The rule in plain words
In Detailed information on securitisations by approach (CR SEC Details 2) (C14.01.01.01): every value in 19 columns (listed below) on 4 sheets must be zero or more.
What to do if your return fails it
- 01Open the table 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 C14.01.01 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
Detailed information on securitisations by approach (CR SEC Details 2) (C14.01.01.01)
Columns
- C0310SENIOR
- C0320MEZZANINE
- C0330First loss
- C0340SENIOR
- C0350MEZZANINE
- C0351Rw corresponding to protection provider / instrument
- C0360First loss
- C0361Rw corresponding to protection provider / instrument
- C0370Direct credit substitutes
- C0380IRS / CRS
- C0390Liquidity facilities
- C0400OTHER
- C0411Exposure value
- C0430Before cap
- C0440After cap
- C0447Risk-weighted exposure amount under SEC-ERBA
- C0448Risk weighted exposure amount under SEC-SA
- C0460LONG
- C0470SHORT
Sheets
- S0010Standardised approach for securitisations (SEC-SA)
- S0020External ratings-based approach for securitisation positions (SEC-ERBA)
- S0030Internal ratings-based approach for securitisation positions (SEC-IRBA)
- S00401250% for positions not subject to any method
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:
v7746_s: [C14.01.01.01 (All rows, c0310;0320;0330;0340;0350;0351;0360;0361;0370;0380;0390;0400;0411;0430;0440;0447;0448;0460;0470, All sheets)] >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C14.01.01.01, c: 0310; 0320; 0330; 0340; 0350; 0351; 0360; 0361; 0370; 0380; 0390; 0400; 0411; 0430; 0440; 0447; 0448; 0460; 0470, z: 0010; 0020; 0030; 0040} >= 0Other rules on Detailed information on securitisations by approach (CR SEC Details 2) (C14.01.01.01)
- Detailed information on securitisations by approach (CR SEC Details 2): a value must not be more than another (v7747_s)
- The sum of "Exposure value" on 4 sheets must equal "Total exposures" in column "Exposure value" in Credit risk: securitisations (CR SEC) (v7378_m)
- The sum of "First loss" on 4 sheets must not be more than "First loss" in Detailed information on securitisations (CR SEC Details) (v7377_m)
- The sum of "MEZZANINE" on 4 sheets must not be more than "MEZZANINE" in Detailed information on securitisations (CR SEC Details) (v7376_m)
- The sum of "SENIOR" on 4 sheets must not be more than "SENIOR" in Detailed information on securitisations (CR SEC Details) (v7375_m)
- The sum of "First loss" on 4 sheets must not be more than "AMOUNT" in Detailed information on securitisations (CR SEC Details) (v7374_m)
- The sum of "MEZZANINE" on 4 sheets must not be more than "AMOUNT" in Detailed information on securitisations (CR SEC Details) (v7373_m)
- The sum of "SENIOR" on 4 sheets must not be more than "AMOUNT" in Detailed information on securitisations (CR SEC Details) (v7372_m)
Every PRA banking rule on C14.01.01.01
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.