The rule in plain words
The capital requirements for delta risk are calculated as the simple sum of delta capital requirements calculated independently for all risk classes except for counterparty credit risk
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, "Total" in column "Vega risk" (row 0070, column 0020) must equal the sum of 5 rows (listed below) in column "Vega risk" (column 0020).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
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 OF25.03.01.01 as reported.
- 05This 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
- R0070Total
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: 0070, c: 0020} = sum({t: OF25.03.01.01, r: 0010; 0020; 0040; 0050; 0060, c: 0020})) else true()Other rules on Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
- SA-CVA total capital requirements must be reported if the firm uses this method (boe_b0405)Blocking
- Firms using the SA-CVA should be reporting SA-CVA numbers (boe_b0921)Blocking
- The capital requirements for delta risk are the sum of delta capital requirements calculated independently for all risk classes (boe_b0930)Blocking
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.