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SUP 16.12 Integrated Regulatory Reporting

Application

SUP 16.12.1GRP

1The effect of SUP 16.1.1 R is that this section applies to every firm carrying on business set out in column (1) of SUP 16.12.4 R except:

  1. (1)

    an incoming EEA firm2 with permission for cross border services only;

  2. (2)

    an oil market participant that is not subject to the requirements of IPRU(INV) Chapter 32;

  3. (3)

    an authorised professional firm (other than one that must comply with IPRU(INV) 3, 5 or 13 in accordance with IPRU(INV) 2.1.4R, where SUP 16.12.4 R will apply in respect of the business the firm undertakes)3, which must comply with SUP 16.12.30 R and2 SUP 16.12.31 R; and

    11
  4. (4)

    a financial conglomerate, which must comply with SUP 16.12.32 R: firms that are members of a financial conglomerate will have their own reporting requirements under SUP 16.12.32 R.

Purpose

SUP 16.12.2GRP
  1. (1)

    Principle 4 requires firms to maintain adequate financial resources. The Interim Prudential sourcebooks, PRU, BIPRU and GENPRU set out the FSA's detailed capital adequacy requirements. By submitting regular data, firms enable the FSA to monitor their compliance with Principle 4 and their prudential requirements in the FSA Handbook.

  2. (2)

    The data items submitted help the FSA analyse firms' financial and other conditions and performance and to understand their business. By means of further collation and review of the data which the data items provide, the FSA also uses the data items to identify developments across the financial services industry and its constituent sectors.

  3. (3)

    The requirements in this section differ according to a firm's regulated activity group (RAG), as different information is required to reflect different types of business. Standard formats are used for reporting, to assist10 compatibility between firms which carry on similar types of business. Timely submission is important to ensure the FSA has up-to-date information.

    10

Reporting requirement

SUP 16.12.3RRP
  1. (1)

    Any firm permitted to 5carry5 on any of the activities within each of the RAGs set out in column (1) of the table in SUP 16.12.4 R must:

    1. (a)
      1. (i)

        unless (ii) or (iii) 11applies, submit to the FSA the duly completed data items or other items applicable to the firm as set out in the provision referred to in column (2) of that table;

      2. (ii)

        unless (iii) applies, where 11 a firm is required to submit completed data items for 11more than one RAG, that11 firm must only submit the data item of the same name and purpose in respect of the lowest numbered RAG applicable to it, RAG 1 being the lowest and RAG 10the highest;11

        111111
      3. (iii)

        where a firm is, but for this rule, required to submit data items for more than one RAG and this includes the submission of data items in respect of FSA fees, the FOS or FSCS levy, or threshold conditions, that firm must only submit these data items if they belong to the lowest numbered of the RAGs applicable to it;11

        11
      4. (iv)

        in the case of a non-EEA bank, or an EEA bank (whether or not it has permission for accepting deposits11) other than one with permission for cross border services11only, any data items 11submitted should, unless indicated otherwise, only cover the activities of the branch operation in the United Kingdom;5

        111111

      in the format specified as applicable to the firm in the provision referred to in column (2);

    2. (b)

      submit this information 11at the frequency and in respect of the periods set out in the provision referred to in column (3); and

    3. (c)

      submit this information 11by the due date referred to in the provision referred to in column (4).

  2. (2)

    Unless (3) applies, any data item in (1) must be submitted by electronic means made available by the FSA;

  3. (3)

    (2) does not apply to:

    1. (a)

      credit unions solely in relation to the reporting requirement for RAG 1 activities, where SUP 16.3.6 R to SUP 16.3.10 G will apply;2

    2. (b)

      firms in RAG 2 in relation to the reporting requirements for RAG 2 activities; and2

    3. (c)

      those data items specified as "No standard format", where SUP 16.3.6 R to SUP 16.3.10 G will apply.2

  4. (4)

    A firm that is a member of a financial conglomerate must also submit financial reports as required by SUP 16.12.32 R.

SUP 16.12.3AG

5The following is designed to assist firms to understand how the reporting requirements set out in this chapter operate when the circumstances set out in SUP 16.12.3R (1)(a)(ii) apply.

