Guidance Note: Validation and verification of the '3.3 OTC - Interest Rates' Sheet (Revised February 2019)

Summary

This is a technical guidance note from the JFSC explaining the automated validation and verification checks applied to the '3.3 OTC - Interest Rates' sheet within the standardised approach to credit risk prudential reporting template used by JIBs (Jersey International Banks). It sets out the input restrictions, mandatory blank cells, and calculation formulas that the JFSC's system checks when a completed template is submitted.

• Data input validation: Cells for Amount, Positive Mark-to-Market, and Amount After CRM must contain whole numbers between -1,000,000,000 and +1,000,000,000 (representing amounts in units of £1,000); certain Risk Weighted Amount cells must be left blank.
• Calculation checks: Specifies the exact Excel formulas used to derive summary totals, Add-on Amounts, Credit Equivalent Amounts, and Risk Weighted Amounts based on prescribed risk weightings and add-on percentages for each maturity/instrument category (N.1.1 to N.1.15).
• Submission process: On submission, the JFSC's system runs these checks automatically; if all checks pass the submission is accepted and any warnings are communicated to the JIB, while failed checks generate an error message referencing a unique Check identifier.

The note is purely explanatory: it does not create new reporting obligations beyond the existing requirement to complete the prudential return accurately, but tells reporting entities how to interpret validation error and warning messages so they can correct their submissions.

Key obligations

• JIBs must ensure that Amount, Positive Mark-to-Market and Amount After CRM cells in the '3.3 OTC - Interest Rates' sheet contain only whole numbers within the range -1,000,000,000 to +1,000,000,000.
• JIBs must leave the specified Risk Weighted Amount cells (e.g. H4, H9, H14) blank as required by the template.
• JIBs should independently check their data before submission, as Excel validation alone should not be relied upon.
• JIBs must review and address any validation error or warning messages received on submission by matching the unique Check identifier to this guidance.

Applies to

JIBs (Jersey International Banks)