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

SA-CVA total capital requirements must be reported if the firm uses this method (OF25.03.01.01, OF25.01.01.01, OF25.01.01.03, Bank of England check boe_b0405)

A blocking check on the credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01), credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01) and credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03) 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

SA-CVA total capital requirements must be reported if the firm uses this method

In Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01): 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, every value in "Total" (row 0070) in "Delta risk" (column 0010), "Vega risk" (column 0020), "mCVA multiplier" (column 0030) and "Total Capital requirements" (column 0040) must be zero or more, and "Total" (row 0070) in "Delta risk" (column 0010), "Vega risk" (column 0020), "mCVA multiplier" (column 0030) and "Total Capital requirements" (column 0040) must be reported.

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. 03It runs only when your filing indicators mark OF25.01.01.01 and OF25.03.01.01 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

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: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03)

Row

  • R0020of which, using the SA-CVA

Column

  • C0030CVA capital requirements

Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)

Row

  • R0070Total

Columns

  • C0010Delta risk
  • C0020Vega risk
  • C0030mCVA multiplier
  • C0040Total Capital requirements

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}.

if {t: OF25.01.01.01, r: 0030, c: 0010} = true() then (({t: OF25.03.01.01, r: 0070, c: 0010; 0020; 0030; 0040} >= 0) and (not(isNull({t: OF25.03.01.01, r: 0070, c: 0010; 0020; 0030; 0040})))) else true()

Every PRA banking rule on OF25.03.01.01

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.