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

K-full is equal to the weighted sum of 25% times K-reduced and 75% K-hedged (OF25.02.01.01, OF25.01.01.01, OF25.02.01.02, Bank of England check boe_b0272)

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

K-full is equal to the weighted sum of 25% times K-reduced and 75% K-hedged

In Credit valuation adjustment: basic approach - Decomposition of full BA-CVA capital requirements (CVA BA) (OF25.02.01.01): if "SA-CVA" in column "Methodologies used by the firm (Yes/No)" (row 0030, column 0010) in Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01) is true, "K-full" in column "Capital requirement" (row 0080, column 0010) must equal 0.25 multiplied by "K-reduced" in column "Capital requirement" (row 0010, column 0010) plus 0.75 multiplied by "K-hedged" in column "Capital requirement" (row 0040, column 0010).

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 OF25.02.01.01 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

Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01)

Row

  • R0030SA-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
  • R0040K-hedged
  • R0080K-full

Column

  • C0010Capital requirement

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

Row

  • R0010K-reduced

Column

  • C0010Capital requirement

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: 0030, c: 0010} = true() then {t: OF25.02.01.01, r: 0080, c: 0010} = 0.25 * {t: OF25.02.01.01, r: 0010, c: 0010} + 0.75 * {t: OF25.02.01.01, r: 0040, c: 0010} else true()

Every PRA banking rule on OF25.02.01.01

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.