The rule in plain words
Total risk exposure amount is the sum of these rows
In column "All approaches" (0010) of Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01): "Total risk exposure amount" (row 0010) must equal the sum of 6 rows (listed below).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 SC02.00.01 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
Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)
Rows
- R0010Total risk exposure amount
- R0040Risk weighted exposure amounts for credit, counterparty credit and dilution risks and free deliveries
- R0490Total risk exposure amount for settlement/delivery
- R0590Total risk exposure amount for operational risk (OpR)
- R0630Additional risk exposure amount due to fixed overheads
- R0690Other risk exposure amounts
- R5898Total risk exposure amount for capital charge due to switching positions between trading and non-trading book
Column
- C0010All approaches
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 formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: SC02.00.01.01, r: 0010, c: 0010} = sum({t: SC02.00.01.01, r: 0040; 0490; 0590; 0630; 0690; 5898, c: 0010})Other rules on Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)
- Risk weighted exposure amount for Credit risk is the sum of SA Credit Risk, Securitisation Positions and row 0460 (boe_b0137_ss)
- This is the sum of SA Credit Risk exposures (excl. securitisations) for each SA Credit Risk exposure class (boe_b0138_ss)Blocking
- Own funds requirements for SDDTs (CA2 SDDT): other risk exposure amounts (TOTAL) should exceed or be equal to the sum of the "of which" rows (boe_b0139_ss)
Every PRA banking rule on SC02.00.01.01
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.