The rule in plain words
Under the transitional arrangements of rule 7.1(1), exposures subject to SA-CVA Capital requirements must be consistent with Total SA-CVA Capital Requirements across templates
In Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA) (OF25.01.01.04): if "Transitional described under rule 7.1(1), or partial reintegration of legacy trades, or full reintegration of legacy trades" in column "Transitional arrangement chosen (Yes / No)" (row 0010, 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 equal "Total" in column "Total Capital requirements" (row 0070, column 0040) in Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01).
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
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.
- 03The Bank of England allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark OF25.01.01.03, OF25.01.01.04 and OF25.03.01.01 as reported.
- 05This 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 and exposure values (CVA) (OF25.01.01.03)
Row
- R0020of which, using the SA-CVA
Column
- C0030CVA capital requirements
Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA) (OF25.01.01.04)
Row
- R0010Transitional described under rule 7.1(1), or partial reintegration of legacy trades, or full reintegration of legacy trades
Column
- C0010Transitional arrangement chosen (Yes / No)
Credit valuation adjustment: standardised approach - Decomposition of SA-CVA capital requirements (CVA SA) (OF25.03.01.01)
Row
- R0070Total
Column
- 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 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: 0010, c: 0010} = true()) then ({t: OF25.01.01.03, r: 0020, c: 0030} = {t: OF25.03.01.01, r: 0070, c: 0040}) else true()Other rules on Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA) (OF25.01.01.04)
- 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_b0944)Blocking
- Legacy exempt ratio must not be reported if transitional arrangements under rule 7.1(1) have been chosen (boe_b0941)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0945)Blocking
- Legacy exempt ratio must be reported if transitional arrangements under rule 7.1(2) have been chosen (boe_b0940)Blocking
- Credit valuation adjustment: CVA exposures by approach - Capital requirements during the transitional period (CVA): a conditional check (boe_b0946)Blocking
- Please indicate whether transitional arrangements have been adopted (boe_b0939)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.