The rule in plain words
Exposure values shall exceed or be equal to zero
In each of "Original exposure pre conversion factors" (column 0010) and "Exposure net of value adjustments, provisions and on-balance sheet netting" (column 0040) of Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier (SC07.00.01.05): every value in "Retail and real estate exposures - subject to the currency mismatch multiplier" (row 0380) must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark SC07.00.01 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier (SC07.00.01.05)
Row
- R0380Retail and real estate exposures - subject to the currency mismatch multiplier
Columns
- C0010Original exposure pre conversion factors
- C0040Exposure net of value adjustments, provisions and on-balance sheet netting
Sheets
- S0001Total (SA exposures)
- S0009Retail
- S0010Real estate exposures
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: SC07.00.01.05, r: 0380} >=0Where it applies, in the Bank's words (its scope):
scope({t: SC07.00.01.05, c:0010;0040,z:0001;0009;0010, 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 - Retail and real estate exposures - subject to the currency mismatch multiplier (SC07.00.01.05)
- This represents the calculation of exposure value post CRM post off-Balance sheet conversion factors (boe_b0141-3_ss)Blocking
- Values reported in these columns should be greater than or equal to zero (boe_b0147-2_ss)Blocking
- Credit and counterparty credit risks and free deliveries: standardised approach to capital requirements for SDDTs (CR SA SDDT) - Memorandum items - Retail and real estate exposures - subject to the currency mismatch multiplier: a value must not be more than another (boe_b0064-2_ss)
- The Fully-adjusted exposure value is the sum of the fully adjusted exposure values of off-balance sheet items by conversion factors (boe_b0063-2_ss)Blocking
- These values shall be greater than or equal to zero (boe_b0058-1_ss)Blocking
- Data reported in column 0030 and 0035 shall be less than or equal to zero (boe_b0056-2_ss)Blocking
Every PRA banking rule on SC07.00.01.05
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.