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

Market risk: internal model approach 1A (MKR IMA1A): the expected shortfall measure for each risk factor (OF24.01.01.01, OF02.00.01.01, Bank of England check boe_b0427)

A blocking check on the market risk: internal model approach 1A (MKR IMA1A) (OF24.01.01.01) and own funds requirements (CA2) (OF02.00.01.01) templates, in the own funds (PRA001) return.

Line4 Check runs it on the own funds (PRA001) return, proven on test files, check by check: the same outcome on all three test files of that return.

Check your file for this ruleWhat to do if it fails

The rule in plain words

The expected shortfall measure for each risk factor

In Market risk: internal model approach 1A (MKR IMA1A) (OF24.01.01.01): every value in 27 rows (listed below) in 22 columns (listed below) must be zero or more.

What to do if your return fails it

  1. 01Open the tables 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 OF24.01.01 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

Own funds requirements (CA2) (OF02.00.01.01)

Row

  • R0584Capital Surcharge

Column

  • C0010All approaches

Market risk: internal model approach 1A (MKR IMA1A) (OF24.01.01.01)

Rows

  • R0010Total positions
  • R0020General interest rate risk (GIRR)
  • R0030with liquidity horizon ≥ 10 days
  • R0040with liquidity horizon ≥ 20 days
  • R0050with liquidity horizon ≥ 40 days
  • R0060with liquidity horizon ≥ 60 days
  • R0070Credit spread risk (CSR)
  • R0080with liquidity horizon ≥ 10 days
  • R0090with liquidity horizon ≥ 20 days
  • R0100with liquidity horizon ≥ 40 days
  • R0110with liquidity horizon ≥ 60 days
  • R0120with liquidity horizon ≥ 120 days
  • R0130Equity risk (EQU)
  • R0140with liquidity horizon ≥ 10 days
  • R0150with liquidity horizon ≥ 20 days
  • R0160with liquidity horizon ≥ 40 days
  • R0170with liquidity horizon ≥ 60 days
  • R0180Commodity risk(COM)
  • R0190with liquidity horizon ≥ 10 days
  • R0200with liquidity horizon ≥ 20 days
  • R0210with liquidity horizon ≥ 40 days
  • R0220with liquidity horizon ≥ 60 days
  • R0230with liquidity horizon ≥ 120 days
  • R0240Foreign exchange risk(FX)
  • R0250with liquidity horizon ≥ 10 days
  • R0260with liquidity horizon ≥ 20 days
  • R0270with liquidity horizon ≥ 40 days

Columns

  • C0010ES (F,C)
  • C0020ES (R,C)
  • C0030ES (R,S)
  • C0040Total
  • C0050ES (F,C)
  • C0060ES (R,C)
  • C0070ES (R,S)
  • C0080Total
  • C0090Total
  • C0100ES (F,C)
  • C0110ES (R,C)
  • C0120ES (R,S)
  • C0130Total
  • C0140ES (F,C)
  • C0150ES (R,C)
  • C0160ES (R,S)
  • C0170Total
  • C0180Total
  • C0210Capital surcharge (for yellow trading desks)
  • C0220Actual P&L
  • C0230Hypothetical P&L
  • C0240ES Multiplication Factor (mc)

Which returns it applies to

Line4 Check runs it on the own funds (PRA001) return on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to own funds (PRA001) returns, as a blocking check.

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: OF24.01.01.01, 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, c: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100; 0110; 0120; 0130; 0140; 0150; 0160; 0170; 0180; 0210; 0220; 0230; 0240} >= 0

Every PRA banking rule on OF24.01.01.01

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.