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

Settlement/delivery risk (CR SETT): a total must equal the sum of its parts (C11.00.01.01, Bank of England check v5824_h)

A blocking check on the settlement/delivery risk (CR SETT) template (C11.00.01.01), 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 "Unsettled transactions at settlement price" (column 0010), "Price difference exposure due to unsettled transactions" (column 0020) and "Own funds requirements" (column 0030) of Settlement/delivery risk (CR SETT) (C11.00.01.01): "Total unsettled transactions in the Trading Book" (row 0070) must equal the sum of "Transactions unsettled for 46 days or more (Factor 100%)" (row 0120), "Transactions unsettled up to 4 days (Factor 0%)" (row 0080), "Transactions unsettled between 16 and 30 days (Factor 50%)" (row 0100), "Transactions unsettled between 31 and 45 days (Factor 75%)" (row 0110) and "Transactions unsettled between 5 and 15 days (Factor 8%)" (row 0090).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C11.00.01 as reported.
  6. 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.

The cells it reads

Settlement/delivery risk (CR SETT) (C11.00.01.01)

Rows

  • R0070Total unsettled transactions in the Trading Book
  • R0080Transactions unsettled up to 4 days (Factor 0%)
  • R0090Transactions unsettled between 5 and 15 days (Factor 8%)
  • R0100Transactions unsettled between 16 and 30 days (Factor 50%)
  • R0110Transactions unsettled between 31 and 45 days (Factor 75%)
  • R0120Transactions unsettled for 46 days or more (Factor 100%)

Columns

  • C0010Unsettled transactions at settlement price
  • C0020Price difference exposure due to unsettled transactions
  • C0030Own funds requirements

A worked example

With simple numbers.

Illustrative values
Transactions unsettled for 46 days or more (Factor 100%)1,200
Transactions unsettled up to 4 days (Factor 0%)800
Transactions unsettled between 16 and 30 days (Factor 50%)450
Transactions unsettled between 31 and 45 days (Factor 75%)300
Transactions unsettled between 5 and 15 days (Factor 8%)150
Together2,900
What the rule then expects

Total unsettled transactions in the Trading Book 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 blocking check.

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:

v5824_h: [C11.00.01.01 (c0010;0020;0030)] {r0070} = +{r0120} + {r0080} + {r0100} + {r0110} + {r0090}
Show the formulaShow

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

{t: C11.00.01.01, r: 0070} = {t: C11.00.01.01, r: 0120} + {t: C11.00.01.01, r: 0080} + {t: C11.00.01.01, r: 0100} + {t: C11.00.01.01, r: 0110} + {t: C11.00.01.01, r: 0090}

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

scope({t: C11.00.01.01, c:0010;0020;0030, f: banking, fv: banking_reporting})

Every PRA banking rule on C11.00.01.01

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.