The rule in plain words
Counterparty credit spread delta risk Kb must be greater than or equal to zero
In Credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA counterparty credit spread delta risk (CVA SA) (OF25.03.01.02): every value in 10 rows (listed below) in "Kb" (column 0010), "Kb component 1" (column 0020) and "Kb component 2" (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 OF25.03.01.02 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 - Bucket level capital requirements for SA-CVA counterparty credit spread delta risk (CVA SA) (OF25.03.01.02)
Rows
- R0010Sovereigns, including central banks and multilateral development banks
- R0020Local government, government-backed non-financials, education and public administration
- R0030Financials including government-backed financials
- R0040Pension funds
- R0050Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
- R0060Consumer goods and services, transportation and storage, administrative and support service activities
- R0070Technology, telecommunications
- R0080Health care, utilities, professional and technical activities
- R0090Other sector
- R0100Qualified Indices
Columns
- C0010Kb
- C0020Kb component 1
- C0030Kb component 2
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: OF25.03.01.02, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070; 0080; 0090; 0100, c: 0010; 0020; 0030} >= 0Other rules on Credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA counterparty credit spread delta risk (CVA SA) (OF25.03.01.02)
Every PRA banking rule on OF25.03.01.02
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.