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

Credit risk: securitisations for SDDTs (CR SEC SDDT): every value in 43 rows in 14 columns must be zero or more (SC13.01.01.01, SC02.00.01.01, Bank of England check boe_b0106_ss)

A warning on the credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01) and own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01) templates, in the own funds for SDDTs (PRA116) return.

Line4 Check runs it on the own funds for SDDTs (PRA116) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

In Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01): every value in 43 rows (listed below) in 14 columns (listed below) must be zero or more.

What to do if your return fails it

  1. 01Open the tables below and find the cells the rule reads.
  2. 02Look for a value below zero in these cells, such as an amount entered as a negative number.
  3. 03It runs only when your filing indicators mark SC13.01.01 as reported.
  4. 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

Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)

Row

  • R0470Securitisation positions

Column

  • C0010All approaches

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
  • R0200Investor: total exposures
  • R0210Securitisations: on-balance sheet items
  • R0220Qualifying for differentiated capital treatment
  • R0230Of which: senior exposures
  • R0240Not qualifying for differentiated capital treatment
  • R0250Of which: senior 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
  • R0330Securitisations: on-balance sheet items
  • R0340Qualifying for differentiated capital treatment
  • R0350Of which: senior exposures
  • R0360Not qualifying for differentiated capital treatment
  • R0370Of which: senior exposures
  • R0380Securitisations: off-balance sheet items and derivatives
  • R0390Qualifying for differentiated capital treatment
  • R0400Of which: senior exposures

And 3 more.

Columns

  • C0050Original exposure pre conversion factors
  • C0110Total inflows
  • C0140Fully adjusted exposure value (E*)
  • C0290<=20% RW
  • C0300>20% TO 50% RW
  • C0310>50% TO 100% RW
  • C0320>100% TO 1250% RW
  • C03301250% RW (W UNKNOWN)
  • C03401250% RW (OTHER)
  • C0750OF WHICH: RW=1250% (W UNKNOWN)
  • C0880Overall effect (ADJUSTMENT) due to infringement of chapter 2 of regulation (EU) 2017/2402
  • C0890Before cap
  • C0920Total risk-weighted exposure amount
  • C0930Memorandum item: risk weighted exposure amount corresponding to the outflows from securitisations to other exposure classes

Which returns it applies to

Line4 Check runs it on the own funds for SDDTs (PRA116) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) 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:

[boe_b0106_ss];[{t: SC13.01.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190; 0200; 0210; 0220; 0230; 0240; 0250; 0260; 0270; 0280; 0290; 0300; 0310; 0320; 0330; 0340; 0350; 0360; 0370; 0380; 0390; 0400; 0410; 0420; 0430, c: 0050; 0110; 0140; 0290; 0300; 0310; 0320; 0330; 0340; 0750; 0880; 0890; 0920; 0930} >= 0]
Show the formulaShow

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

{t: SC13.01.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190; 0200; 0210; 0220; 0230; 0240; 0250; 0260; 0270; 0280; 0290; 0300; 0310; 0320; 0330; 0340; 0350; 0360; 0370; 0380; 0390; 0400; 0410; 0420; 0430, c: 0050; 0110; 0140; 0290; 0300; 0310; 0320; 0330; 0340; 0750; 0880; 0890; 0920; 0930} >= 0

Every PRA banking rule on SC13.01.01.01

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.