The rule in plain words
Delta risk Kb and Vega risk Kb for interest rate risk must be greater than or equal to zero
In Credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA interest rate risk (CVA SA) (OF25.03.01.03): every value in 7 rows (listed below) in 6 columns (listed below) 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 OF25.03.01.03 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 interest rate risk (CVA SA) (OF25.03.01.03)
Rows
- R0010GBP
- R0020EUR
- R0030USD
- R0040AUD
- R0050CAD
- R0060SEK
- R0070JPY
Columns
- C0010Kb
- C0020Kb component 1
- C0030Kb component 2
- C0040Kb
- C0050Kb component 1
- C0060Kb 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: OF25.03.01.03, r: 0010; 0020; 0030; 0040; 0050; 0060; 0070, c: 0010; 0020; 0030; 0040; 0050; 0060} >= 0Other rules on Credit valuation adjustment: standardised approach - Bucket level capital requirements for SA-CVA interest rate risk (CVA SA) (OF25.03.01.03)
Every PRA banking rule on OF25.03.01.03
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.