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2 min readBlockingBank of England banking taxonomy 4.1.1Updated 11 November 2026

(LR6) Treatment of collateral swaps: the amount of 'Total collateral swaps' at period end must equal the sum of 'Totals for transactions' (LV49.00.00.01, Bank of England check boe_b0031)

A blocking check on the (LR6) Treatment of collateral swaps template (LV49.00.00.01), in the contingent leverage (LVR002) return.

Line4 Check runs it on the contingent leverage (LVR002) return, proven on test files, check by check: the same outcome on all eight test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

The amount of 'Total collateral swaps' at period end must equal the sum of 'Totals for transactions'

In each of "Market value of collateral lent (period end)" (column 0010) and "Market value of collateral borrowed (period end)" (column 0020) of (LR6) Treatment of collateral swaps (LV49.00.00.01): "Total collateral swaps" (row 0010) must equal the sum of "of which: Totals for transactions in which Level 1 HQLAs are lent and the following collateral is borrowed" (row 0050), "of which: Totals for transactions in which Level 2A HQLAs are lent and the following collateral is borrowed" (row 0100), "of which: Totals for transactions in which Level 2B HQLAs are lent and the following collateral is borrowed" (row 0150) and "of which: Totals for transactions in which non-liquid assets are lent and the following collateral is borrowed" (row 0200).

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02Add up the parts in your return and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark LV49.00.00 as reported.
  6. 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.

The cells it reads

(LR6) Treatment of collateral swaps (LV49.00.00.01)

Rows

  • R0010Total collateral swaps
  • R0050of which: Totals for transactions in which Level 1 HQLAs are lent and the following collateral is borrowed
  • R0100of which: Totals for transactions in which Level 2A HQLAs are lent and the following collateral is borrowed
  • R0150of which: Totals for transactions in which Level 2B HQLAs are lent and the following collateral is borrowed
  • R0200of which: Totals for transactions in which non-liquid assets are lent and the following collateral is borrowed

Columns

  • C0010Market value of collateral lent (period end)
  • C0020Market value of collateral borrowed (period end)

A worked example

With simple numbers.

Illustrative values
of which: Totals for transactions in which Level 1 HQLAs are lent and the following collateral is borrowed1,200
of which: Totals for transactions in which Level 2A HQLAs are lent and the following collateral is borrowed800
of which: Totals for transactions in which Level 2B HQLAs are lent and the following collateral is borrowed450
of which: Totals for transactions in which non-liquid assets are lent and the following collateral is borrowed300
Together2,750
What the rule then expects

Total collateral swaps must then be 2,750.

2,750Passes
2,850Fails

A file that reports 2,750 passes. One that reports 2,850 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Which returns it applies to

Line4 Check runs it on the contingent leverage (LVR002) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to contingent leverage (LVR002) returns, as a blocking check.

The Bank’s own words and formula

The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.

Show the formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

{t: LV49.00.00.01, r: 0010} = {t: LV49.00.00.01, r: 0050} + {t: LV49.00.00.01, r: 0100} + {t: LV49.00.00.01, r: 0150} + {t: LV49.00.00.01, r: 0200}

Where it applies, in the Bank's words (its scope):

scope({t: LV49.00.00.01, c:0010;0020, f: banking, fv: leverage 2023-05-11})

Every PRA banking rule on LV49.00.00.01

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.