The rule in plain words
The 'of which' row should be less than or equal to the derivatives not cleared through a CCP row
In column "Notional amounts" (0010) of Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT) (SC34.00.01.01): "of which: not margined" (row 0120) must not be more than "Derivative transactions not cleared through a CCP" (row 0110).
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 SC34.00.01 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
Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT) (SC34.00.01.01)
Rows
- R0110Derivative transactions not cleared through a CCP
- R0120of which: not margined
Column
- C0010Notional amounts
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: SC34.00.01.01, r: 0120, c: 0010} <= {t: SC34.00.01.01, r: 0110, c: 0010}Other rules on Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT) (SC34.00.01.01)
- The 'of which' rows should be less than or equal to the total 'of which' row (boe_b0095_ss)
- The 'of which' rows should be less than or equal to the total 'of which' row (boe_b0094_ss)
- Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT): values must agree (boe_b0093_ss)Blocking
- Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT): a total must equal the sum of its parts (boe_b0091_ss)Blocking
- For relevant rows, the last column should be the long positions less the short positions (boe_b0087-1_ss)Blocking
- Data should exceed or be equal to zero (boe_b0085_ss)Blocking
- Check that the breakdown of derivatives is equal to the total derivative transactions reported in row 0020 (boe_b1037_ss)Blocking
Every PRA banking rule on SC34.00.01.01
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.