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

Counterparty credit risk: CCR exposures by approach (CCR 2): every value in 11 rows in 5 columns on 2 sheets must be zero or more (C34.02.01.01, Bank of England check v10323_s)

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 Counterparty credit risk: CCR exposures by approach (CCR 2) (C34.02.01.01): every value in 11 rows (listed below) in 5 columns (listed below) on 2 sheets must be zero or more.

What to do if your return fails it

  1. 01Open the table 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 C34.02.01 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

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

Rows

  • R0010Original exposure method (for derivatives)
  • R0020Simplified standardised approach for CCR (simplified SA-CCR for derivatives)
  • R0030Standardised approach for CCR (SA-CCR for derivatives)
  • R0040IMM (for derivatives and SFTS)
  • R0050Securities financing transactions netting sets
  • R0060Derivatives and long settlement transactions netting sets
  • R0070From contractual cross-product netting sets
  • R0080Financial collateral simple method (for SFTS)
  • R0090Financial collateral comprehensive method (for SFTS)
  • R0100VAR for SFTS
  • R0110Total

Columns

  • C0150Exposure value pre-CRM
  • C0180Positions treated with the CR standardised approach
  • C0190Positions treated with the CR IRB approach
  • 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)

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:

v10323_s: [C34.02.01.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110, c0150;0180;0190;0210;0220, All sheets)] {C34.02.01.01} >= 0
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: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110, c: 0150; 0180; 0190; 0210; 0220, z: 0001; 0002} >= 0

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.