The rule in plain words
This is the sum of SA Credit Risk exposures (excl. securitisations) for each SA Credit Risk exposure class.
In column "All approaches" (0010) of Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01): "SA exposure classes excluding securitisation positions" (row 0060) must equal the sum of 15 rows (listed below).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 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
- 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
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
Column
- 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 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: 0060, c: 0010} = sum({t: SC02.00.01.01, r: 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0200; 0210; 0211, 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)
- 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)
- Own funds requirements for SDDTs (CA2 SDDT): total risk exposure amount is the sum of these rows (boe_b0136_ss)Blocking
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.