The rule in plain words
Total outflows due CRM with substitution effects should equal total inflows due to CRM with substitution effects across SA and IRB exposures
In Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01): -1 multiplied by the sum of "Total exposures" in column "(-) Total Outflows" (row 0010, column 0090) on 15 sheets in Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01) plus "Total exposures" in column "(-) Unfunded credit protection adjusted values (G*)" (row 0010, column 0030) plus "Total exposures" in column "(-) Total outflows" (row 0010, column 0100) must equal the sum of "Total exposures" in column "Total Inflows (+)" (row 0010, column 0100) on 15 sheets in Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01) plus "Total exposures" in column "Total inflows" (row 0010, column 0110).
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 and SC13.01.01 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
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) (SC07.00.01.01)
Row
- R0010Total exposures
Columns
- C0090(-) Total Outflows
- C0100Total Inflows (+)
Sheets
- 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
Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01)
Row
- R0010Total exposures
Columns
- C0030(-) Unfunded credit protection adjusted values (G*)
- C0100(-) Total outflows
- C0110Total inflows
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}.
-1 * (sum({t: SC07.00.01.01, r: 0010, c: 0090, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0010; 0011; 0012; 0013; 0015; 0016; 0017}) + {t: SC13.01.01.01, r: 0010, c: 0030} + {t: SC13.01.01.01, r: 0010, c: 0100}) = (sum({t: SC07.00.01.01, r: 0010, c: 0100, z: 0002; 0003; 0004; 0005; 0006; 0007; 0008; 0009; 0010; 0011; 0012; 0013; 0015; 0016; 0017}) + {t: SC13.01.01.01, r: 0010, c: 0110})Other rules on Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01)
- Credit risk: securitisations for SDDTs (CR SEC SDDT): every value in 43 rows in 45 columns must be zero or more (boe_b0107_ss)
- Credit risk: securitisations for SDDTs (CR SEC SDDT): every value in 43 rows in 14 columns must be zero or more (boe_b0106_ss)
- "Risk-weighted exposure amount" must equal the sum of "SEC-SA", "SEC-ERBA" and "OTHER (RW=1250%)" (boe_b0105_ss)
- "Subject to risk weights" must equal the sum of "SEC-SA", "SEC-ERBA" and "OTHER (RW=1250%)" (boe_b0104_ss)
Every PRA banking rule on SC13.01.01.01
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.