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

Market risk: internal models (MKR IM): a value must not be more than another (C24.00.01.01, Bank of England check v4859_m)

A warning 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 each of "Multiplication factor (mc) x average of previous 60 working days (VaRavg)" (column 0030), "Previous day (VaRt-1)" (column 0040), "Multiplication factor (ms) x average of previous 60 working days (SVaRavg)" (column 0050) and "Latest available (SVaRt-1)" (column 0060) of Market risk: internal models (MKR IM) (C24.00.01.01): "Total amount for general risk" (row 0100) must not be more than the sum of "TDI - General risk" (row 0030), "Equities - General risk" (row 0060), "Foreign Exchange risk" (row 0080) and "Commodities risk" (row 0090).

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. 02Compare the values in your return. If the first is bigger than it may be, one of them is wrong: check both before you change either.
  3. 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
  4. 04It runs only when your filing indicators mark C24.00.01 as reported.
  5. 05This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.

The cells it reads

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

Rows

  • R0030TDI - General risk
  • R0060Equities - General risk
  • R0080Foreign Exchange risk
  • R0090Commodities risk
  • R0100Total amount for general risk

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)

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 warning.

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:

[v4859_m];[scope({t: C24.00.01.01, c:0030;0040;0050;0060})];[{t: C24.00.01.01, r: 0100} <= {t: C24.00.01.01, r: 0030} + {t: C24.00.01.01, r: 0060} + {t: C24.00.01.01, r: 0080} + {t: C24.00.01.01, r: 0090}]
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: 0100} <= {t: C24.00.01.01, r: 0030} + {t: C24.00.01.01, r: 0060} + {t: C24.00.01.01, r: 0080} + {t: C24.00.01.01, r: 0090}

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

scope({t: C24.00.01.01, c:0030;0040;0050;0060, 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.