({t: SC07.00.01.01, r:0010;0020;0021;0022;0023;0024;0025;0026;0070;0080;0281;0282;0283;0284;0285;0330;0331;0332;0340;0341;0342;0343;0344;0350;0351;0352;0353;0354;0360,z:0001;0002;0003;0004;0005;0006;0007;0008;0009;0010;0011;0012;0013;0015;0016;0017, f: banking, fv: banking_reporting_sddt})

Total Outflows due to CRM is the sum of CRM techniques with substitution effects on the exposure (boe_b0048_ss)Blocking
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT): a total must equal the sum of its parts (boe_b0050_ss)Blocking
Exposure value post adjustments is the sum of the adjustments and the exposure value pre-conversion factors (boe_b0047_ss)Blocking
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT): a total must equal the sum of its parts (boe_b0051_ss)
Volatility and maturity adjustments should not exceed the adjusted financial collateral value (boe_b0046_ss)
Total exposures row 0010 should be equal to the sum of all exposures allocated to the breakdown of risk weights applicable for the exposures (boe_b0052_ss)
Defaulted exposures shouldn't exceed TOTAL Exposures (boe_b0045_ss)Blocking
Check that reported values are positive numbers or zero (boe_b0053_ss)

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.

Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT): a total must equal the sum of its parts (SC07.00.01.01, Bank of England check boe_b0049_ss)