The rule in plain words
Items "Counterparty group" (where applicable for OTC derivatives), "Portfolio", "Derivatives held in index linked and unit linked contracts", "Use of derivative", "Notional amount of the derivative", "Initial date", "Solvency II value", "Valuation method", "Counterparty Name", "Contract name", "Currency", "Unwind trigger of contract" and "Maturity date" in Open Derivatives (IR.08.01) should be reported
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 tables 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.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)
Columns
- C0060Portfolio
- C0080Derivatives held in index-linked and unit-linked contracts
- C0110Use of derivative
- C0130Notional amount of the derivative
- C0220Initial date
- C0240Solvency II value
- C0250Valuation method
Open derivatives - information on derivatives (IR.08.01.01.02)
Columns
- C0260Counterparty Name
- C0330Counterparty Group
- C0360Contract name
- C0370Currency
- C0380CIC
- C0400Unwind trigger of contract
- C0430Maturity date
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
In the Bank of England’s list of validations, word for word:
Items "Counterparty group" (where applicable for OTC derivatives), "Portfolio", "Derivatives held in index linked and unit linked contracts", "Use of derivative", "Notional amount of the derivative", "Initial date", "Solvency II value", "Valuation method", "Counterparty Name", "Contract name", "Currency", "Unwind trigger of contract" and "Maturity date" in IR.08.01 - Open Derivatives should be reported.
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}, "^((XL)|(XT))..$") then not(isNull({t: IR.08.01.01.01, c: C0060, z: Z0001})) and not(isNull({t: IR.08.01.01.01, c: C0080, z: Z0001})) and not(isNull({t: IR.08.01.01.01, c: C0110, z: Z0001})) and not(isNull({t: IR.08.01.01.01, c: C0130, z: Z0001})) and not(isNull({t: IR.08.01.01.01, c: C0220, z: Z0001})) and not(isNull({t: IR.08.01.01.01, c: C0240, z: Z0001})) and not(isNull({t: IR.08.01.01.01, c: C0250, z: Z0001})) and not(isNull({t: IR.08.01.01.02, c: C0260, z: Z0001})) and not(isNull({t: IR.08.01.01.02, c: C0360, z: Z0001})) and not(isNull({t: IR.08.01.01.02, c: C0330, z: Z0001})) and not(isNull({t: IR.08.01.01.02, c: C0370, z: Z0001})) and not(isNull({t: IR.08.01.01.02, c: C0400, z: Z0001})) and not(isNull({t: IR.08.01.01.02, c: C0430, z: Z0001})) else true()Other rules on Open derivatives (IR.08.01)
- Open derivatives: a conditional check (IR_bv1766)
- Open derivatives: the format of a code or text (IR_bv1765)
- Open derivatives: the format of a code or text (IR_bv1732)
- There is at least one derivative reported in Table 1 of IR.08.01 that is not reported in Table 2 of IR.08.01 (IR_bv1729_01)Blocking
- There is at least one derivative reported in Table 1 of IR.08.01 that is not reported in Table 2 of IR.08.01 (IR_bv1729_02)Blocking
- The item "CIC" in Open Derivatives is not valid (IR_bv1722)
- Open derivatives: the format of a code or text (IR_bv1712)Blocking
- Open derivatives and securities lending and repos: the format of a code or text (IR_bv1711)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.