  1. (1)

    Example 1

    A BIPRU 730K firm11 that undertakes activities in both RAG 311and RAG 7

    Overlaying the requirements of RAG 3 (data items11) with the requirements of RAG11 7 shows the following:

    1111111111

    RAG 3 (SUP 16.12.11 R) data items11

    11

    RAG 7 (SUP 16.12.22A R) data items

    Annual reports and accounts11

    11

    Annual reports and accounts11

    11

    Annual report and accounts11 of the mixed-activity holding company

    11

    Annual report and accounts11 of the mixed-activity holding company (note 10)

    11

    Solvency statement

    Solvency statement

    Balance sheet

    Balance Sheet

    Income statement

    Income statement

    Capital adequacy

    Capital adequacy

    Credit risk

    Credit risk

    Market risk

    Market risk

    Market risk - supplementary

    Market risk - supplementary

    Operational risk

    Operational risk

    Large exposures

    Large exposures

    UK integrated group large exposures

    UK integrated group large exposures

    11
    11
    11

    Solo consolidation data

    Solo consolidation data

    Pillar 2 questionnaire11

    Pillar 2 questionnaire

    11

    Non-EEA sub-group

    Non-EEA sub-group

    Professional indemnity insurance

    Threshold Conditions

    Training and Competence

    COBS11 data

    11

    Client money and client assets11

    Client money and client assets

    Fees and levies

    11CFTC

    11IRB portfolio risk

    IRB portfolio risk11

    11Securitisation: non-trading book15

    11Securitisation: non-trading book15

    13Daily Flows (if it is an ILAS BIPRU firm)

    13Enhanced Mismatch Report (if it is an ILAS BIPRU firm)

    13Liquidity Buffer Qualifying Securities (if it is an ILAS BIPRU firm)

    13Funding Concentration (if it is an ILAS BIPRU firm)

    13Pricing data (if it is an ILAS BIPRU firm)

    13Retail and corporate funding (if it is an ILAS BIPRU firm)

    13Currency Analysis (if it is a ILAS BIPRU firm)

    13Systems and Controls Questionnaire (if it is a non-ILAS BIPRU firm)

    15Securitisation: trading book

    Securitisation: trading book

    From this, the additional reports that are required are:

    1. (a)

      [deleted]11

      11
    2. (b)

      Professional indemnity insurance, where RAG 7 firms11 complete Section E of the RMAR, and therefore a RAG 3 firm11 should complete that;

      1111
    3. (c)

      [deleted]11

      11
    4. (d)

      Training and competence data, where RAG 3 firms11 should also complete Section G of RMAR;

      11
    5. (e)

      Conduct of business data, where RAG 3 firms11 should complete Section H of RMAR.11

      11
    6. (f)

      [deleted]11

      11
    7. (g)

      [deleted]11

      11

    The reporting frequency and submission times for items (b),11 (d) and (e)11 above are then derived from the rules applicable to BIPRU firms in SUP 16.12.23 R and SUP 16.12.24 R. Threshold conditions and fees and levies reports do not need to be submitted as they are not required under the lowest numbered of the two RAGs in this example, see SUP 16.12.3R (1)(a)(iii). 11

    1111
  2. (2)

    Example 2

    A UK bank11 in RAG 1 that also carries on activities in RAG 5

    Again, overlaying the RAG 1 reporting requirements with the requirements for a RAG 5 firm11 gives the following :

    1111

    RAG 1 requirements (SUP 16.12.5 R)

    RAG 5 requirements (SUP 16.12.18A R)

    Annual report and accounts11

    11

    Annual report and accounts11

    11

    Annual report and accounts11 of the mixed-activity holding company (note 9)

    Solvency statement (note 10)

    Balance sheet

    Balance Sheet

    Income statement

    Income statement

    Capital adequacy

    Capital Adequacy

    Credit risk

    Market risk

    Market risk -supplementary

    Operational risk

    Large exposures

    UK integrated group large exposures

    Liquidity (other than stock)

    Liquidity - stock

    Forecast data

    Solo consolidation data

    Interest rate gap report

    [deleted]11

    11

    Non-EEA sub-group

    Sectoral information, including arrears and impairment11

    16

    IRB portfolio risk11

    Securitisation1113: non-trading book15

    13Daily Flows (if it is an ILAS BIPRU firm)

    13Enhanced Mismatch Report (if it is an ILAS BIPRU firm)

    13Liquidity Buffer Qualifying Securities (if it is an ILAS BIPRU firm)

    13Funding Concentration (if it is an ILAS BIPRU firm)

    13Pricing data (if it is an ILAS BIPRU firm)

    13Retail and corporate funding (if it is an ILAS BIPRU firm)

    13Currency Analysis (if it is an ILAS BIPRU firm)

    15Securitisation: trading book

    Lending - Business flow and rates

    Residential Lending to individuals - New business profile

    Lending - Arrears analysis

    Mortgage administration - Business profile

    Mortgage Administration - Arrears analysis

    Analysis of loans to customers

    Provisions analysis

    Fees and levies

    In this case, it is more obvious that the firm's reporting requirement in RAG 1 is not all the data items listed above. However, for the purposes of this exercise, it is the list of potential data items that is important. Thus comparing RAG 1 with RAG 5, the additional reporting requirements are:

    1. (a)

      Lending - Business flow and rates, where Section D MLAR is required;

    2. (b)

      Residential Lending to individuals - New business profile, where Section E MLAR is required;

    3. (c)

      Lending - Arrears analysis, where Section F MLAR is required;

    4. (d)

      Mortgage administration - Business profile, where Section G MLAR is required;

    5. (e)

      Mortgage Administration - Arrears analysis, where Section H MLAR is required

    6. (f)

      Analysis of loans to customers, where section A3 of MLAR is required

    7. (g)

      Provisions analysis, where Section B2 of MLAR is required; and

    Fees and levies are not applicable as they are not required to be submitted under the lowest numbered RAG in this example. 11The reporting frequency and submission times for items (a) to (g) above are then derived from the rules applicable to RAG 5 firms11 in SUP 16.12.18 R.

