The rule in plain words
Capital Requirements subject to SA-CVA approach represent 8% of SA-CVA RWAs and must be greater than or equal to zero
In Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03): 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, "of which, using the SA-CVA" in column "CVA RWAs" (row 0020, column 0010) must equal "of which, using the SA-CVA" in column "CVA capital requirements" (row 0020, column 0030) divided by 0.08, and "of which, using the SA-CVA" in column "CVA capital requirements" (row 0020, column 0030) must not be negative.
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 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.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF25.01.01.01 and OF25.01.01.03 as reported.
- 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: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03)
Row
- R0020of which, using the SA-CVA
Columns
- C0010CVA RWAs
- C0030CVA capital requirements
Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
Row
- R0070Total
Column
- 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 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 formulaShowHide
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: OF25.01.01.03, r: 0020, c: 0010} = {t: OF25.01.01.03, r: 0020, c: 0030} / 0.08) and {t: OF25.01.01.03, r: 0020, c: 0030} >= 0 else true()Other rules on Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03)
- CVA Capital requirements represent 8% * CVA RWAs (boe_b0196)Blocking
- 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.