The rule in plain words
Exposure value post off-balance sheet conversion factors (column 0200) should be less than or equal to Fully adjusted exposure value (column 0150)
In each of "Exposures in default subject to a risk weight of 100%" (row 0300) and "Exposures in default subject to a risk weight of 150%" (row 0320) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) - Memorandum items - Exposures in default (SC07.00.01.03): "Exposure value" (column 0200) must not be more than "Fully adjusted exposure value (E*)" (column 0150).
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.
- 02Compare the values in your return. If the first is bigger 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 SC07.00.01 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) - Memorandum items - Exposures in default (SC07.00.01.03)
Rows
- R0300Exposures in default subject to a risk weight of 100%
- R0320Exposures in default subject to a risk weight of 150%
Columns
- C0150Fully adjusted exposure value (E*)
- C0200Exposure value
Sheets
- S0001Total (SA exposures)
- S0002Central governments or Central banks
- S0003Regional governments or local authorities
- S0004Public sector entities
- S0007Institutions
- S0008Corporates
- S0009Retail
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: SC07.00.01.03, c: 0200} <= {t: SC07.00.01.03, c: 0150}Where it applies, in the Bank's words (its scope):
scope({t: SC07.00.01.03, r:0300;0320,z:0001;0002;0003;0004;0007;0008;0009, 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) - Memorandum items - Exposures in default (SC07.00.01.03)
- The Fully-adjusted exposure value is the sum of the fully adjusted exposure values of off-balance sheet items by conversion factors (boe_b0063-1_ss)Blocking
- Data reported in column 0030 and 0035 shall be less than or equal to zero (boe_b0056-1_ss)Blocking
- This represents the calculation of end exposure value post CRM post off-Balance sheet conversion factors (boe_b0141-2_ss)Blocking
- Check that reported values are positive numbers or zero (boe_b0142_ss)
- Check that reported values are positive numbers or zero (boe_b0144_ss)
- Values reported in these columns should be greater than or equal to zero (boe_b0146_ss)Blocking
- The data entry for the corresponding cell should be greater than or equal to zero (boe_b0148_ss)Blocking
Every PRA banking rule on SC07.00.01.03
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.