The rule in plain words
Total exposures (for exposure value and RWA columns) should equal the sum of all on-balance sheet exposures in row 0070, all off-Balance Sheet exposures in row 0080, and counterparty credit risk exposures (rows 0090, 0110, 0130)
In each of "Exposure value" (column 0200) and "Risk-weighted exposure amount" (column 0220) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01): "Total exposures" (row 0010) must equal the sum of "On-balance sheet exposures subject to credit risk" (row 0070), "Off-balance sheet exposures subject to credit risk" (row 0080) and "Other" (row 0085).
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 tables 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)
Rows
- R0050Standardised Approach (SA)
- R0070Central governments or central banks
- R0080Regional governments or local authorities
- R0090Public sector entities
- R0100Multilateral Development Banks
- R0110International Organisations
- R0120Institutions
- R0130Corporates
- R0140Retail
- R0150Real estate exposures
- R0160Exposures in default
- R0170Exposures associated with particular high risk
- R0180Eligible covered bonds
- R0200Collective investments undertakings (CIU)
- R0210Subordinated debt, equity and other own funds instruments
- R0211Other items
Column
- C0010All approaches
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
- R0070On-balance sheet exposures subject to credit risk
- R0080Off-balance sheet exposures subject to credit risk
- R0085Other
Columns
- C0200Exposure value
- C0220Risk-weighted exposure amount
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
Geographical breakdown of exposures by residence of the obligor (SA EXPOSURES) (CR GB 1) (SC09.01.01.01)
Rows
- R0010Central governments or central banks
- R0020Regional governments or local authorities
- R0030Public sector entities
- R0040Multilateral Development Banks
- R0050International Organisations
- R0060Institutions
- R0070Corporates
- R0080Retail
- R0090Real estate exposures
- R0100Exposures in default
- R0110Exposures associated with particularly high risk
- R0120Eligible covered bonds
- R0140Collective investments undertakings (CIU)
- R0150Subordinated debt, equity and other own funds instruments
- R0160Other items
- R0170Total exposures
Columns
- C0075Exposure value
- C0090Risk-weighted exposure amount
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}.
{t: SC07.00.01.01, r: 0010} = sum({t: SC07.00.01.01, r: 0070; 0080; 0085})Where it applies, in the Bank's words (its scope):
scope({t: SC07.00.01.01, c:0200;0220,z:0001;0002;0003;0004;0005;0006;0007;0008;0009;0010;0011;0012;0013;0015;0016;0017, f: banking, fv: banking_reporting_sddt})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)
- 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
- 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)
- 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_b0049_ss)Blocking
- Check that reported values are positive numbers or zero (boe_b0053_ss)
- Total Outflows due to CRM is the sum of CRM techniques with substitution effects on the exposure (boe_b0048_ss)Blocking
- Check that reported values are positive numbers or zero (boe_b0054_ss)Blocking
- Exposure value post adjustments is the sum of the adjustments and the exposure value pre-conversion factors (boe_b0047_ss)Blocking
- Check that reported values are positive numbers or zero (boe_b0055_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.