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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 v7748_h)

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 43 rows (listed below) of Credit risk: securitisations (CR SEC) (C13.01.01.01): "Exposure net of value adjustments and provisions" (column 0070) must equal the sum of "Original exposure pre conversion factors" (column 0050) and "(-) Value adjustments and provisions" (column 0060).

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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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

  • 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
  • R0200Investor: total exposures
  • R0210Securitisations: on-balance sheet items
  • R0220Qualifying for differentiated capital treatment
  • R0230Of which: senior exposures
  • R0240Not qualifying for differentiated capital treatment
  • R0250Of which: senior exposures
  • R0260Securitisations: off-balance sheet items and derivatives
  • R0270Qualifying for differentiated capital treatment
  • R0280Of which: senior exposures
  • R0290Not qualifying for differentiated capital treatment
  • R0300Of which: senior exposures
  • R0310RE-SECURITISATIONS
  • R0320Sponsor: total exposures
  • R0330Securitisations: on-balance sheet items
  • R0340Qualifying for differentiated capital treatment
  • R0350Of which: senior exposures
  • R0360Not qualifying for differentiated capital treatment
  • R0370Of which: senior exposures
  • R0380Securitisations: off-balance sheet items and derivatives
  • R0390Qualifying for differentiated capital treatment
  • R0400Of which: senior exposures

And 3 more.

Columns

  • C0050Original exposure pre conversion factors
  • C0060(-) Value adjustments and provisions
  • C0070Exposure net of value adjustments and provisions

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
  • R0200Investor: total exposures
  • R0280Of which: senior exposures
  • R0290Not qualifying for differentiated capital treatment
  • R0300Of which: senior exposures
  • R0310RE-SECURITISATIONS
  • R0320Sponsor: total exposures
  • R0330Securitisations: on-balance sheet items
  • R0340Qualifying for differentiated capital treatment
  • R0350Of which: senior exposures
  • R0360Not qualifying for differentiated capital treatment
  • R0370Of which: senior exposures
  • R0380Securitisations: off-balance sheet items and derivatives
  • R0390Qualifying for differentiated capital treatment
  • R0400Of which: senior exposures
  • R0410Not qualifying for differentiated capital treatment
  • R0420Of which: senior exposures
  • R0430RE-SECURITISATIONS

Columns

  • C0050Original exposure pre conversion factors
  • C0060(-) Value adjustments and provisions
  • C0070Exposure net of value adjustments and provisions

A worked example

With simple numbers.

Illustrative values
Original exposure pre conversion factors1,200
(-) Value adjustments and provisions800
Together2,000
What the rule then expects

Exposure net of value adjustments and provisions 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:

v7748_h: [C13.01.01.01 (r0010;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)] {c0070} = +{c0050} + {c0060}
Show the formulaShow

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

{t: C13.01.01.01, c: 0070} = {t: C13.01.01.01, c: 0050} + {t: C13.01.01.01, c: 0060}

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

scope({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;0200;0210;0220;0230;0240;0250;0260;0270;0280;0290;0300;0310;0320;0330;0340;0350;0360;0370;0380;0390;0400;0410;0420;0430, 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.