    1111
SUP 16.12.3BGRP

Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.11

SUP 16.12.4RRP

Table of applicable rules containing data items4, frequency and submission periods

(1)

(2)

(3)

(4)

RAG number

Regulated Activities

Provisions containing:

applicable data items

reporting frequency/ period

Due date

RAG 1

• accepting deposits

• issuing electronic money

meeting of repayment claims12

managing dormant account funds (including the investment of such funds) 12

SUP 16.12.5 R

SUP 16.12.6 R

SUP 16.12.7 R

RAG 2.1

• effecting contracts of insurance

• carrying out contracts of insurance

• entering as provider into a funeral plan contract

SUP 16.12.8 R2

SUP 16.12.8 R2

SUP 16.12.8 R2

RAG 2.2

• managing the underwriting capacity of a Lloyds syndicate as a managing agent at Lloyds

• advising on syndicate participation at Lloyds

• arranging deals in contracts of insurance written at Lloyds

SUP 16.12.9 R2

SUP 16.12.9 R2

SUP 16.12.9 R2

RAG 3

• dealing in investment as principal

• dealing in investments as agent

• advising on investments (excluding retail investment activities)

• arranging (bringing about) deals in investments (excluding retail investment activities)

SUP 16.12.10 R2 SUP 16.12.11 R

SUP 16.12.10 R2 SUP 16.12.12 R

SUP 16.12.10 R2 SUP 16.12.13 R

RAG 4

• managing investments

• establishing, operating or winding up a regulated collective investment scheme

• establishing, operating or winding up an unregulated collective investment scheme

• establishing, operating or winding up a stakeholder pension scheme

• establishing, operating or winding up a personal pension scheme2

5

SUP 16.12.14 R2 SUP 16.12.15 R

SUP 16.12.14 R2 SUP 16.12.16 R

SUP 16.12.14 R2 SUP 16.12.17 R

RAG 5

home finance administration or home finance providing activity11

11

SUP 16.12.18A R2

SUP 16.12.18A R2

SUP 16.12.18A R2

RAG 6

• acting as trustee of an authorised unit trust

• safeguarding and administration of assets (without arranging)

• arranging safeguarding and administration of assets

• acting as depository or sole director of an OEIC5

SUP 16.12.19A R2

SUP 16.12.20 R2

SUP 16.12.21 R2

RAG 7

• retail investment activities

• advising on pensions transfers & opt-outs

• arranging (bringing about deals) in retail investments

SUP 16.12.22A R

SUP 16.12.23 R

SUP 16.12.24 R

RAG 8

• making arrangements with a view to transactions in investments

• operating a multilateral trading facility4

SUP 16.12.25A R

SUP 16.12.26 R

SUP 16.12.27 R

RAG 9

home finance mediation activity14

• insurance mediation activity (non-investment insurance contracts)

14

SUP 16.12.28A R14

SUP 16.12.28A R14

SUP 16.12.28A R14

RAG 10

• the activities of an RIE/RCH

SUP 16.12.29 G2

SUP 16.12.29 G2

SUP 16.12.29 G2

SUP 16.12.4AG

RAG 1 includes an incoming EEA firm exercising a BCD right through a UK branch.

Group liquidity reporting

SUP 16.12.4BGRP

13Reporting at group level for liquidity purposes by firms falling within BIPRU 12 (Liquidity) is by reference to defined liquidity groups. Guidance about the different types of defined liquidity groups and related material is set out in SUP 16 Annex 26 (Guidance on designated liquidity groups in SUP 16.12).

