The rule in plain words
Delta (C0120) shall not be reported for derivatives other than 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 warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
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 warning.
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 not(matches({t: IR.08.01.01.02, c: C0380, z: Z0001}, "^..((B.)|(C.))$")) then 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 not be reported for derivatives other than call options and put options (CIC ##B# AND ##C#) (IR_bv0560_02)
- Open derivatives: the format of a code or text (IR_bv0561_01)
- Open derivatives: the format of a code or text (IR_bv0561_02)
- Open derivatives: a conditional check (IR_bv0562_01)Blocking
- Open derivatives: a conditional check (IR_bv0562_02)Blocking
- The item "Buyer / Seller" in Open Derivatives should not be reported for forwards (CIC ##E#) (IR_bv0570_01)Blocking
- The item "Buyer / Seller" in Open Derivatives should not be reported for forwards (CIC ##E#) (IR_bv0570_02)Blocking
- The item "Trigger value" in Open Derivatives is not applicable to interest rate and currency Swaps (CIC '##D3') (IR_bv0571_01)Blocking
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.