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

Counterparty credit risk: exposures to CCPs (CCR 10): a total must equal the sum of its parts (C34.10.01.01, Bank of England check v09850_m)

A warning on the counterparty credit risk: exposures to CCPs (CCR 10) template (C34.10.01.01), 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 "Exposure value" (column 0010) and "Risk weighted exposure amounts" (column 0020) of Counterparty credit risk: exposures to CCPs (CCR 10) (C34.10.01.01): "Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which" (row 0120) must equal the sum of "(i) OTC derivatives" (row 0130), "(ii) Exchange-traded derivatives" (row 0140), "(iii) SFTs" (row 0150) and "(iv) Netting sets where cross-product netting has been approved" (row 0160).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C34.10.01 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: exposures to CCPs (CCR 10) (C34.10.01.01)

Rows

  • R0120Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which
  • R0130(i) OTC derivatives
  • R0140(ii) Exchange-traded derivatives
  • R0150(iii) SFTs
  • R0160(iv) Netting sets where cross-product netting has been approved

Columns

  • C0010Exposure value
  • C0020Risk weighted exposure amounts

A worked example

With simple numbers.

Illustrative values
(i) OTC derivatives1,200
(ii) Exchange-traded derivatives800
(iii) SFTs450
(iv) Netting sets where cross-product netting has been approved300
Together2,750
What the rule then expects

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which 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 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:

v09850_m: [C34.10.01.01 (All columns)] {r0120} = {r0130} + {r0140} + {r0150} + {r0160}
Show the formulaShow

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

{t: C34.10.01.01, r: 0120} = {t: C34.10.01.01, r: 0130} + {t: C34.10.01.01, r: 0140} + {t: C34.10.01.01, r: 0150} + {t: C34.10.01.01, r: 0160}

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

scope({t: C34.10.01.01, c:0010;0020, f: banking, fv: banking_reporting})

Every PRA banking rule on C34.10.01.01

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.