3

Regulated Activity Group 113

SUP 16.12.5R

The applicable data items and forms or reports referred to in SUP 16.12.4 R are set out according to firm6 type in the table below:

Description of data item

12Prudential category of firm,15 applicable data items and reporting format (Note 1)

UK bank

Building society

Non-EEA bank

EEA bank that has permission to accept deposits, other than one with permission for cross border services only

EEA bank that does not have permission to accept deposits, other than one with permission for cross border services only

Electronic money institutions

Credit union

Dormant account fund operator

(note 15)12

Annual report and accounts

No standard format

No standard format, but in English

No standard format

No standard format12

Annual report and accounts of the mixed-activity holding company (note 9)

No standard format

Solvency statement (note 10)

No standard format

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA020

CQ; CY

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002

FSA021

CQ; CY

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

CQ; CY

Credit risk

FSA004 (note 2)

FSA004 (note 2)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA023

Market risk -supplementary

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6)

FSA007 (notes 2, 6)

Large exposures

FSA008 (note 2)

FSA008 (note 2)

FSA024

CQ; CY

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

Liquidity (other than stock)

13

FSA011

13 13 13

FSA025

CQ; CY

13 13

Forecast data

FSA014 (note 11)

FSA014 (note 11)

Solo consolidation data

FSA016 (note 7)

FSA016 (note 7)

Interest rate gap report

FSA017

FSA017

ELMI questions

FSA026

Non-EEA sub-group

FSA028 (note 8)

FSA028 (note 8)

Sectoral information, including arrears and impairment

FSA015

FSA015

16

IRB portfolio risk

FSA045 (note 13)

FSA045 (note 13)

Securitisation: non-trading book15

FSA046 (note 14)

FSA046 (note 14)

13Daily Flows

FSA047 (Notes 16, 20 and 22)

FSA047 (Notes 16, 20 and 22)

FSA047 (Notes 16, 18, 20 and 22)

FSA047 (Notes 16, 18, 20 and 22)

FSA047 (Notes 16, 18, 20 and 22)

13Enhanced Mismatch Report

FSA048 (Notes 16, 20 and 22)

FSA048 (Notes 16, 20 and 22)

FSA048 (Notes 16, 18, 20 and 22)

FSA048 (Notes 16, 18, 20 and 22)

FSA048 (Notes 16, 18, 20 and 22)

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 17, 21 and 22)

FSA050 (Notes 17, 21 and 22)

FSA050 (Notes 17, 19, 21 and 22)

FSA050 (Notes 17, 19, 21 and 22)

FSA050 (Notes 17, 19, 21 and 22)

13Funding Concentration

FSA051 (Notes 17, 21 and 22)

FSA051 (Notes 17, 21 and 22)

FSA051 (Notes 17, 19, 21 and 22)

FSA051 (Notes 17, 19, 21 and 22)

FSA051 (Notes 17, 19, 21 and 22)

13Pricing data

FSA052 (Notes 17, 21 and 22)

FSA052 (Notes 17, 21 and 22)

FSA052 (Notes 17, 19, 21 and 22)

FSA052 (Notes 17, 19, 21 and 22)

FSA052 (Notes 17, 19, 21 and 22)

13Retail and corporate funding

FSA053 (Notes 17, 21 and 22)

FSA053 (Notes 17, 21 and 22)

FSA053 (Notes 17, 19, 21 and 22)

FSA053 (Notes 17, 19, 21 and 22)

FSA053 (Notes 17, 19, 21 and 22)

13Currency Analysis

FSA054 (Notes 17, 21 and 22)

FSA054 (Notes 17, 21 and 22)

FSA054 (Notes 17, 19, 21 and 22)

FSA054 (Notes 17, 19, 21 and 22)

FSA054 (Notes 17, 19, 21 and 22)

15Securitisation: trading book

FSA058 (Note 23)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R, except for credit union reports that are in SUP 16 Annex 14. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G (or Ann 15 G for credit unions).

Note 2

Firms that are members of a UK consolidation group subject to the capital resources requirement at stage 1 of BIPRU 8 Annex 5 are also required to submit this data item on a UK consolidation group basis. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.

Note 3

[deleted]13

13

Note 4

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.

Note 5

Only applicable to firms with a VaR model permission.

Note 6

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach under BIPRU 6.

Note 7

Only applicable to a firm that has a solo consolidation waiver.

Note 8

This will be applicable to firms (other than building societies) that are members of a UK consolidation group, on a half-yearly reporting date. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.

Note 9

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

Note 10

Only applicable to a firm that is a partnership, when the report must be submitted by each partner.

Note 11

[deleted]16

Note 12

Members of a UK integrated group should only submit this data item at the UK integrated group level.

Note 13

Only applicable to firms that have an IRB permission.

Note 14

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading book exposures.15

12Note 15

Only applies to a dormant account fund operator that does not fall into any of the other prudential categories in this table.

13Note 16

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis (including on the basis of the firm's UK branch). Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 17

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis (including on the basis of the firm's UK branch) unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 18

(1) If the firm has a whole-firm liquidity modification it must complete this item on the basis of the whole firm (or at any other reporting level the whole-firm liquidity modification may require) and not just its UK branch.

(2) Otherwise the firm must complete this item by reference to the activities of its branch operation in the United Kingdom in accordance with SUP 16.12.3R (1)(a)(iv).

13Note 19

(1) If the firm has a whole-firm liquidity modification there is no obligation to report this item.

