The rule in plain words
In Market risk: standardised approach for specific risk in securitisations (MKR SA SEC) (OF19.00.01.01): every value in 14 rows (listed below) in 47 columns (listed below) must be zero or more.
What to do if your return fails it
- 01Open the tables 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 OF19.00.01 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
Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)
Row
- R0325Own funds requirement for securitisation instruments
Column
- C0060Own funds requirements
Sheet
- S0001Total
Market risk: standardised approach for specific risk in securitisations (MKR SA SEC) (OF19.00.01.01)
Rows
- R0010Total exposures
- R0020Of which: RE-SECURITISATIONS
- R0030Originator: total exposures
- R0040SECURITISATIONS
- R0041Of which: qualifying for differentiated capital treatment
- R0050RE-SECURITISATIONS
- R0060Investor: total exposures
- R0070SECURITISATIONS
- R0071Of which: qualifying for differentiated capital treatment
- R0080RE-SECURITISATIONS
- R0090Sponsor: total exposures
- R0100SECURITISATIONS
- R0101Of which: qualifying for differentiated capital treatment
- R0110RE-SECURITISATIONS
Columns
- C0010Long
- C0020Short
- C0050Long
- C0060Short
- C0061[0-10%[
- C0062[10-12%[
- C0063[12-20%[
- C0064[20-40%[
- C0065[40-100%[
- C0066[100-150%[
- C0071[150-200%[
- C0072[200-225%[
- C0073[225-250%[
- C0074[250-300%[
- C0075[300-350%[
- C0076[350-425%[
- C0077[425-500%[
- C0078[500-650%[
- C0079[650-750%[
- C0081[750-850%[
- C0082[850-1250%[
- C00831250%
- C0085[0-10%[
- C0086[10-12%[
- C0087[12-20%[
- C0088[20-40%[
- C0089[40-100%[
- C0091[100-150%[
- C0092[150-200%[
- C0093[200-225%[
- C0094[225-250%[
- C0095[250-300%[
- C0096[300-350%[
- C0097[350-425%[
- C0098[425-500%[
- C0099[500-650%[
- C0101[650-750%[
- C0102[750-850%[
- C0103[850-1250%[
- C01041250%
And 7 more.
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:
v3770_s: [OF19.00.01.01 (r0010;0020;0030;0040;0041;0050;0060;0070;0071;0080;0090;0100;0101;0110, c0010;0020;0050;0060;0061;0062;0063;0064;0065;0066;0071;0072;0073;0074;0075;0076;0077;0078;0079;0081;0082;0083;0085;0086;0087;0088;0089;0091;0092;0093;0094;0095;0096;0097;0098;0099;0101;0102;0103;0104;0402;0403;0404;0405;0406;0570;0601)] >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF19.00.01.01, r: 0010; 0020; 0030; 0040; 0041; 0050; 0060; 0070; 0071; 0080; 0090; 0100; 0101; 0110, c: 0010; 0020; 0050; 0060; 0061; 0062; 0063; 0064; 0065; 0066; 0071; 0072; 0073; 0074; 0075; 0076; 0077; 0078; 0079; 0081; 0082; 0083; 0085; 0086; 0087; 0088; 0089; 0091; 0092; 0093; 0094; 0095; 0096; 0097; 0098; 0099; 0101; 0102; 0103; 0104; 0402; 0403; 0404; 0405; 0406; 0570; 0601} >= 0Other rules on Market risk: standardised approach for specific risk in securitisations (MKR SA SEC) (OF19.00.01.01)
- Every value in 7 rows in "Weighted net long positions" and "Weighted net short positions" must be zero or more (v3772_s)
- "Of which: RE-SECURITISATIONS" must equal the sum of "RE-SECURITISATIONS", "RE-SECURITISATIONS" and "RE-SECURITISATIONS" (v4827_m)
- "Before cap" must not be less than "After cap / total own funds requirements" (v4832_m)
- Market risk: standardised approach for specific risk in securitisations (MKR SA SEC): "Long" must equal the sum of 18 cells (v4841_m)
- Market risk: standardised approach for specific risk in securitisations (MKR SA SEC): "Short" must equal the sum of 18 cells (v4842_m)
- Every value in 14 rows in "(-) Long" and "(-) Short" must be zero or less (v2056_s)
- "Originator: total exposures" must equal the sum of "RE-SECURITISATIONS" and "SECURITISATIONS" (v5844_h)
- "Investor: total exposures" must equal the sum of "RE-SECURITISATIONS" and "SECURITISATIONS" (v5845_h)
Every PRA banking rule on OF19.00.01.01
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.