Line4

1 min readBlockingBank of England banking taxonomy 4.1.1Updated 11 November 2026

'Cash prime brokerage' amount for 'Gross market value (period average)' must be higher than or equal to zero (LV52.00.00.01, Bank of England check boe_b0076)

A blocking check on the (LR9) Treatment of internalised trades template (LV52.00.00.01), in the contingent leverage (LVR002) return.

Line4 Check runs it on the contingent leverage (LVR002) and own funds (PRA001) returns, proven on test files, check by check: the same outcome on all eleven test files of those returns.

Check your file for this ruleWhat to do if it fails

The rule in plain words

'Cash prime brokerage' amount for 'Gross market value (period average)' must be higher than or equal to zero

In each of "Cash prime brokerage" (row 0010), "of which activity for franchise clients" (row 0020), "of which level 1 HQLA" (row 0030) and "of which intra-group activity" (row 0040) of (LR9) Treatment of internalised trades (LV52.00.00.01): every value in "Gross market value (period average)" (column 0040) must be zero or more.

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02Look for a value below zero in these cells, such as an amount entered as a negative number.
  3. 03It runs only when your filing indicators mark LV52.00.00 as reported.
  4. 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.

The cells it reads

(LR9) Treatment of internalised trades (LV52.00.00.01)

Rows

  • R0010Cash prime brokerage
  • R0020of which activity for franchise clients
  • R0030of which level 1 HQLA
  • R0040of which intra-group activity

Column

  • C0040Gross market value (period average)

Which returns it applies to

Line4 Check runs it on the contingent leverage (LVR002) and own funds (PRA001) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds (PRA001) and contingent leverage (LVR002) returns. It is blocking for LVR002, and a warning for PRA001.

The Bank’s own words and formula

The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.

Show the formulaShow

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

{t: LV52.00.00.01, c: 0040}>=0

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

scope({t: LV52.00.00.01, r:0010;0020;0030;0040, f: banking, fv: leverage 2023-05-11})

The same code in the own funds (PRA001) return: another check

The Bank of England uses boe_b0076 for a different check in the own funds (PRA001) return. There it is a warning on credit valuation adjustment: basic approach - Decomposition of full BA-CVA capital requirements (CVA BA) (OF25.02.01.01), credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01) and credit valuation adjustment: basic approach - Decomposition of reduced BA-CVA capital requirements (CVA BA) (OF25.02.01.02).

Under the full BA-CVA approach, K-reduced is equal to the square root of the systematic and idiosyncratic components calculated under K-reduced

Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01)

Row

  • R0020"Full" BA-CVA

Column

  • C0010Methodologies used by the firm (Yes/No):

Credit valuation adjustment: basic approach - Decomposition of full BA-CVA capital requirements (CVA BA) (OF25.02.01.01)

Rows

  • R0010K-reduced
  • R0020Aggregation of systematic components
  • R0030Aggregation of idiosyncratic components

Columns

  • C0010Capital requirement
  • C0020Components

Credit valuation adjustment: basic approach - Decomposition of reduced BA-CVA capital requirements (CVA BA) (OF25.02.01.02)

Rows

  • R0010K-reduced
  • R0020Aggregation of systematic components
  • R0030Aggregation of idiosyncratic components

Columns

  • C0010Capital requirement
  • C0020Components

The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.

Show the formulaShow

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

if (({t: OF25.01.01.01, r: 0020, c: 0010} = true()) and ({t: OF25.02.01.01, r: 0020, c: 0020} + {t: OF25.02.01.01, r: 0030, c: 0020} >= 0)) then {t: OF25.02.01.01, r: 0010, c: 0010} = exp(({t: OF25.02.01.01, r: 0020, c: 0020} + {t: OF25.02.01.01, r: 0030, c: 0020}), 1, 2) else true()

Every PRA banking rule on LV52.00.00.01

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.