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

Under the full BA-CVA approach, the capital requirements are equal to 0.65 times K-full (OF25.02.01.02, OF25.01.01.01, OF25.02.01.01, Bank of England check boe_b0205)

A warning on the credit valuation adjustment: basic approach - Decomposition of reduced BA-CVA capital requirements (CVA BA) (OF25.02.01.02), credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01) and credit valuation adjustment: basic approach - Decomposition of full BA-CVA capital requirements (CVA BA) (OF25.02.01.01) templates, 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

Under the full BA-CVA approach, the capital requirements are equal to 0.65 times K-full

In Credit valuation adjustment: basic approach - Decomposition of reduced BA-CVA capital requirements (CVA BA) (OF25.02.01.02): if "'Full' BA-CVA" in column "Methodologies used by the firm (Yes/No)" (row 0020, column 0010) in Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01) is true, "K-reduced" in column "Capital requirement" (row 0010, column 0010) must equal the sum of "Aggregation of systematic components" (row 0020) and "Aggregation of idiosyncratic components" (row 0030) in column "Components" (column 0020).

What to do if your return fails it

  1. 01Open the tables 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 OF25.01.01.01 and OF25.02.01.02 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: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01)

Row

  • R0020"Full" BA-CVA

Column

  • C0010Methodologies used by the firm (Yes/No):

Credit valuation adjustment: basic approach - Decomposition of full BA-CVA capital requirements (CVA BA) (OF25.02.01.01)

Rows

  • R0010K-reduced
  • R0020Aggregation of systematic components
  • R0030Aggregation of idiosyncratic components

Columns

  • C0010Capital requirement
  • C0020Components

Credit valuation adjustment: basic approach - Decomposition of reduced BA-CVA capital requirements (CVA BA) (OF25.02.01.02)

Rows

  • R0010K-reduced
  • R0020Aggregation of systematic components
  • R0030Aggregation of idiosyncratic components

Columns

  • C0010Capital requirement
  • C0020Components

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 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}.

if {t: OF25.01.01.01, r: 0020, c: 0010} = true() then {t: OF25.02.01.02, r: 0010, c: 0010} = sum({t: OF25.02.01.02, r: 0020; 0030, c: 0020}) else true()

Every PRA banking rule on OF25.02.01.02

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.