Market risk: internal models (MKR IM): market Risk Total risk exposure amount shall be equal to 12.5 * Capital Requirements (C24.00.01.01, Bank of England check v0636_m)

The rule in plain words

This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark C24.00.01 as reported.

The cells it reads

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.

Other rules on Market risk: internal models (MKR IM) (C24.00.01.01)

Every PRA banking rule on C24.00.01.01

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.