Line4

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

"Before cap" must not be less than "After cap / total own funds requirements" (OF19.00.01.01, OF18.00.01.01, Bank of England check v4832_m)

A warning on the market risk: standardised approach for specific risk in securitisations (MKR SA SEC) (OF19.00.01.01) and market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01) templates, 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 rows (listed below) of Market risk: standardised approach for specific risk in securitisations (MKR SA SEC) (OF19.00.01.01): "Before cap" (column 0570) must not be less than "After cap / total own funds requirements" (column 0601).

What to do if your return fails it

  1. 01Open the tables below and find the cells the rule reads.
  2. 02Compare the values in your return. If the first is smaller than it may be, one of them is wrong: check both before you change either.
  3. 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark OF19.00.01 as reported.
  5. 05This 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

Market risk: standardised approach for position risks in traded debt instruments (MKR SA TDI) (OF18.00.01.01)

Row

  • R0325Own funds requirement for securitisation instruments

Column

  • C0060Own funds requirements

Sheet

  • S0001Total

Market risk: standardised approach for specific risk in securitisations (MKR SA SEC) (OF19.00.01.01)

Rows

  • R0010Total exposures
  • R0020Of which: RE-SECURITISATIONS
  • R0030Originator: total exposures
  • R0040SECURITISATIONS
  • R0041Of which: qualifying for differentiated capital treatment
  • R0050RE-SECURITISATIONS
  • R0060Investor: total exposures
  • R0070SECURITISATIONS
  • R0071Of which: qualifying for differentiated capital treatment
  • R0080RE-SECURITISATIONS
  • R0090Sponsor: total exposures
  • R0100SECURITISATIONS
  • R0101Of which: qualifying for differentiated capital treatment
  • R0110RE-SECURITISATIONS

Columns

  • C0570Before cap
  • C0601After cap / total own funds requirements

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:

v4832_m: [OF19.00.01.01 (r0010;0020;0030;0040;0041;0050;0060;0070;0071;0080;0090;0100;0101;0110)] {c0570} >= {c0601}
Show the formulaShow

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

{t: OF19.00.01.01, c: 0570} >= {t: OF19.00.01.01, c: 0601}

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

scope({t: OF19.00.01.01, r:0010;0020;0030;0040;0041;0050;0060;0070;0071;0080;0090;0100;0101;0110, f: banking, fv: banking_reporting})

Every PRA banking rule on OF19.00.01.01

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.