Line4

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

Credit risk: securitisations (CR SEC): a value must not be less than another (C13.01.01.01, SC13.01.01.01, Bank of England check v7329_m)

A warning on the credit risk: securitisations (CR SEC) (C13.01.01.01) and credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01) templates, in the own funds (PRA001) and own funds for SDDTs (PRA116) returns.

Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns, proven on test files, check by check: the same outcome on all six test files of those returns.

Check your file for this ruleWhat to do if it fails

The rule in plain words

In each of 48 columns (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): the size of "Total exposures" (row 0010) (ignoring its sign) must not be less than the size of "CQS 1" (row 0450) (ignoring its sign) plus the size of "CQS 2" (row 0460) (ignoring its sign) plus the size of "CQS 3" (row 0470) (ignoring its sign) plus the size of "All other CQS" (row 0480) (ignoring its sign) plus the size of "CQS 1" (row 0500) (ignoring its sign) plus the size of "CQS 2" (row 0510) (ignoring its sign) plus the size of "CQS 3" (row 0520) (ignoring its sign) plus the size of "CQS 4" (row 0530) (ignoring its sign) plus the size of "CQS 5" (row 0540) (ignoring its sign) plus the size of "CQS 6" (row 0550) (ignoring its sign) plus the size of "CQS 7" (row 0560) (ignoring its sign) plus the size of "CQS 8" (row 0570) (ignoring its sign) plus the size of "CQS 9" (row 0580) (ignoring its sign) plus the size of "CQS 10" (row 0590) (ignoring its sign) plus the size of "CQS 11" (row 0600) (ignoring its sign) plus the size of "CQS 12" (row 0610) (ignoring its sign) plus the size of "CQS 13" (row 0620) (ignoring its sign) plus the size of "CQS 14" (row 0630) (ignoring its sign) plus the size of "CQS 15" (row 0640) (ignoring its sign) plus the size of "CQS 16" (row 0650) (ignoring its sign) plus the size of "CQS 17" (row 0660) (ignoring its sign) plus the size of "All other CQS" (row 0670) (ignoring its sign).

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 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 C13.01.01 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

Credit risk: securitisations (CR SEC) (C13.01.01.01)

Rows

  • R0010Total exposures
  • R0450CQS 1
  • R0460CQS 2
  • R0470CQS 3
  • R0480All other CQS
  • R0500CQS 1
  • R0510CQS 2
  • R0520CQS 3
  • R0530CQS 4
  • R0540CQS 5
  • R0550CQS 6
  • R0560CQS 7
  • R0570CQS 8
  • R0580CQS 9
  • R0590CQS 10
  • R0600CQS 11
  • R0610CQS 12
  • R0620CQS 13
  • R0630CQS 14
  • R0640CQS 15
  • R0650CQS 16
  • R0660CQS 17
  • R0670All other CQS

Columns

  • C0180Exposure value
  • C0190(-) Deducted from own funds
  • C0200Subject to risk weights
  • C0210SEC-IRBA
  • C0280SEC-SA
  • C0350SEC-ERBA
  • C0360CQS 1
  • C0370CQS 2
  • C0380CQS 3
  • C0390All other CQS
  • C0400CQS 1
  • C0410CQS 2
  • C0420CQS 3
  • C0430CQS 4
  • C0440CQS 5
  • C0450CQS 6
  • C0460CQS 7
  • C0470CQS 8
  • C0480CQS 9
  • C0490CQS 10
  • C0500CQS 11
  • C0510CQS 12
  • C0520CQS 13
  • C0530CQS 14
  • C0540CQS 15
  • C0550CQS 16
  • C0560CQS 17
  • C0570All other CQS
  • C0580Auto loans, auto leases and equipment leases
  • C0590SEC-ERBA OPTION
  • C0600Positions subject to art. 254(2)(a) CRR
  • C0610Positions subject to art. 254(2)(b) CRR
  • C0620Positions subject to art. 254 (4) or 258 (2) CRR
  • C0630Following the hierarchy of approaches
  • C0640Internal assessment approach
  • C0700OTHER (RW=1250%)
  • C0710Risk-weighted exposure amount
  • C0720SEC-IRBA
  • C0740SEC-SA
  • C0760SEC-ERBA

And 8 more.

Credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01)

Rows

  • R0010Total exposures
  • R0450CQS 1
  • R0460CQS 2
  • R0470CQS 3
  • R0480All other CQS and unrated
  • R0500CQS 1
  • R0510CQS 2
  • R0520CQS 3
  • R0530CQS 4
  • R0540CQS 5
  • R0550CQS 6
  • R0560CQS 7
  • R0570CQS 8
  • R0580CQS 9
  • R0590CQS 10
  • R0600CQS 11
  • R0610CQS 12
  • R0620CQS 13
  • R0630CQS 14
  • R0640CQS 15
  • R0650CQS 16
  • R0660CQS 17
  • R0670All other CQS and unrated

Columns

  • C0180Exposure value
  • C0190(-) Deducted from own funds
  • C0200Subject to risk weights
  • C0280SEC-SA
  • C0350SEC-ERBA
  • C0360CQS 1
  • C0370CQS 2
  • C0380CQS 3
  • C0390All other CQS
  • C0400CQS 1
  • C0410CQS 2
  • C0420CQS 3
  • C0430CQS 4
  • C0440CQS 5
  • C0450CQS 6
  • C0460CQS 7
  • C0470CQS 8
  • C0480CQS 9
  • C0490CQS 10
  • C0500CQS 11
  • C0510CQS 12
  • C0520CQS 13
  • C0530CQS 14
  • C0540CQS 15
  • C0550CQS 16
  • C0560CQS 17
  • C0570All other CQS
  • C0580Auto loans, auto leases and equipment leases
  • C0590SEC-ERBA OPTION
  • C0600Positions subject to point (a) of article 254(2) CRR
  • C0610Positions subject to point (b) of article 254(2) CRR
  • C0620Positions subject to articles 254 (4) or 258 (2) CRR
  • C0630Following the hierarchy of approaches
  • C0700OTHER (RW=1250%)
  • C0710Risk-weighted exposure amount
  • C0740SEC-SA
  • C0760SEC-ERBA
  • C0770Auto loans, auto leases and equipment leases
  • C0780SEC-ERBA OPTION
  • C0790Positions subject to point (a) of article 254(2) CRR

And 4 more.

Which returns it applies to

Line4 Check runs it on the own funds (PRA001) and own funds for SDDTs (PRA116) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds for SDDTs (PRA116) and 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:

v7329_m: [C13.01.01.01 (c0180;0190;0200;0210;0280;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470;0480;0490;0500;0510;0520;0530;0540;0550;0560;0570;0580;0590;0600;0610;0620;0630;0640;0700;0710;0720;0740;0760;0770;0780;0790;0800;0810;0820;0830;0850)] abs({r0010}) >= abs({r0450}) + abs({r0460}) + abs({r0470}) + abs({r0480}) + abs({r0500}) + abs({r0510}) + abs({r0520}) + abs({r0530}) + abs({r0540}) + abs({r0550}) + abs({r0560}) + abs({r0570}) + abs({r0580}) + abs({r0590}) + abs({r0600}) + abs({r0610}) + abs({r0620}) + abs({r0630}) + abs({r0640}) + abs({r0650}) + abs({r0660}) + abs({r0670})
Show the formulaShow

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

abs({t: C13.01.01.01, r: 0010}) >= abs({t: C13.01.01.01, r: 0450}) + abs({t: C13.01.01.01, r: 0460}) + abs({t: C13.01.01.01, r: 0470}) + abs({t: C13.01.01.01, r: 0480}) + abs({t: C13.01.01.01, r: 0500}) + abs({t: C13.01.01.01, r: 0510}) + abs({t: C13.01.01.01, r: 0520}) + abs({t: C13.01.01.01, r: 0530}) + abs({t: C13.01.01.01, r: 0540}) + abs({t: C13.01.01.01, r: 0550}) + abs({t: C13.01.01.01, r: 0560}) + abs({t: C13.01.01.01, r: 0570}) + abs({t: C13.01.01.01, r: 0580}) + abs({t: C13.01.01.01, r: 0590}) + abs({t: C13.01.01.01, r: 0600}) + abs({t: C13.01.01.01, r: 0610}) + abs({t: C13.01.01.01, r: 0620}) + abs({t: C13.01.01.01, r: 0630}) + abs({t: C13.01.01.01, r: 0640}) + abs({t: C13.01.01.01, r: 0650}) + abs({t: C13.01.01.01, r: 0660}) + abs({t: C13.01.01.01, r: 0670})

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

scope({t: C13.01.01.01, c:0180;0190;0200;0210;0280;0350;0360;0370;0380;0390;0400;0410;0420;0430;0440;0450;0460;0470;0480;0490;0500;0510;0520;0530;0540;0550;0560;0570;0580;0590;0600;0610;0620;0630;0640;0700;0710;0720;0740;0760;0770;0780;0790;0800;0810;0820;0830;0850, f: banking, fv: banking_reporting})

Every PRA banking rule on C13.01.01.01

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.