The rule in plain words
In Credit risk: securitisations (CR SEC) (C13.01.01.01): every value in 19 rows (listed below) in "Total amount of SECURITISATI0N exposures originated" (column 0010) and "Notional amount retained or repurchased of credit protection" (column 0040) must be zero or more.
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.
- 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 C13.01.01 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
Credit risk: securitisations (CR SEC) (C13.01.01.01)
Rows
- R0010Total exposures
- R0020SECURITISATIONS
- R0030Qualifying for differentiated capital treatment
- R0040Sts exposures
- R0050Senior position in SMEs securitisations
- R0060Not qualifying for differentiated capital treatment
- R0070RE-SECURITISATIONS
- R0080Originator: total exposures
- R0090Securitisations: on-balance sheet items
- R0100Qualifying for differentiated capital treatment
- R0110Of which: senior exposures
- R0120Not qualifying for differentiated capital treatment
- R0130Of which: senior 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
Columns
- C0010Total amount of SECURITISATI0N exposures originated
- C0040Notional amount retained or repurchased of credit protection
Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01)
Rows
- R0010Total exposures
- R0020SECURITISATIONS
- R0030Qualifying for differentiated capital treatment
- R0040Sts exposures
- R0050Senior position in SMEs securitisations
- R0060Not qualifying for differentiated capital treatment
- R0070RE-SECURITISATIONS
- R0080Originator: total exposures
- R0090Securitisations: on-balance sheet items
- R0100Qualifying for differentiated capital treatment
- R0110Of which: senior exposures
- R0120Not qualifying for differentiated capital treatment
- R0130Of which: senior 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
Columns
- C0010Total amount of securitisation exposures originated
- C0040Notional amount retained or repurchased of credit protection
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:
v7749_s: [C13.01.01.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180;0190, c0010;0040)] {C13.01.01.01} >= 0
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: C13.01.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190, c: 0010; 0040} >= 0Other rules on Credit risk: securitisations (CR SEC) (C13.01.01.01)
- Credit risk: securitisations (CR SEC): a total must equal the sum of its parts (v7748_h)
- Credit risk: securitisations (CR SEC): every value in 43 rows in 27 columns must be zero or more (v7750_s)
- Credit risk: securitisations (CR SEC): every value in 43 rows in 50 columns must be zero or more (v7751_s)
- Credit risk: securitisations (CR SEC): every value in 65 rows in column "(-) Deducted from own funds" must be zero or less (v7752_s)
- Credit risk: securitisations (CR SEC): a value must not be negative (v7674_s)
- Credit risk: securitisations (CR SEC): every value in 36 rows in column "Of which: synthetic securitisations" must be zero or more (v7673_s)
- Credit risk: securitisations (CR SEC): every value in 43 rows in 7 columns must be zero or less (v7672_s)
- Credit risk: securitisations (CR SEC): a value must not be more than another (v7671_s)
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.