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

Market risk: internal models (MKR IM): a total must equal the sum of its parts (C24.00.01.01, Bank of England check v0637_m)

A blocking check on the market risk: internal models (MKR IM) template (C24.00.01.01), 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

In row "Total positions" (0010) of Market risk: internal models (MKR IM) (C24.00.01.01): "Own funds requirements" (column 0120) must equal the larger of "Multiplication factor (mc) x average of previous 60 working days (VaRavg)" (column 0030) and "Previous day (VaRt-1)" (column 0040) plus the larger of "Multiplication factor (ms) x average of previous 60 working days (SVaRavg)" (column 0050) and "Latest available (SVaRt-1)" (column 0060) plus the larger of "12 Weeks average measure" (column 0070) and "Last measure" (column 0080) plus the largest of "FLOOR" (column 0090), "12 Weeks average measure" (column 0100) and "Last measure" (column 0110).

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. 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  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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 C24.00.01 as reported.
  6. 06This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.

The cells it reads

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

Row

  • R0010Total positions

Columns

  • C0030Multiplication factor (mc) x average of previous 60 working days (VaRavg)
  • C0040Previous day (VaRt-1)
  • C0050Multiplication factor (ms) x average of previous 60 working days (SVaRavg)
  • C0060Latest available (SVaRt-1)
  • C007012 Weeks average measure
  • C0080Last measure
  • C0090FLOOR
  • C010012 Weeks average measure
  • C0110Last measure
  • C0120Own funds requirements

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 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:

[v0637_m];[{t: C24.00.01.01, r: 0010, c: 0120} = max({t: C24.00.01.01, r: 0010, c: 0030}, {t: C24.00.01.01, r: 0010, c: 0040}) + max({t: C24.00.01.01, r: 0010, c: 0050}, {t: C24.00.01.01, r: 0010, c: 0060}) + max({t: C24.00.01.01, r: 0010, c: 0070}, {t: C24.00.01.01, r: 0010, c: 0080}) + max({t: C24.00.01.01, r: 0010, c: 0090}, {t: C24.00.01.01, r: 0010, c: 0100}, {t: C24.00.01.01, r: 0010, c: 0110})]
Show the formulaShow

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

{t: C24.00.01.01, r: 0010, c: 0120} = max({t: C24.00.01.01, r: 0010, c: 0030}, {t: C24.00.01.01, r: 0010, c: 0040}) + max({t: C24.00.01.01, r: 0010, c: 0050}, {t: C24.00.01.01, r: 0010, c: 0060}) + max({t: C24.00.01.01, r: 0010, c: 0070}, {t: C24.00.01.01, r: 0010, c: 0080}) + max({t: C24.00.01.01, r: 0010, c: 0090}, {t: C24.00.01.01, r: 0010, c: 0100}, {t: C24.00.01.01, r: 0010, c: 0110})

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.