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

(LR9) Treatment of internalised trades: a value must not be negative (LV52.00.00.01, Bank of England check boe_b0078)

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', 'Synthetic prime brokerage' & 'Written credit derivatives' amounts for 'Internalised (period average)' must be higher than or equal to zero

In each of 11 rows (listed below) of (LR9) Treatment of internalised trades (LV52.00.00.01): every value in "Internalised (period average)" (column 0050) must be zero or more.

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 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
  • R0050Synthetic prime brokerage
  • R0060of which activity for franchise clients
  • R0070of which level 1 HQLA
  • R0080of which intra-group activity
  • R0090Written credit derivatives
  • R0100of which activity for franchise clients
  • R0110of which intra-group activity

Column

  • C0050Internalised (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: 0050}>=0

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

scope({t: LV52.00.00.01, r:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100;0110, f: banking, fv: leverage 2023-05-11})

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

The Bank of England uses boe_b0078 for a different check in the own funds (PRA001) return. There it is a warning on credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA interest rate risk (CVA SA) (OF25.03.01.03).

Delta risk Kb for SA-CVA interest rate risk is equal to the square root of the sum of delta risk Kb component 1 and delta risk Kb component 2

Credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA interest rate risk (CVA SA) (OF25.03.01.03)

Rows

  • R0010GBP
  • R0020EUR
  • R0030USD
  • R0040AUD
  • R0050CAD
  • R0060SEK
  • R0070JPY

Columns

  • C0010Kb
  • C0020Kb component 1
  • C0030Kb component 2

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: OF25.03.01.03, c: 0020} + {t: OF25.03.01.03, c: 0030} >= 0) then {t: OF25.03.01.03, c: 0010} = exp(({t: OF25.03.01.03, c: 0020} + {t: OF25.03.01.03, c: 0030}), 1, 2) else true()

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

scope({t: OF25.03.01.03, r:0010;0020;0030;0040;0050;0060;0070, f: banking, fv: banking_reporting})

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.