The rule in plain words
Firms using SA-CVA must either enter 0 or a positive number
In Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01): if "SA-CVA" in column "Methodologies used by the firm (Yes/No)" (row 0030, column 0010) is true, every value in 5 rows (listed below) in column "Vega risk" (column 0020) in Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01) must be zero or more.
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.
- 03It runs only when your filing indicators mark OF25.01.01.01 and OF25.03.01.01 as reported.
- 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: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
Rows
- R0010Interest rates
- R0020Foreign exchange
- R0040Reference credit spread
- R0050Equity
- R0060Commodity
Column
- C0020Vega risk
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}.
if {t: OF25.01.01.01, r: 0030, c: 0010} = true() then ({t: OF25.03.01.01, r: 0010; 0020; 0040; 0050; 0060, c: 0020} >= 0) else true()Other rules on Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01)
- Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA): reduced BA-CVA capital requirements should be disclosed here (boe_b0194)Blocking
- Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA): full BA-CVA capital requirements should be disclosed here (boe_b0193)Blocking
- Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA): a conditional check (boe_b0261)Blocking
- Total capital requirements must be the sum of capital requirements across all methodologies (boe_b0266)Blocking
- Total capital requirements must be the sum of capital requirements across all methodologies (boe_b0267)Blocking
- Total capital requirements must be the sum of capital requirements across all methodologies (boe_b0268)Blocking
- SA-CVA capital requirements must be equal to the sum of capital requirements for delta risk and capital requirements for vega risk (boe_b0271)Blocking
- Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA): the total full BA-CVA requirement must be reported (boe_b0324)Blocking
Every PRA banking rule on OF25.01.01.01
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.