(2) Otherwise the firm must complete this item by reference to the activities of its branch operation in the United Kingdom in accordance with SUP 16.12.3R (1)(a)(iv).

13Note 20

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 21

Note 20 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 22

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification or a whole-firm liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification, whole-firm liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification or a whole-firm liquidity modification says to the contrary.

15Note 23

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.6R

The applicable reporting frequencies for submission of data items and periods referred to in SUP 16.12.5 R are set out in the table below according to firm6 type. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Data item11

Unconsolidated UK banks and building societies

Solo consolidated UK banks and building societies

Report on a UK consolidation group or, as applicable, defined liquidity group13 basis by UK banks and building societies

Other members of RAG 111

Annual report and accounts11

11

Annual

Annual

Annual report and accounts11 of the mixed-activity holding company

Annual

Solvency statement

Annual

CQ

Quarterly

CY

Annually (note 2)

FSA001

Quarterly

Half yearly

FSA002

Quarterly

Half yearly

Half yearly

FSA003

Quarterly or monthly (note 1)

Half yearly

FSA004

Quarterly

Half yearly

FSA005

Quarterly

Half yearly

FSA006

Quarterly

FSA007

Annually

19

FSA008

Quarterly

13 13 13

FSA011

Quarterly

13 13
13 13 13

FSA014

Half yearly

6FSA015

Quarterly

Half yearly

FSA016

Half yearly

FSA017

Quarterly

Half yearly

FSA018

Quarterly

FSA020

Half yearly

FSA021

Half yearly

FSA022

Half yearly

FSA023

Half yearly

FSA024

Half yearly

FSA025

Half yearly

FSA026

Half yearly

FSA028

Half yearly

16

6FSA045

Quarterly

Half yearly

6FSA046

Quarterly15

Quarterly15

13FSA047

Daily, weekly, monthly or quarterly (Notes 4, 6 and 9)

Daily, weekly, monthly or quarterly (Notes 4,5, 6 and 9)

Daily, weekly, monthly or quarterly (Notes 4, 8 and 9)

Daily, weekly, monthly or quarterly (Notes 4,7 and 9)

13FSA048

Daily, weekly, monthly or quarterly (Notes 4, 6 and 9)

Daily, weekly, monthly or quarterly (Notes 4,5, 6 and 9)

Daily, weekly, monthly or quarterly (Notes 4, 8 and 9)

Daily, weekly, monthly or quarterly (Notes 4,7 and 9)

13FSA050

Monthly (Note 4)

Monthly (Notes 4 and 5)

Monthly (Note 4)

Monthly (Note 4)

13FSA051

Monthly (Note 4)

Monthly (Notes 4 and 5)

Monthly (Note 4)

Monthly (Note 4)

13FSA052

Weekly or monthly (Notes 4 and 10)

Weekly or monthly (Notes 4, 5 and 10)

Weekly or monthly (Notes 4 and 11)

Weekly or monthly (Notes 4 and 10)

13FSA053

Quarterly (Note 4)

Quarterly (Notes 4 and 5)

Quarterly (Note 4)

Quarterly (Note 4)

13FSA054

Quarterly (Note 4)

Quarterly (Notes 4 and 5)

Quarterly (Note 4)

Quarterly (Note 4)

15FSA058

Quarterly

Quarterly

Note 1

Monthly submission only applicable if the firm has been notified in writing that it is required to report (when, on an annual review, it has two consecutive quarterly submissions of FSA003 showing data element 93A being greater than £50 million, or its currency equivalent, and also greater than 50% of data element 70A or, during 2007, it has two consecutive quarterly submissions of FSA009 showing data element 27A and data element 33A combined being greater than £50 million, or its currency equivalent, and also greater than 50% of data element 36A.

Note 2

The annual report required from a credit union by SUP 16.12.5 R must be made up for the same period as the audited accounts published by the credit union in accordance with section 3A of the Friendly and Industrial and Provident Societies Act 1968 (see CRED 14 Annex 1 G). CRED 14.10.10 R (2)(a) states that the audited accounts referred to in SUP 16.12.5 R are to be made up for the period beginning with the date of the credit union's registration or with the date to which the credit union's last annual accounts were made up, and ending on the credit union's most recent financial year end.

3Note 3

[deleted]19

19

3Note 4

Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:

(1) A week means the period beginning on Saturday and ending on Friday.

(2) A month begins on the first day of the calendar month and ends on the last day of that month.

(3) Quarters end on 31 March, 30 June, 30 September and 31 December.

(4) Daily means each business day.

All periods are calculated by reference to London time.

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification or a whole-firm liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification, whole-firm liquidity modification or variation part of the way through such a period, unless the whole-firm liquidity modification or intra-group liquidity modification says otherwise.13

13

13Note 5

As specified in SUP 16.12.5 R, solo consolidation has no application to liquidity reporting. Therefore it does not make any difference to the reporting of this item whether or not the firm is solo consolidated.

