The rule in plain words
In case no ECAI has been nominated and a simplification is being used to calculate the SCR, the item "Credit quality step" should be reported as Credit quality step 2 or 3 due to article 176a for unrated bonds and loans or Credit quality step 3 due to simplified calculation under article 105a of Delegated Regulation 2015/35
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 table 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.
- 03It runs only when your filing indicators mark IR.06.02 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
List of assets - information on assets (IR.06.02.04.02)
Columns
- C0330Nominated ECAI
- C0340Credit quality step
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 formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
if ({t: IR.06.02.04.02, c: C0330, z: Z0001} = $[s2c_SE:x187]) then {t: IR.06.02.04.02, c: C0340, z: Z0001} = $[s2c_BR:x30] or {t: IR.06.02.04.02, c: C0340, z: Z0001} = $[s2c_BR:x31] or {t: IR.06.02.04.02, c: C0340, z: Z0001} = $[s2c_BR:x32] else true()Other rules on List of assets (IR.06.02)
- List of assets: a conditional check (IR_bv0869_01)
- The "External rating" should not be provided whether no ECAI has been nominated and a simplification is being used to calculate the SCR (IR_bv0870_01)
- The "External rating" should not be provided whether no ECAI has been nominated and a simplification is being used to calculate the SCR (IR_bv0870_02)
- There should be no nominated ECAI appointed in case "no rating available" was reported for "Credit quality step" (IR_bv0872_01)Blocking
- There should be no nominated ECAI appointed in case "no rating available" was reported for "Credit quality step" (IR_bv0872_02)Blocking
- List of assets and collective investment undertakings - look-through approach: a conditional check (IR_bv0902_01)Blocking
- List of assets and collective investment undertakings - look-through approach: a conditional check (IR_bv0902_03)Blocking
- List of assets and collective investment undertakings - look-through approach: the format of a code or text (IR_bv0903_01)Blocking
Every Solvency UK rule on IR.06.02
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.