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1 min readWarningBank of England taxonomy 2.2.0Updated 11 November 2026

Open derivatives: delta (C0120) shall not be reported for derivatives other than call options and put options (CIC ##B# AND ##C#) (IR.08.01, Bank of England rule IR_bv0560_02)

A warning on the open derivatives template (IR.08.01), in the quarterly group (QRG) and annual group (ARG) returns.

Check your file for this ruleWhat to do if it fails

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

  1. 01Open the tables below and find the cells the rule reads.
  2. 02Compare the code or text in your return with the format the rule sets out, character by character, including any prefix and any spaces.
  3. 03It runs only when your filing indicators mark IR.08.01 as reported.
  4. 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.08.01.04.01)

Column

  • C0120Delta

Open derivatives - information on derivatives (IR.08.01.04.02)

Column

  • C0380CIC

Which returns it applies to

Line4 Check runs it on quarterly group (QRG) and annual group (ARG) returns on Bank of England taxonomy 2.2.0. The Bank of England applies it to quarterly group (QRG) and annual group (ARG) 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 formulaShow

The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.

if not(matches({t: IR.08.01.04.02, c: C0380, z: Z0001}, "^..((B.)|(C.))$")) then isNull({t: IR.08.01.04.01, c: C0120, z: Z0001}) else true()

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.