13Note 6

If the report is on a solo basis (and the firm is a UK firm) the reporting frequency is as follows:

(1) if the firm does not have an intra-group liquidity modification the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.

13Note 7

(1) If the report is on a solo basis (and the firm is not a UK firm) the reporting frequency is as follows:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm.

(2) If the firm has a whole-firm liquidity modification (1) does not apply and instead the frequency of solo reporting is quarterly (or whatever other frequency the whole-firm liquidity modification requires).

13Note 8

(1) If the report is by reference to the firm's DLG by default the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.

13Note 9

(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm, branch or group in question.

(2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm, branch or group in question.

(3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.

13Note 10

If the report is on a solo basis (including by reference to the firm's UK branch) the reporting frequency is as follows:

(1) weekly if the firm is a standard frequency liquidity reporting firm; and

(2) monthly if the firm is a low frequency liquidity reporting firm.

13Note 11

If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(1) weekly if the group liquidity standard frequency reporting conditions are met;

(2) monthly if the group liquidity low frequency reporting conditions are met.

SUP 16.12.7R

The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in SUP 16.12.6 R, unless indicated otherwise.13

13 Data item

Daily

Weekly

Monthly

16

Quarterly

16

Half yearly

16

Annual

16

Annual report and accounts11

80 business days3 (note 1)

7 months (note 2)

Annual report and accounts11 of the mixed-activity holding company

7 months

Solvency statement

3 months

CQ

1 month

CY

7 months

FSA001

20 business days

45 business days

FSA002

20 business days

45 business days

FSA003

15 business days

20 business days

45 business days

FSA004

20 business days

45 business days

FSA005

20 business days

45 business days

FSA006

20 business days

FSA007

6 months19

19

FSA008

20 business days (note 3)

45 business days (note 4)

[deleted]

[deleted]

FSA011

15 business days

[deleted]

[deleted]

[deleted]

[deleted]

FSA014

30 business days (note 3);

45 business days (note 4)

6FSA015

3011 business days

45 business days

FSA016

30 business days

FSA017

20 business days

45 business days3

FSA018

45 business days

FSA020

30 business days

FSA021

30 business days

FSA022

30 business days

FSA023

30 business days

FSA024

30 business days

FSA025

30 business days

FSA026

30 business days

FSA028

30 business days

16

6FSA045

20 business days

45 business days

6FSA046

20 business days (Note 3), 45 business days (Note 4)15

15

FSA04713

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 5)

FSA04813

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 5)

FSA05013

15 business days

FSA05113

15 business days

FSA05213

22.00 hours (London time) on the second business day immediately following the last day of the reporting period for the item in question

15 business days

FSA05313

15 business days

FSA05413

15 business days

15FSA058

20 business days (Note 3), 45 business days (Note 4)

Note 1

Applicable to UK banks, dormant account fund operators12 and electronic money institutions.

Note 2

Applicable to non-EEA banks

Note 3

Applicable to unconsolidated and solo consolidated reports

Note 4

Applicable to UK consolidation group reports

Note 513

It is one Month if the report relates to a non-UK DLG by modification or the firm has a whole-firm liquidity modification.

Regulated Activity Group 2.1

SUP 16.12.8R
  1. (1)

    2The financial reporting requirements for RAG 2.1 activities for insurers, excluding friendly societies, are set out in IPRU(INS).

  2. (2)

    The financial reporting requirements for RAG 2.1 activities for friendly societies are set out in IPRU(FSOC).

  3. (3)

    A UK insurance special purpose vehicle must submit a copy of its annual audited financial statements within 3 months of its accounting reference date, but the report is only required if it was audited as a result of a statutory provision other than under the Act.

Regulated Activity Group 2.2

SUP 16.12.9RRP

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below.11

The applicable reporting frequencies for submission of data items and periods referred to in SUP 16.12.4 R are set out in the table below and are calculated from a firm's accounting reference date, unless indicated otherwise.

The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period. 11

11

Member's adviser (note 3)

the Society (note 1)

Description of data item and data item

Frequency

Submission deadline

Description of data item

Frequency

Submission deadline

Annual report and accounts

Annually

6 month's after the Society's accounting reference date

Annual Lloyd's return

Annually

6 months after the Society's accounting reference date

Syndicate accounts and reports (note 2)

Annually

6 months after the Society's accounting reference date

Quarterly reporting statement

Quarterly

15 business days after the quarter end

Balance Sheet

FSA001 (notes 15, 20) or

13

Quarterly or half yearly

(note 14)

FSA029

Quarterly (note 14)

(note 14)

Income Statement

FSA002 (note20), or

13

Quarterly or half yearly (note 14)

