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It\u00f4-Volterra equations of the form NEWLINE\\[NEWLINE\\begin{aligned} x (t) &=\\int_0^t\\big( a_0(t,s)+a(t,s)x(s)\\big) ds +\\int_0^tb(t,s) dW^2(s),\\\\ y(t) &=\\int_0^t\\big(A_0(t,s)+A(t,s)x(s)\\big) ds +\\int_0^tB(t,s) dW^2(s),\\end{aligned}NEWLINE\\]NEWLINE driven by independent (multidimensional) Wiener processes \\(W^1\\) and \\(W^2\\). The author constructs the Kalman-Bucy filter for the nonobserved component \\(x\\) over the observed process \\(y\\), i.e., he derives an equation system satisfied by the expectation \\(m(t)=E(x(t)|F^Y_t)\\), the correlation function \\(P(t)=E\\{(x(t)-m(t))(x(t)-m(t))^T|F^Y_t\\}\\), and a certain additional function \\(f(t,s)\\) characterizing the deviation of \\(m(t)\\) from the true state \\(x(t)\\). Here \\(F^Y_t=\\sigma\\{y_s, s\\leq t\\}\\). 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