The rule in plain words
This represents the calculation of end exposure value post CRM post off-Balance sheet conversion factors
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 equal "Fully adjusted exposure value (E*)" (column 0150) minus 0.9 multiplied by "10%" (column 0160) minus 0.8 multiplied by "20%" (column 0170) minus 0.6 multiplied by "40%" (column 0171) minus 0.5 multiplied by "50%" (column 0180).
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark SC07.00.01 as reported.
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*)
- C016010%
- C017020%
- C017140%
- C018050%
- 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 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: SC07.00.01.03, c: 0200} = {t: SC07.00.01.03, c: 0150} - (0.9 * {t: SC07.00.01.03, c: 0160}) - (0.8 * {t: SC07.00.01.03, c: 0170}) - (0.6 * {t: SC07.00.01.03, c: 0171}) - (0.5 * {t: SC07.00.01.03, c: 0180})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)
- 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
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) - Memorandum items - Exposures in default: a value must not be more than another (boe_b0064-3_ss)
- 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
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.