The rule in plain words
CVA Capital requirements represent 8% * CVA RWAs
In each of 5 rows (listed below) of Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03): "CVA RWAs" (column 0010) must equal "CVA capital requirements" (column 0030) divided by 0.08.
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark OF25.01.01.03 as reported.
The cells it reads
Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03)
Rows
- R0010All exposures subject to CVA capital requirements
- R0020of which, using the SA-CVA
- R0030of which, using the full BA-CVA
- R0040of which, using the reduced BA-CVA
- R0050of which, using the alternative approach
Columns
- C0010CVA RWAs
- C0030CVA 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 formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: OF25.01.01.03, c: 0010} = {t: OF25.01.01.03, c: 0030} / 0.08Where it applies, in the Bank's words (its scope):
scope({t: OF25.01.01.03, r:0010;0020;0030;0040;0050, f: banking, fv: banking_reporting})Other rules on Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03)
- Capital Requirements subject to SA-CVA approach represent 8% of SA-CVA RWAs and must be greater than or equal to zero (boe_b0196_2)
- Full-BA CVA Capital Requirements represent 8% of RWAs and must be positive values or zero (boe_b0196_3)
- BA CVA Capital Requirements represent 8% of BA-CVA RWAs and must be greater than or equal to zero (boe_b0196_4)
- CVA Capital Requirements under the CVA Alternative Approach represent 8% of CVA RWAs and must be greater than or equal to zero (boe_b0196_5)
- Total CVA RWAs must be equal to the sum of RWAs across different CVA methodologies (boe_b0192)Blocking
- Total CVA RWAs for SFTs represent the sum of RWAs for SFTs calculated under each CVA approach (boe_b0200)Blocking
- SFTs CVA Capital requirements are calculated as 8% * SFT RWAs (boe_b0201)
- SFTs Capital requirements under the SA-CVA approach represent 8% of SA-CVA RWAs subject to SFTs and must be greater than or equal to zero (boe_b0201_2)
Every PRA banking rule on OF25.01.01.03
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.