The rule in plain words
In Detailed information on securitisations (CR SEC Details) (C14.00.01.01): every value in "Detachment point (%)" (column 0251) must be zero or more, and every value in "Detachment point (%)" (column 0251) must not be more than 1.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark C14.00.01 as reported.
The cells it reads
Detailed information on securitisations (CR SEC Details) (C14.00.01.01)
Column
- C0251Detachment point (%)
Detailed information on securitisations for SDDTs (SEC Details SDDT) (SC14.00.01.01)
Column
- C0251Detachment point (%)
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:
v7369_m: [C14.00.01.01 (All rows)] 0 <= {c0251} and {c0251} <= 1
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
0 <= {t: C14.00.01.01, c: 0251} and {t: C14.00.01.01, c: 0251} <= 1Other 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)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7370_m)
- If "UL (%)" is not zero, "Own funds requirements before securitisation (%) Kirb" must equal the sum of "EL (%)" and "UL (%)" (v7366_m)
- Detailed information on securitisations (CR SEC Details): a conditional check (v7362_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.
