SDDT Regime – General Application

1.1

Unless otherwise stated, this Part applies to:

1. (1) a firm that is a CRR firm; and
2. (2) a CRR consolidation entity.

1.2

In this Part, the following definitions shall apply:

MLAR

means the Mortgage Lenders and Administrators Return at SUP 16 Annex 19A R of the FCA Handbook.

parent undertaking

has the meaning given in section 1162 of (together with Schedule 7 to) the Companies Act 2006.

relevant credit exposures

means the exposures referred to in template C 09.04 of Annex 1 to the Reporting (CRR) Part and in the instructions for completion of that template in point 3.4.3 of Part II of Annex II to the Reporting (CRR) Part.

SDDT consolidation criteria

has the meaning given in 2.2.

SDDT criteria

has the meaning given in 2.1.

total assets

means:

1. (1) for a firm that is required to submit data item template F 01.01 of Annex III Part 1 of Reporting (CRR) Part, the sum of the firm’s assets as required to be recorded at row 380 of that data item; or
2. (2) for a firm that is required to submit data item template F 01.01 of Annex IV Part 1 of Reporting (CRR) Part, the sum of the firm’s assets as required to be recorded at row 380 of that data item.

2.1

The SDDT criteria, in respect of a UK bank or building society, are the following criteria.

1. (1) Either:
   1. (a) the recent average of the firm’s total assets, calculated in accordance with 2.3, does not exceed £20 billion, or
   2. (b) if the firm has not yet been required to report its total assets, the firm reasonably forecasts that its total assets will not exceed £20 billion on the first occasion on which it will be required to report them.
2. (2) At least 75% of the firm’s total relevant credit exposures are located in the UK, and either:
   1. (a) the recent average of the ratio of the firm’s relevant credit exposures that are located in the UK to the firm’s total relevant credit exposures, calculated in accordance with 2.4, is at least 85%, or
   2. (b) if the firm has not yet been required to report the geographical location of its relevant credit exposures, the firm reasonably forecasts that, on the first occasion on which it will be required to do so, at least 85% of the firm’s total relevant credit exposures will be located in the UK.
3. (3) Subject to 2.7, the size of the firm’s on- and off- balance-sheet trading book business was less than or equal to both £44 million and 5% of the firm’s total assets, on the basis of the assessment set out in Article 94(3) of Chapter 3 of Trading Book (CRR) Part:
   1. (a) on the last day of at least one of the preceding three months, and
   2. (b) on the last day of at least six of the preceding twelve months.
4. (4) The firm’s overall net foreign-exchange position, calculated using the method set out in Article 352 of CRR, does not exceed 3.5% of its own funds and, subject to 2.7, did not on average exceed 2% of its own funds:
   1. (a) in one or more of the preceding three months, and
   2. (b) in six or more of the preceding twelve months,
   3. as determined in accordance with 2.8.
5. (5) The firm does not hold positions in commodities or commodity derivatives.
6. (6) The firm does not apply the Internal Ratings Based Approach to calculate its risk-weighted exposure amounts for credit risk.
7. (7) The firm does not provide clearing, transaction settlement, custody or correspondent banking services to a UK bank, a building society, or a non-UK credit institution, including by acting as an intermediary for a UK bank, a building society, or a non-UK credit institution to access the facilities or services of:
   1. (a) a payment system, CSD, third-country CSD, SSS or central counterparty in which the firm is a direct or indirect participant or member, or
   2. (b) an exchange, other trading facility, clearing house or any other financial market utility or infrastructure, either directly or indirectly,
   3. except that the firm may provide clearing, transaction settlement, custody or correspondent banking services in sterling to a UK bank, building society or non-UK credit institution that is a member of the firm’s immediate group.
8. (8) The firm is not an operator of a payment system.
9. (9) Any parent undertaking of the firm is a UK undertaking.

2.2

The SDDT consolidation criteria, in relation to members of a consolidation group, are the following criteria.

1. (1) Criteria (1) to (6) of the SDDT criteria are satisfied:
   1. (a) in respect of the CRR consolidation entity on a consolidated basis, and
   2. (b) subject to 2.7, in respect of each UK bank and building society in the consolidation group,
   3. and for this purpose references in those criteria to the firm are to be read accordingly.
2. (2) Criteria (7) and (8) of the SDDT criteria are satisfied in respect of each UK bank and building society in the consolidation group, and for this purpose references in those criteria to the firm are to be read accordingly.

2.3

The recent average of a firm’s total assets referred to in 2.1(1)(a) is to be calculated as follows.

1. (1) Identify the occasions (due dates) in the preceding 36 months by which the firm was required to report its total assets.
2. (2) Calculate the arithmetic mean of the total assets that the firm was required to report on those occasions.

2.4

The recent average of the ratio referred to in 2.1(2)(a) is to be calculated as follows.

1. (1) Identify the occasions (remittance dates) in the preceding 36 months by which the firm was required to report the geographical location of its relevant credit exposures using template C 09.04 of Annex I of Reporting (CRR) Part.
2. (2) For each of those occasions, using the information that the firm was required to report subject to any adjustment in accordance with 2.6, calculate the ratio of the amount of relevant credit exposures located in the UK to the total amount of relevant credit exposures across all jurisdictions.
3. (3) Calculate the arithmetic mean of those ratios (expressed as a percentage).

2.5

For the purpose of 2.1(2) and 2.4(2), whether a relevant credit exposure is located in the UK is to be determined in accordance with the instructions in point 3.4.3 of Part II of Annex II of Reporting (CRR) Part for completing template C 09.04 of Annex I of that Part, subject to any adjustment in accordance with 2.6.

2.6

A firm may treat relevant credit exposures as located in the UK if they would qualify as ‘residential loans to individuals’ for the purpose of the MLAR (whether or not they would otherwise be treated as located in the UK).

2.7

The criteria in 2.1(3)(a) and 2.1(4)(a) do not apply in respect of a UK bank or building society that was not a firm on the last day of the preceding month and the criteria in 2.1(3)(b) and 2.1(4)(b) do not apply in respect of a UK bank or building society that was not a firm on the last day of each of the preceding six months.

2.8

For the purpose of 2.1(4), a firm’s overall net foreign-exchange position does not on average exceed 2% of its own funds in a given month if the arithmetic mean of the firm’s daily overall net foreign-exchange positions over the course of the month is less than or equal to 2% of the firm’s own funds on the last day of the month.

3.1

An SDDT means a UK bank or building society to which the PRA has given a waiver modifying the effect of this rule such that the UK bank or building society is an SDDT.

3.2

An SDDT consolidation entity means a CRR consolidation entity to which the PRA has given a waiver modifying the effect of this rule such that the CRR consolidation entity is an SDDT consolidation entity.

3.3

If a firm consents to a waiver modifying 3.1 such that the firm becomes an SDDT, the firm must certify to the PRA that, as of the day of giving the consent, the firm meets the SDDT criteria.

3.4

If an SDDT ceases to meet the SDDT criteria, it must notify the PRA within the period of 14 days beginning with the day on which the firm ceases to meet the SDDT criteria.

3.5

If a CRR consolidation entity consents to a waiver modifying 3.2 such that the CRR consolidation entity becomes an SDDT consolidation entity, the CRR consolidation entity must certify to the PRA that, as of the day of giving the consent, the SDDT consolidation criteria are satisfied.

3.6

If the SDDT consolidation criteria cease to be satisfied, the SDDT consolidation entity must notify the PRA within the period of 14 days beginning with the day on which the SDDT consolidation criteria cease to be satisfied.