The rule in plain words
Firms using the SA-CVA should be reporting SA-CVA numbers
In Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01): every value in 7 rows (listed below) in "Delta risk" (column 0010), "Vega risk" (column 0020) and "mCVA multiplier" (column 0030) must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark 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: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
Rows
- R0010Interest rates
- R0020Foreign exchange
- R0030Counterparty credit spread
- R0040Reference credit spread
- R0050Equity
- R0060Commodity
- R0070Total
Columns
- C0010Delta risk
- C0020Vega risk
- C0030mCVA multiplier
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}.
{t: OF25.03.01.01, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070, c: 0010; 0020; 0030} >= 0Other rules on Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
- The capital requirements for delta risk are the sum of delta capital requirements calculated independently for all risk classes (boe_b0930)Blocking
- SA-CVA total capital requirements must be reported if the firm uses this method (boe_b0405)Blocking
- Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA): a conditional check (boe_b0199)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.