Line4

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

Market risk: internal models (MKR IM): market risk positions shall be positive amounts or zero (C24.00.01.01, Bank of England check v3792_s)

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

Market risk positions shall be positive amounts or zero

In each of 12 columns (listed below) of Market risk: internal models (MKR IM) (C24.00.01.01): every value in "Total positions" (row 0010) 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 C24.00.01 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

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

Row

  • R0010Total positions

Columns

  • C007012 Weeks average measure
  • C0080Last measure
  • C0090FLOOR
  • C010012 Weeks average measure
  • C0110Last measure
  • C0120Own funds requirements
  • C0130Total risk exposure amount
  • C0140Number of overshootings during previous 250 working days
  • C0150VaR Multiplication Factor (mc)
  • C0160SVaR Multiplication Factor (ms)
  • C0170Assumed charge for ctp floor - weighted net long positions after cap
  • C0180Assumed charge for ctp floor - weighted net short positions after cap

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: C24.00.01.01, r: 0010} >= 0

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

scope({t: C24.00.01.01, c:0070;0080;0090;0100;0110;0120;0130;0140;0150;0160;0170;0180, f: banking, fv: banking_reporting})

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.