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

Counterparty credit risk: credit derivatives exposures (CCR 9): a total must equal the sum of its parts (C34.09.01.01, Bank of England check v09846_m)

A warning on the counterparty credit risk: credit derivatives exposures (CCR 9) template (C34.09.01.01), 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 "Protection bought" (column 0010) and "Protection sold" (column 0020) of Counterparty credit risk: credit derivatives exposures (CCR 9) (C34.09.01.01): "Total" (row 0060) must equal the sum of "Single-name credit default swaps" (row 0010), "Index credit default swaps" (row 0020), "Total return swaps" (row 0030), "Credit options" (row 0040) and "Other credit derivatives" (row 0050).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C34.09.01 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: credit derivatives exposures (CCR 9) (C34.09.01.01)

Rows

  • R0010Single-name credit default swaps
  • R0020Index credit default swaps
  • R0030Total return swaps
  • R0040Credit options
  • R0050Other credit derivatives
  • R0060Total

Columns

  • C0010Protection bought
  • C0020Protection sold

A worked example

With simple numbers.

Illustrative values
Single-name credit default swaps1,200
Index credit default swaps800
Total return swaps450
Credit options300
Other credit derivatives150
Together2,900
What the rule then expects

Total must then be 2,900.

2,900Passes
3,000Fails

A file that reports 2,900 passes. One that reports 3,000 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:

v09846_m: [C34.09.01.01 (c0010;0020)] {r0060} = {r0010} + {r0020} + {r0030} + {r0040} + {r0050}
Show the formulaShow

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

{t: C34.09.01.01, r: 0060} = {t: C34.09.01.01, r: 0010} + {t: C34.09.01.01, r: 0020} + {t: C34.09.01.01, r: 0030} + {t: C34.09.01.01, r: 0040} + {t: C34.09.01.01, r: 0050}

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

scope({t: C34.09.01.01, c:0010;0020, f: banking, fv: banking_reporting})

Every PRA banking rule on C34.09.01.01

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.