The rule in plain words
Legacy exempt ratio must be reported if transitional arrangements under rule 7.1(2) have been chosen
In row "Transitional described under rule 7.1(2)" (0020) of Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA) (OF25.01.01.04): if "Transitional arrangement chosen (Yes / No)" (column 0010) is true, "Legacy exempt ratio at the start of the transitional" (column 0020) must be reported.
What to do if your return fails it
- 01Open the table 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 OF25.01.01.04 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: CVA exposures by approach - Capital requirements during the transitional period (CVA) (OF25.01.01.04)
Row
- R0020Transitional described under rule 7.1(2)
Columns
- C0010Transitional arrangement chosen (Yes / No)
- C0020Legacy exempt ratio at the start of the transitional
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}.
if ({t: OF25.01.01.04, r: 0020, c: 0010} = true()) then (not(isNull({t: OF25.01.01.04, r: 0020, c: 0020}))) else true()Other rules on Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA) (OF25.01.01.04)
- Please indicate whether transitional arrangements have been adopted (boe_b0939)Blocking
- Legacy exempt ratio must not be reported if transitional arrangements under rule 7.1(1) have been chosen (boe_b0941)Blocking
- The Legacy exempt ratio at the start of the transitional period under rule 7.1(2) must not be a negative value (boe_b0942)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0943)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0944)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0945)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0946)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0947)Blocking
Every PRA banking rule on OF25.01.01.04
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.