The rule in plain words
In each of 27 rows (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): the size of "Fully adjusted exposure value (E*)" (column 0140) (ignoring its sign) must not be less than the size of "Of which: subject to A CCF of 0%" (column 0150) (ignoring its sign).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
- 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 C13.01.01 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
Credit risk: securitisations (CR SEC) (C13.01.01.01)
Rows
- R0010Total exposures
- R0020SECURITISATIONS
- R0030Qualifying for differentiated capital treatment
- R0050Senior position in SMEs securitisations
- R0060Not qualifying for differentiated capital treatment
- R0070RE-SECURITISATIONS
- R0080Originator: total exposures
- R0140Securitisations: off-balance sheet items and derivatives
- R0150Qualifying for differentiated capital treatment
- R0160Of which: senior exposures
- R0170Not qualifying for differentiated capital treatment
- R0180Of which: senior exposures
- R0190RE-SECURITISATIONS
- R0200Investor: total exposures
- R0260Securitisations: off-balance sheet items and derivatives
- R0270Qualifying for differentiated capital treatment
- R0280Of which: senior exposures
- R0290Not qualifying for differentiated capital treatment
- R0300Of which: senior exposures
- R0310RE-SECURITISATIONS
- R0320Sponsor: total exposures
- R0380Securitisations: off-balance sheet items and derivatives
- R0390Qualifying for differentiated capital treatment
- R0400Of which: senior exposures
- R0410Not qualifying for differentiated capital treatment
- R0420Of which: senior exposures
- R0430RE-SECURITISATIONS
Columns
- C0140Fully adjusted exposure value (E*)
- C0150Of which: subject to A CCF of 0%
Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01)
Rows
- R0010Total exposures
- R0020SECURITISATIONS
- R0030Qualifying for differentiated capital treatment
- R0050Senior position in SMEs securitisations
- R0060Not qualifying for differentiated capital treatment
- R0070RE-SECURITISATIONS
- R0080Originator: total exposures
- R0140Securitisations: off-balance sheet items and derivatives
- R0150Qualifying for differentiated capital treatment
- R0160Of which: senior exposures
- R0170Not qualifying for differentiated capital treatment
- R0180Of which: senior exposures
- R0190RE-SECURITISATIONS
- R0200Investor: total exposures
- R0260Securitisations: off-balance sheet items and derivatives
- R0270Qualifying for differentiated capital treatment
- R0280Of which: senior exposures
- R0290Not qualifying for differentiated capital treatment
- R0300Of which: senior exposures
- R0310RE-SECURITISATIONS
- R0320Sponsor: total exposures
- R0380Securitisations: off-balance sheet items and derivatives
- R0390Qualifying for differentiated capital treatment
- R0400Of which: senior exposures
- R0410Not qualifying for differentiated capital treatment
- R0420Of which: senior exposures
- R0430RE-SECURITISATIONS
Columns
- C0140Fully adjusted exposure value (E*)
- C0150Of which: subject to A CCF of 0%
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:
v7422_m: [C13.01.01.01 (r0010;0020;0030;0050;0060;0070;0080;0140;0150;0160;0170;0180;0190;0200;0260;0270;0280;0290;0300;0310;0320;0380;0390;0400;0410;0420;0430)] abs({c0140}) >= abs({c0150})
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
abs({t: C13.01.01.01, c: 0140}) >= abs({t: C13.01.01.01, c: 0150})Where it applies, in the Bank's words (its scope):
scope({t: C13.01.01.01, r:0010;0020;0030;0050;0060;0070;0080;0140;0150;0160;0170;0180;0190;0200;0260;0270;0280;0290;0300;0310;0320;0380;0390;0400;0410;0420;0430, f: banking, fv: banking_reporting})Other rules on Credit risk: securitisations (CR SEC) (C13.01.01.01)
- Credit risk: securitisations (CR SEC): a value must not be less than another (v7421_m)
- Credit risk: securitisations (CR SEC): a value must not be less than another (v7420_m)
- "SEC-IRBA" must equal the sum of "<=20% RW", ">20% TO 50% RW", ">50% TO 100% RW", ">100% TO 1250% RW" and "1250% RW" (v7424_m)
- Credit risk: securitisations (CR SEC): a total must equal the sum of its parts (v7419_m)
- Credit risk: securitisations (CR SEC): a value must not be less than another (v7425_m)
- Credit risk: securitisations (CR SEC): a value must not be less than another (v7418_m)
- Credit risk: securitisations (CR SEC): a total must equal the sum of its parts (v7426_m)
- Credit risk: securitisations (CR SEC): a value must not be less than another (v7417_m)
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.