The rule in plain words
If firms are using the SA-CVA, then they must report the associated CVA capital requirements
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, "of which, using the SA-CVA" in column "CVA capital requirements" (row 0020, column 0030) in Credit valuation adjustment: CVA exposures by approach - Capital requirements and exposure values (CVA) (OF25.01.01.03) must be reported, and "Total" (row 0070) in "Delta risk" (column 0010), "Vega risk" (column 0020), "mCVA multiplier" (column 0030) and "Total Capital requirements" (column 0040) in Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01) must be reported.
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, OF25.01.01.03 and OF25.03.01.01 as reported.
- 04This 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
Column
- C0030CVA capital requirements
Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
Row
- R0070Total
Columns
- C0010Delta risk
- C0020Vega risk
- C0030mCVA multiplier
- 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 (not(isNull({t: OF25.01.01.03, r: 0020, c: 0030})) and not(isNull({t: OF25.03.01.01, r: 0070, c: 0010; 0020; 0030; 0040}))) else true()Other rules on Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA) (OF25.01.01.01)
- Under the alternative approach, total CVA RWAs must be equal to total CCR (counterparty credit risk) RWAs (boe_b0452)Blocking
- If the full-BA-CVA methodology is used, full BA-CVA Capital Requirements must be reported (boe_b0403)Blocking
- If the Reduced BA-CVA methodology is used, the corresponding reduced-BA CVA Capital requirements must be reported (boe_b0402)Blocking
- Firms using the alternative approach must have a derivatives business size smaller than £88bn (boe_b0401)Blocking
- A firm cannot simultaneously use the reduced BA-CVA and the full BA-CVA (boe_b0400)Blocking
- Firms that use the alternative approach cannot use the BA-CVA or the SA-CVA approach (boe_b0399)Blocking
- Credit valuation adjustment: CVA exposures by approach - Authorisations (CVA): the total full BA-CVA requirement must be reported (boe_b0324)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
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.