The rule in plain words
In Detailed information on securitisations (CR SEC Details) (C14.00.01.01): if "UL (%)" (column 0203) is not zero, "Own funds requirements before securitisation (%) Kirb" (column 0221) must equal the sum of "EL (%)" (column 0202) and "UL (%)" (column 0203).
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark C14.00.01 as reported.
- 05This 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
- C0202EL (%)
- C0203UL (%)
- C0221Own funds requirements before securitisation (%) Kirb
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:
v7366_m: [C14.00.01.01 (All rows)] if {c0203} != 0 then {c0221} = {c0202} + {c0203}
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
if {t: C14.00.01.01, c: 0203} != 0 then {t: C14.00.01.01, c: 0221} = {t: C14.00.01.01, c: 0202} + {t: C14.00.01.01, c: 0203} else true()Other rules on Detailed information on securitisations (CR SEC Details) (C14.00.01.01)
- If "% Of IRB in approach applied" is not less than 0.95, "% Of retail exposures in IRB pools" must be reported (v7368_m)
- Every value in "Detachment point (%)" must be zero or more, and every value in "Detachment point (%)" must not be more than 1 (v7369_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7362_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7370_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7361_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7360_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7359_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7358_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.