(note 14)

FSA030

Quarterly

(note 14)

Capital Adequacy

FSA003 (notes 4, 20) or

Monthly, quarterly or half yearly (note 14)

(note 14)

FSA033 (note 12) or

Quarterly

(note 14)

FSA034 (note 13) or

Quarterly

(note 14)

FSA035 (note 13)

Quarterly

(note 14)

Credit Risk

FSA004 (notes 5, 20)

13

Quarterly or half yearly (note 14)

(note 14)

Market Risk

FSA005 (notes 6, 20)

13

Quarterly or half yearly (note 14)

(note 14)

13
13 13 13

13
13 13 13

Large Exposures

FSA008 (Notes 20, 21)15

1513

Quarterly

20 business days (note 19)

13
13 13 13

13
13 13 13

13
13 13 13

13
13 13 13

13
13 13 13

Note 1

The Society must prepare its reports in the format specified in IPRU(INS) Appendix 9.11, unless Note 2 applies.

Note 2

The Society must ensure that the annual syndicate accounts and reports are prepared in accordance with the Insurance Accounts Directive (Lloyd's Syndicate and Aggregate Accounts) Regulations 2008 (S.I. 2008/1950).

Note 3

A member's adviser must prepare its reports in accordance with, and in the format set out in, SUP 16 Annex 10 and as required by section 6 of that annex. Guidance notes for the completion of the reports is contained in SUP 16 Annex 11.

Note 4

Only firms subject to IPRU(INV) 4 report data item FSA003.

Note 5

This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.

Note 6

This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.

Note 7

[deleted]13

13

Note 8

[deleted]13

13

Note 9

[deleted]13

13

Note 10

[deleted]13

13

Note 11

[deleted]13

13

Note 12

FSA033 is only applicable to firms subject to IPRU(INV) 3

Note 13

Only applicable to firms subject to IPRU(INV) 5. FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in

IPRU(INV) 5.2.3(2)R.

Note 14

BIPRU 50K firms report half yearly on 30 business days submission, all other BIPRU firms on unconsolidated basis report quarterly on 20 business days submission. All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission.

Note 15

This data item only applies to BIPRU firms.

Note 16

[deleted]13

13

Note 17

[deleted]13

13

Note 18

[deleted]13

13

Note 19

UK consolidation group reports have 45 business days submission.

Note 20

Firms that are members of a UK consolidation group are also required to submit FSA001, FSA002, FSA003, FSA004, FSA005 and FSA008 on a UK consolidation group basis.

15Note 21

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

SUP 16.12.9AGRP

13A Member's adviser that is also a BIPRU investment firm will also fall under one of the higher number RAGs that apply to BIPRU investment firms. That means that it will have to report a number of data items in addition to the ones that it has to supply under RAG 2.2.

Regulated Activity Group 3

SUP 16.12.10RRP
  1. (1)

    2SUP 16.12.11 R to SUP 16.12.13 R do not apply to:

    1. (a)

      a lead regulated firm (except in relation to data items 47 to 55 (inclusive));13

    2. (b)

      an OPS firm;

    3. (c)

      a local authority;3

    4. (d)

      a service company.3

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

  3. (3)

    A service company must submit a copy of its annual audited financial statements within 6 months from its accounting reference date. However, the firm need only submit this if the report was audited as a result of a statutory provision other than the Act.3

SUP 16.12.11RRP

The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:

Description of data item11

11

Firms' prudential category and applicable data items (note 1)15

BIPRU firms (note 17)2

Firms other than BIPRU firms

730K

125K and UCITS investment firms

50K

IPRU(INV)2 Chapter 3

IPRU(INV)2 Chapter 5

IPRU(INV)2 Chapter 9

IPRU(INV) 2Chapter 13

UPRU

Annual report and accounts11

11

No standard format

No standard format (note 19)2

No standard format2

No standard format3

11

No standard format3

Annual report and accounts 11 of the mixed-activity holding company (note 10)

11

No standard format

Solvency statement

No standard format (note 11)

No standard format (note 20)

No standard format (note 11)2

No standard format (note 11)5

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA029 (note 18)112

FSA0292

11

FSA0292

FSA029 (note 1511)2 or Section A RMAR (note 1511)3

1111

FSA0292

11

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030 (note 18)2

11

FSA0302

11

FSA0302

FSA030 (note 1511)2 or Section B RMAR (note 1511)3

1111

FSA0302

11

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033 (note 18)2

11

FSA034 or FSA035 (note 14)2

11

FSA0312

FSA032 (note 15) 2 or Sections D1 and D2 RMAR (note 1511)3

1111

FSA0362

11

Credit risk

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 6)15

FSA008 (Notes 2, 6)15

FSA008 (Notes 2, 6)15

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA016 (note 25)11

FSA016 (note 25)11

FSA016 (note 25)11

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)

