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

Credit risk: securitisations (CR SEC): a total must equal the sum of its parts (C13.01.01.01, SC13.01.01.01, Bank of England check v7332_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 84 columns (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): "Sponsor: total exposures" (row 0320) must equal the sum of "Securitisations: on-balance sheet items" (row 0330), "Securitisations: off-balance sheet items and derivatives" (row 0380) and "RE-SECURITISATIONS" (row 0430).

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. 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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C13.01.01 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

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

Rows

  • R0320Sponsor: total exposures
  • R0330Securitisations: on-balance sheet items
  • R0380Securitisations: off-balance sheet items and derivatives
  • R0430RE-SECURITISATIONS

Columns

  • C0050Original exposure pre conversion factors
  • C0060(-) Value adjustments and provisions
  • C0070Exposure net of value adjustments and provisions
  • C0080(-) Unfunded credit protection: adjusted values (Ga)
  • C0090(-) Funded credit protection
  • C0100(-) Total outflows
  • C0110Total inflows
  • C0120Net exposure after CRM substitution effects pre conversion factors
  • C0130(-) Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection financial collateral comprehensive method adjusted value (Cvam)
  • C0140Fully adjusted exposure value (E*)
  • C0180Exposure value
  • C0190(-) Deducted from own funds
  • C0200Subject to risk weights
  • C0210SEC-IRBA
  • C0220<=20% RW
  • C0230>20% TO 50% RW
  • C0240>50% TO 100% RW
  • C0250>100% TO 1250% RW
  • C02601250% RW
  • C0270Of which: calculated under article 255 (4) (PURCHASED RECEIVABLES)
  • C0280SEC-SA
  • C0290<=20% RW
  • C0300>20% TO 50% RW
  • C0310>50% TO 100% RW
  • C0320>100% TO 1250% RW
  • C03301250% RW (W UNKNOWN)
  • C03401250% RW (OTHER)
  • 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

And 44 more.

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

Rows

  • R0320Sponsor: total exposures
  • R0330Securitisations: on-balance sheet items
  • R0380Securitisations: off-balance sheet items and derivatives
  • R0430RE-SECURITISATIONS

Columns

  • C0050Original exposure pre conversion factors
  • C0060(-) Value adjustments and provisions
  • C0070Exposure net of value adjustments and provisions
  • C0080(-) Unfunded credit protection: adjusted values (Ga)
  • C0090(-) Funded credit protection
  • C0100(-) Total outflows
  • C0110Total inflows
  • C0120Net exposure after CRM substitution effects pre conversion factors
  • C0130(-) Credit risk mitigation techniques affecting the amount of the exposure: funded credit protection financial collateral comprehensive method adjusted value (Cvam)
  • C0140Fully adjusted exposure value (E*)
  • C0180Exposure value
  • C0190(-) Deducted from own funds
  • C0200Subject to risk weights
  • C0280SEC-SA
  • C0290<=20% RW
  • C0300>20% TO 50% RW
  • C0310>50% TO 100% RW
  • C0320>100% TO 1250% RW
  • C03301250% RW (W UNKNOWN)
  • C03401250% RW (OTHER)
  • 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

And 28 more.

A worked example

With simple numbers.

Illustrative values
Securitisations: on-balance sheet items1,200
Securitisations: off-balance sheet items and derivatives800
RE-SECURITISATIONS450
Together2,450
What the rule then expects

Sponsor: total exposures must then be 2,450.

2,450Passes
2,550Fails

A file that reports 2,450 passes. One that reports 2,550 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) 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:

v7332_m: [C13.01.01.01 (c0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;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;0650;0660;0670;0680;0690;0700;0710;0720;0730;0740;0750;0760;0770;0780;0790;0800;0810;0820;0830;0850;0860;0880;0890;0900;0910;0920;0930)] {r0320} = {r0330} + {r0380} + {r0430}
Show the formulaShow

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

{t: C13.01.01.01, r: 0320} = {t: C13.01.01.01, r: 0330} + {t: C13.01.01.01, r: 0380} + {t: C13.01.01.01, r: 0430}

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

scope({t: C13.01.01.01, c:0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0180;0190;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;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;0650;0660;0670;0680;0690;0700;0710;0720;0730;0740;0750;0760;0770;0780;0790;0800;0810;0820;0830;0850;0860;0880;0890;0900;0910;0920;0930, 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.