The rule in plain words

In each of 86 columns (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): "Total exposures" (row 0010) must equal the sum of "Originator: total exposures" (row 0080), "Investor: total exposures" (row 0200) and "Sponsor: total exposures" (row 0320).

What to do if your return fails it

01Open the tables 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03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C13.01.01 as reported.
06This 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

Credit risk: securitisations (CR SEC) (C13.01.01.01)

Rows

R0010Total exposures
R0080Originator: total exposures
R0200Investor: total exposures
R0320Sponsor: total exposures

Columns

C0050Original exposure pre conversion factors
C0060(-) Value adjustments and provisions
C0070Exposure net of value adjustments and provisions
C0080(-) Unfunded credit protection: adjusted values (Ga)
C0090(-) Funded credit protection
C0100(-) Total outflows
C0110Total inflows
C0120Net exposure after CRM substitution effects pre conversion factors
C0130(-) Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection financial collateral comprehensive method adjusted value (Cvam)
C0140Fully adjusted exposure value (E*)
C0150Of which: subject to A CCF of 0%
C0180Exposure value
C0190(-) Deducted from own funds
C0200Subject to risk weights
C0210SEC-IRBA
C0220<=20% RW
C0230>20% TO 50% RW
C0240>50% TO 100% RW
C0250>100% TO 1250% RW
C02601250% RW
C0270Of which: calculated under article 255 (4) (PURCHASED RECEIVABLES)
C0280SEC-SA
C0290<=20% RW
C0300>20% TO 50% RW
C0310>50% TO 100% RW
C0320>100% TO 1250% RW
C03301250% RW (W UNKNOWN)
C03401250% RW (OTHER)
C0350SEC-ERBA
C0360CQS 1
C0370CQS 2
C0380CQS 3
C0390All other CQS
C0400CQS 1
C0410CQS 2
C0420CQS 3
C0430CQS 4
C0440CQS 5
C0450CQS 6
C0460CQS 7

And 46 more.

Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)

Row

R0470Securitisation positions

Column

C0010All approaches

Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01)

Rows

R0010Total exposures
R0080Originator: total exposures
R0200Investor: total exposures
R0320Sponsor: total exposures

Columns

C0050Original exposure pre conversion factors
C0060(-) Value adjustments and provisions
C0070Exposure net of value adjustments and provisions
C0080(-) Unfunded credit protection: adjusted values (Ga)
C0090(-) Funded credit protection
C0100(-) Total outflows
C0110Total inflows
C0120Net exposure after CRM substitution effects pre conversion factors
C0130(-) Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection financial collateral comprehensive method adjusted value (Cvam)
C0140Fully adjusted exposure value (E*)
C0150Of which: subject to A CCF of 0%
C0180Exposure value
C0190(-) Deducted from own funds
C0200Subject to risk weights
C0280SEC-SA
C0290<=20% RW
C0300>20% TO 50% RW
C0310>50% TO 100% RW
C0320>100% TO 1250% RW
C03301250% RW (W UNKNOWN)
C03401250% RW (OTHER)
C0350SEC-ERBA
C0360CQS 1
C0370CQS 2
C0380CQS 3
C0390All other CQS
C0400CQS 1
C0410CQS 2
C0420CQS 3
C0430CQS 4
C0440CQS 5
C0450CQS 6
C0460CQS 7
C0470CQS 8
C0480CQS 9
C0490CQS 10
C0500CQS 11
C0510CQS 12
C0520CQS 13
C0530CQS 14

And 30 more.

A worked example

With simple numbers.

Illustrative values

Originator: total exposures1,200

Investor: total exposures800

Sponsor: total exposures450

Together2,450

What the rule then expects

Total exposures must then be 2,450.

2,450Passes

2,550Fails

A file that reports 2,450 passes. One that reports 2,550 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Which returns it applies to

Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) and 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:

v7328_m: [C13.01.01.01 (c0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470;0480;0490;0500;0510;0520;0530;0540;0550;0560;0570;0580;0590;0600;0610;0620;0630;0640;0650;0660;0670;0680;0690;0700;0710;0720;0730;0740;0750;0760;0770;0780;0790;0800;0810;0820;0830;0850;0860;0870;0880;0890;0900;0910;0920;0930)] {r0010} = {r0080} + {r0200} + {r0320}

Show the formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: C13.01.01.01, r: 0010} = {t: C13.01.01.01, r: 0080} + {t: C13.01.01.01, r: 0200} + {t: C13.01.01.01, r: 0320}

Where it applies, in the Bank's words (its scope):

scope({t: C13.01.01.01, c:0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470;0480;0490;0500;0510;0520;0530;0540;0550;0560;0570;0580;0590;0600;0610;0620;0630;0640;0650;0660;0670;0680;0690;0700;0710;0720;0730;0740;0750;0760;0770;0780;0790;0800;0810;0820;0830;0850;0860;0870;0880;0890;0900;0910;0920;0930, f: banking, fv: banking_reporting})

Every PRA banking rule on C13.01.01.01

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.

"Total exposures" must equal the sum of "Originator: total exposures", "Investor: total exposures" and "Sponsor: total exposures" (C13.01.01.01, SC13.01.01.01, SC02.00.01.01, Bank of England check v7328_m)