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

Counterparty credit risk: CCR exposures by approach (CCR 2): a total must equal the sum of its parts (C34.02.01.01, Bank of England check v09811_m)

A warning on the counterparty credit risk: CCR exposures by approach (CCR 2) template (C34.02.01.01), in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) 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 each of 14 columns (listed below) of Counterparty credit risk: CCR exposures by approach (CCR 2) (C34.02.01.01): "IMM (for derivatives and SFTS)" (row 0040) must equal the sum of "Securities financing transactions netting sets" (row 0050), "Derivatives and long settlement transactions netting sets" (row 0060) and "From contractual cross-product netting sets" (row 0070).

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

  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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C34.02.01 as reported.
  6. 06This 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

Counterparty credit risk: CCR exposures by approach (CCR 2) (C34.02.01.01)

Rows

  • R0040IMM (for derivatives and SFTS)
  • R0050Securities financing transactions netting sets
  • R0060Derivatives and long settlement transactions netting sets
  • R0070From contractual cross-product netting sets

Columns

  • C0020Number of transactions
  • C0030Notional amounts
  • C0040Current market value (CMV), positive
  • C0050Current market value (CMV), negative
  • C0120Current exposure
  • C0130Effective expected positive exposure (EEPE)
  • C0150Exposure value pre-CRM
  • C0160Exposure value post-CRM
  • C0170Exposure value
  • C0180Positions treated with the CR standardised approach
  • C0190Positions treated with the CR IRB approach
  • C0200Risk weighted exposure amounts
  • C0210Positions treated with the CR standardised approach
  • C0220Positions treated with the CR IRB approach

Sheets

  • S0001All CCR exposures
  • S0002All CCR exposures excluding exposures to central counterparties (CCPs)

A worked example

With simple numbers.

Illustrative values
Securities financing transactions netting sets1,200
Derivatives and long settlement transactions netting sets800
From contractual cross-product netting sets450
Together2,450
What the rule then expects

IMM (for derivatives and SFTS) must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 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 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:

v09811_m: [C34.02.01.01 (c0020;0030;0040;0050;0120;0130;0150;0160;0170;0180;0190;0200;0210;0220, All sheets)] {r0040} = {r0050} + {r0060} + {r0070}
Show the formulaShow

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

{t: C34.02.01.01, r: 0040} = {t: C34.02.01.01, r: 0050} + {t: C34.02.01.01, r: 0060} + {t: C34.02.01.01, r: 0070}

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

scope({t: C34.02.01.01, c:0020;0030;0040;0050;0120;0130;0150;0160;0170;0180;0190;0200;0210;0220,z:0001;0002, f: banking, fv: banking_reporting})

Every PRA banking rule on C34.02.01.01

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.