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

Credit risk: securitisations (CR SEC): a value must not be more than another (C13.01.01.01, SC13.01.01.01, Bank of England check v7671_s)

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 Credit risk: securitisations (CR SEC) (C13.01.01.01): every value in 19 rows (listed below) in "(-) Funded credit protection (Cva)" (column 0020), "(-) Unfunded credit protection adjusted values (G*)" (column 0030), "(-) Non refundable price purchase discount" (column 0160) and "(-) Specific credit risk adjustments on underlying exposures" (column 0170) must be zero or less.

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 bigger than it may be, one of them is wrong: check both before you change either.
  3. 03It runs only when your filing indicators mark C13.01.01 as reported.
  4. 04This 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
  • R0030Qualifying for differentiated capital treatment
  • R0040Sts exposures
  • R0050Senior position in SMEs securitisations
  • R0060Not qualifying for differentiated capital treatment
  • R0070RE-SECURITISATIONS
  • R0080Originator: total exposures
  • R0090Securitisations: on-balance sheet items
  • R0100Qualifying for differentiated capital treatment
  • R0110Of which: senior exposures
  • R0120Not qualifying for differentiated capital treatment
  • R0130Of which: senior exposures
  • R0140Securitisations: off-balance sheet items and derivatives
  • R0150Qualifying for differentiated capital treatment
  • R0160Of which: senior exposures
  • R0170Not qualifying for differentiated capital treatment
  • R0180Of which: senior exposures
  • R0190RE-SECURITISATIONS

Columns

  • C0020(-) Funded credit protection (Cva)
  • C0030(-) Unfunded credit protection adjusted values (G*)
  • C0160(-) Non refundable price purchase discount
  • C0170(-) Specific credit risk adjustments on underlying exposures

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

Rows

  • R0010Total exposures
  • R0020SECURITISATIONS
  • R0030Qualifying for differentiated capital treatment
  • R0040Sts exposures
  • R0050Senior position in SMEs securitisations
  • R0060Not qualifying for differentiated capital treatment
  • R0070RE-SECURITISATIONS
  • R0080Originator: total exposures
  • R0090Securitisations: on-balance sheet items
  • R0100Qualifying for differentiated capital treatment
  • R0110Of which: senior exposures
  • R0120Not qualifying for differentiated capital treatment
  • R0130Of which: senior exposures
  • R0140Securitisations: off-balance sheet items and derivatives
  • R0150Qualifying for differentiated capital treatment
  • R0160Of which: senior exposures
  • R0170Not qualifying for differentiated capital treatment
  • R0180Of which: senior exposures
  • R0190RE-SECURITISATIONS

Columns

  • C0020(-) Funded credit protection (Cva)
  • C0030(-) Unfunded credit protection adjusted values (G*)
  • C0160(-) Non refundable purchase price discount
  • C0170(-) Specific credit risk adjustments on underlying exposures

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:

v7671_s: [C13.01.01.01 (r0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180;0190, c0020;0030;0160;0170)] <= 0
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; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0190, c: 0020; 0030; 0160; 0170} <= 0

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.