The rule in plain words
Delta (C0120) shall be reported for call options and put options (CIC ##B# AND ##C#)
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02Compare the code or text in your return with the format the rule sets out, character by character, including any prefix and any spaces.
- 03It runs only when your filing indicators mark IR.08.01 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
Open derivatives - information on positions held (IR.08.01.01.01)
Column
- C0120Delta
Open derivatives - information on derivatives (IR.08.01.01.02)
Column
- C0380CIC
Which returns it applies to
Line4 Check runs it on quarterly solo (QRS) and annual solo (ARS) returns on Bank of England taxonomy 2.2.0. The Bank of England applies it to quarterly solo (QRS) and annual solo (ARS) returns, as a blocking check.
The Bank’s own words and formula
The plain words above are the Bank of England’s own, word for word, from its list of validations.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
if matches({t: IR.08.01.01.02, c: C0380, z: Z0001}, "^..((B)|(C)).$") then not(isNull({t: IR.08.01.01.01, c: C0120, z: Z0001})) else true()Other rules on Open derivatives (IR.08.01)
- Open derivatives: delta (C0120) shall be reported for call options and put options (CIC ##B# AND ##C#) (IR_bv0533_02)Blocking
- The item "Maximum loss under unwinding event" in Open Derivatives should be reported for credit derivatives (CIC ##F#) (IR_bv0535_01)Blocking
- The item "Maximum loss under unwinding event" in Open Derivatives should be reported for credit derivatives (CIC ##F#) (IR_bv0535_02)Blocking
- Item "Swap inflow amount" should be positive or equal to zero (IR_bv0523_01)
- Item "Swap inflow amount" should be positive or equal to zero (IR_bv0523_02)
- The item "Buyer / Seller" in Open Derivatives should be reported for derivatives other than forwards (CIC ##E#) (IR_bv0543_01)Blocking
- The item "Buyer / Seller" in Open Derivatives should be reported for derivatives other than forwards (CIC ##E#) (IR_bv0543_02)Blocking
- Item "Swap outflow amount" should be positive or equal to zero (IR_bv0522_01)
Every Solvency UK rule on IR.08.01
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.