The rule in plain words
Check that the breakdown of derivatives is equal to the total derivative transactions reported in row 0020
In each of "Notional amounts" (column 0010), "Long positions" (column 0020), "Short positions" (column 0030) and "AMOUNT" (column 0060) of Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT) (SC34.00.01.01): "of which: derivative transactions" (row 0020) must equal the sum of 5 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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 SC34.00.01 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
Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT) (SC34.00.01.01)
Rows
- R0020of which: derivative transactions
- R0160Interest rate derivatives
- R0170Foreign exchange derivatives
- R0180Credit derivatives
- R0190Equity derivatives
- R0200Other derivatives
Columns
- C0010Notional amounts
- C0020Long positions
- C0030Short positions
- C0060AMOUNT
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: SC34.00.01.01, r: 0020} = sum({t: SC34.00.01.01, r: 0160; 0170; 0180; 0190; 0200})Where it applies, in the Bank's words (its scope):
scope({t: SC34.00.01.01, c:0010;0020;0030;0060, f: banking, fv: banking_reporting_sddt})Other rules on Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT) (SC34.00.01.01)
- The 'of which' row should be less than or equal to the derivatives not cleared through a CCP row (boe_b0096_ss)
- The 'of which' rows should be less than or equal to the total 'of which' row (boe_b0095_ss)
- The 'of which' rows should be less than or equal to the total 'of which' row (boe_b0094_ss)
- Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT): values must agree (boe_b0093_ss)Blocking
- Information on derivatives, securities financing and long settlement transactions of SDDTs (CCR SDDT): a total must equal the sum of its parts (boe_b0091_ss)Blocking
- For relevant rows, the last column should be the long positions less the short positions (boe_b0087-1_ss)Blocking
- Data should exceed or be equal to zero (boe_b0085_ss)Blocking
Every PRA banking rule on SC34.00.01.01
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.