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3 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 v7406_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 90 columns (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): the size of "Not qualifying for differentiated capital treatment" (row 0120) (ignoring its sign) must not be less than the size of "Of which: senior exposures" (row 0130) (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

  • R0120Not qualifying for differentiated capital treatment
  • R0130Of which: senior exposures

Columns

  • C0010Total amount of SECURITISATI0N exposures originated
  • C0020(-) Funded credit protection (Cva)
  • C0030(-) Unfunded credit protection adjusted values (G*)
  • C0040Notional amount retained or repurchased of credit protection
  • 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*)
  • C0160(-) Non refundable price purchase discount
  • C0170(-) Specific credit risk adjustments on underlying exposures
  • 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

And 50 more.

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

Rows

  • R0120Not qualifying for differentiated capital treatment
  • R0130Of which: senior exposures

Columns

  • C0010Total amount of securitisation exposures originated
  • C0020(-) Funded credit protection (Cva)
  • C0030(-) Unfunded credit protection adjusted values (G*)
  • C0040Notional amount retained or repurchased of credit protection
  • 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*)
  • C0160(-) Non refundable purchase price discount
  • C0170(-) Specific credit risk adjustments on underlying exposures
  • 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

And 34 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:

v7406_m: [C13.01.01.01 (c0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0160;0170;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)] abs({r0120}) >= abs({r0130})
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: 0120}) >= abs({t: C13.01.01.01, r: 0130})

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

scope({t: C13.01.01.01, c:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0160;0170;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.