Line4

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

Credit risk: securitisations (CR SEC): "Total exposures" must equal the sum of "RE-SECURITISATIONS" and "SECURITISATIONS" (C13.01.01.01, SC13.01.01.01, SC02.00.01.01, Bank of England check v7670_h)

A warning on the credit risk: securitisations (CR SEC) (C13.01.01.01), credit risk: securitisations for SDDTs (CR SEC SDDT) (SC13.01.01.01) and own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01) 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 92 columns (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): "Total exposures" (row 0010) must equal the sum of "RE-SECURITISATIONS" (row 0070) and "SECURITISATIONS" (row 0020).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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

  • R0010Total exposures
  • R0020SECURITISATIONS
  • R0070RE-SECURITISATIONS

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*)
  • C0150Of which: subject to A CCF of 0%
  • 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

And 52 more.

Own funds requirements for SDDTs (CA2 SDDT) (SC02.00.01.01)

Row

  • R0470Securitisation positions

Column

  • C0010All approaches

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

Rows

  • R0010Total exposures
  • R0020SECURITISATIONS
  • R0070RE-SECURITISATIONS

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*)
  • C0150Of which: subject to A CCF of 0%
  • 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

And 36 more.

A worked example

With simple numbers.

Illustrative values
RE-SECURITISATIONS1,200
SECURITISATIONS800
Together2,000
What the rule then expects

Total exposures must then be 2,000.

2,000Passes
2,100Fails

A file that reports 2,000 passes. One that reports 2,100 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:

v7670_h: [C13.01.01.01 (c0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;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;0870;0880;0890;0900;0910;0920;0930)] {r0010} = +{r0070} + {r0020}
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: 0010} = {t: C13.01.01.01, r: 0070} + {t: C13.01.01.01, r: 0020}

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;0150;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;0870;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.