The rule in plain words
SFTs CVA Capital requirements are calculated as 8% * SFT RWAs
In each of "All exposures subject to CVA capital requirements" (row 0010), "of which, using the SA-CVA" (row 0020), "of which, using the full BA-CVA" (row 0030) and "of which, using the reduced BA-CVA" (row 0040) of Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03): "CVA RWAs of which: Securities Financing Transactions (SFTs) only" (column 0020) must equal "CVA capital requirements of which: SFTs only" (column 0040) divided by 0.08.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. 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
Columns
- C0020CVA RWAs of which: Securities Financing Transactions (SFTs) only
- C0040CVA capital requirements of which: SFTs only
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}.
{t: OF25.01.01.03, c: 0020} = {t: OF25.01.01.03, c: 0040} / 0.08Where it applies, in the Bank's words (its scope):
scope({t: OF25.01.01.03, r:0010;0020;0030;0040, 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)
- 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)
- SFTs Capital Requirements under the Full-BA-CVA method represent 8% of CVA RWAs and must be greater than or equal to zero (boe_b0201_3)
- BA-CVA Capital requirements for SFTs represent 8% of RWAs under SFTs, and must be positive values or zero (boe_b0201_4)
- CVA Capital Requirements must be populated. Only positive values or zero are allowed (boe_b0201_7)
- Total CVA RWAs for SFTs represent the sum of RWAs for SFTs calculated under each CVA approach (boe_b0200)Blocking
- Total CVA Capital requirements for SFTs represent the sum of SFTs capital requirements under each CVA modelling approach (boe_b0203)Blocking
- CVA Capital requirements represent 8% * CVA RWAs (boe_b0196)Blocking
- 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)
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.