The rule in plain words
In Detailed information on securitisations (CR SEC Details) (C14.00.01.01): every value in 20 columns (listed below) 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 C14.00.01 as reported.
- 04This 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
Detailed information on securitisations (CR SEC Details) (C14.00.01.01)
Columns
- C0090% Of retention at reporting date
- C0130Total amount of securitised exposures at origination date
- C0140Total amount
- C0150Institution'S share (%)
- C0201LGD (%)
- C0202EL (%)
- C0203UL (%)
- C0204Exposure-weighted average maturity of assets
- C0221Own funds requirements before securitisation (%) Kirb
- C0222% Of retail exposures in IRB pools
- C0223Own funds requirements before securitisation (%) Ksa
- C0230AMOUNT
- C0231Attachment point (%)
- C0240AMOUNT
- C0241Number of tranches
- C0250AMOUNT
- C0251Detachment point (%)
- C0260SENIOR
- C0270MEZZANINE
- C0280First loss
Which returns it applies to
Line4 Check runs it on the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds (PRA001) returns, as a warning.
The Bank’s own words and formula
The plain words above spell out the Bank’s formula, with each cell named from its templates. In the Bank of England’s list of validations, word for word:
v3756_s: [C14.00.01.01 (All rows, c0090;0130;0140;0150;0201;0202;0203;0204;0221;0222;0223;0230;0231;0240;0241;0250;0251;0260;0270;0280)] >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C14.00.01.01, c: 0090; 0130; 0140; 0150; 0201; 0202; 0203; 0204; 0221; 0222; 0223; 0230; 0231; 0240; 0241; 0250; 0251; 0260; 0270; 0280} >= 0Other rules on Detailed information on securitisations (CR SEC Details) (C14.00.01.01)
- Detailed information on securitisations (CR SEC Details): every value in "LGD (%)" must not be more than 1 (v4796_m)
- The size of "(-) Value adjustments and provisions" (ignoring its sign) must not be more than "Total amount" (v4797_m)Blocking
- Every value in "Own funds requirements before securitisation (%) Kirb" must not be more than 1 (v4798_m)
- Detailed information on securitisations (CR SEC Details): every value in "(-) Value adjustments and provisions" must be zero or less (v2054_s)
- The size of "(-) Value adjustments and provisions" (ignoring its sign) must be less than "Total amount" (v7340_m)
- Detailed information on securitisations (CR SEC Details): every value in "Institution'S share (%)" must not be more than 1 (v7341_m)
- Detailed information on securitisations (CR SEC Details): every value in "% Of IRB in approach applied" must not be more than 1 (v7342_m)
- Detailed information on securitisations (CR SEC Details): every value in "Exposures in default W (%)" must not be more than 1 (v7343_m)
Every PRA banking rule on C14.00.01.01
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.