The rule in plain words
SFTs Capital Requirements under the Full-BA-CVA method represent 8% of 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 "'Full' BA-CVA" in column "Methodologies used by the firm (Yes/No)" (row 0020, column 0010) in Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01) is true, "of which, using the full BA-CVA" in column "CVA RWAs of which: Securities Financing Transactions (SFTs) only" (row 0030, column 0020) must equal "of which, using the full BA-CVA" in column "CVA capital requirements of which: SFTs only" (row 0030, column 0040) divided by 0.08, and "of which, using the full BA-CVA" in column "CVA RWAs of which: Securities Financing Transactions (SFTs) only" (row 0030, column 0020) 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
- R0020"Full" BA-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
- R0030of which, using the full 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}.
if {t: OF25.01.01.01, r: 0020, c: 0010} = true() then ({t: OF25.01.01.03, r: 0030, c: 0020} = {t: OF25.01.01.03, r: 0030, c: 0040} / 0.08) and {t: OF25.01.01.03, r: 0030, c: 0020} >= 0 else true()Other rules on Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03)
- 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)
- 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.