Line4

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

Kb for counterparty credit spread delta risk is calculated as the square root of the sum of Kb component 1 and Kb component 2 (OF25.03.01.02, Bank of England check boe_b0195)

A warning on the credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA counterparty credit spread delta risk (CVA SA) template (OF25.03.01.02), 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

Kb for counterparty credit spread delta risk is calculated as the square root of the sum of Kb component 1 and Kb component 2

What to do if your return fails it

  1. 01Open the table below and find the cells the rule reads.
  2. 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
  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 OF25.03.01.02 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

Credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA counterparty credit spread delta risk (CVA SA) (OF25.03.01.02)

Rows

  • R0010Sovereigns, including central banks and multilateral development banks
  • R0020Local government, government-backed non-financials, education and public administration
  • R0030Financials including government-backed financials
  • R0040Pension funds
  • R0050Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
  • R0060Consumer goods and services, transportation and storage, administrative and support service activities
  • R0070Technology, telecommunications
  • R0080Health care, utilities, professional and technical activities
  • R0090Other sector
  • R0100Qualified Indices

Columns

  • C0010Kb
  • C0020Kb component 1
  • C0030Kb component 2

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 are the Bank of England’s own, word for word, from its list of validations.

Show the formulaShow

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

if ({t: OF25.03.01.02, c: 0020} + {t: OF25.03.01.02, c: 0030} >= 0) then {t: OF25.03.01.02, c: 0010} = exp(({t: OF25.03.01.02, c: 0020} + {t: OF25.03.01.02, c: 0030}), 1, 2) else true()

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

scope({t: OF25.03.01.02, r:0010;0020;0030;0040;0050;0060;0070;0080;0090;0100, f: banking, fv: banking_reporting})

Every PRA banking rule on OF25.03.01.02

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.