3Threshold conditions

Section F RMAR (note 21)

3

2Client money and client assets

FSA039

FSA039

FSA039

FSA039 (note 18)

FSA039

FSA039

Section C RMAR (note 21) or 3FSA039

FSA039

2CFTC

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)113

6IRB portfolio risk

FSA045 (note 22)

FSA045 (note 22)

FSA045 (note 22)

6Securitisation: non-trading book15

FSA046 (note 23)

FSA046 (note 23)

FSA046 (note 23)

13Daily Flows

FSA047 (Notes 26, 29 and 31)

13Enhanced Mismatch Report

FSA048 (Notes 26, 29 and 31)

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 27, 30 and 31)

13Funding Concentration

FSA051 (Notes 27, 30 and 31)

13Pricing data

FSA052 (Notes 27, 30 and 31)

13Retail and corporate funding

FSA053 (Notes 27, 30 and 31)

13Currency Analysis

FSA054 (Notes 27, 30 and 31)

13Systems and Controls Questionnaire

FSA055 (Note 28)

15Securitisation: trading book

FSA058 (Note 32)

FSA058 (Note 32)

FSA058 (Note 32)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

Firms11 that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

1111

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.11

The11threshold is exceeded where 11data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant 11reporting date for the firm.

11111111

Note 4

This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The11 threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant 11reporting date for the firm11.

111111

Note 5

Only applicable to firms with a VaR model permission.11

1111

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part,either the standardised approach, alternative standardised approach, or advanced measurement approach underBIPRU 611

11

Note 8

Only applicable to BIPRU investment firms5 that:

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or11

(b) have been granted an investment firm consolidation waiver;or11

(c) are 11not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm5 under (a) must11complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11complete the report on the basis of its solo position.

111111

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date.

11

Note 10

Only applicable to a firm whose ultimate parent is a mixed activity holding company.

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

Members of a UK integrated group should only submit this data item at the UK integrated group level.

11

2Note 13

This does not apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

2Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.

2Note 15

FSA029, FSA030 and FSA032 must be completed bya firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section A or Section B RMAR and Sections D1 and D2 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11

11

2Note 16

[deleted]11

11

2Note 17

An exempt BIPRU commodity firm will, by virtue of the definition of BIPRU TP 15, be exempt from completing FSA003 (and thus FSA004, FSA005, FSA006 and FSA007) for the duration of the transitional provision. It is however required to submit all other data items applicable according to the firm's BIPRU classification including, for the avoidance of doubt, BIPRU TP 16.

2Note 18

Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R.

2Note 19

In the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R), it is only required from partnerships and bodies corporate, and then only if the report was audited as a result of a statutory provision other than under the Act.

2Note 20

Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader.

3Note 21

[deleted]11

11

6Note 22

Only applicable to firms that have an IRB permission.11

11

6Note 23

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations. of non-trading book exposures.15

15

11Note 24

Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.

11Note 25

Only applicable to a firm that has a solo consolidation waiver.

13Note 26

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 27

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 28

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

13Note 29

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 30

Note 29 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 31

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15

15Note 32

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.11AGRP

13The columns in the table in SUP 16.12.11 R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firms and BIPRU 730K firms and the drafting of the table emphasises that. Also, the table covers consolidated reports and the conditions about what sort of group has to supply what type of liquidity report do not always depend on how the individual firm is classified.

SUP 16.12.12RRP

The applicable reporting frequencies for data items referred to in SUP 16.12.4 R2 are set out in the table below according to firm type. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Data Item11

11

BIPRU 730K firm

BIPRU 125K firm and UCITS investment firm

BIPRU 50K firm

UK consolidation group11or defined liquidity group13

11

Firm other than BIPRU firms

Annual report and accounts11

11

Annually

Annually

Annually

Annually28

Annual report and accounts11 of the mixed-activity holding company

11

Annually

Annually

Annually

Solvency statement

Annually

Annually

Annually

Annually

FSA001

Quarterly

Quarterly

Half yearly

Half yearly

FSA002

Quarterly

Quarterly

Half yearly

Half yearly

FSA003

Monthly

Quarterly

Half yearly

Half yearly

FSA004

Quarterly

Quarterly

Half yearly

Half yearly

FSA005

Quarterly

Quarterly

Half yearly

Half yearly11

11

FSA006

Quarterly

Quarterly

Quarterly

Quarterly

FSA007

Annual (note 4)11

Annual (note 4)11

Annual (note 4)11

Annual (note 4)11

FSA008

Quarterly

Quarterly

Quarterly

Quarterly

FSA016

Half yearly

Half yearly

Half yearly

FSA018

Quarterly

Quarterly

Quarterly

FSA019

Annually

Annually

Annually

Annually

FSA028

Half yearly

Half yearly

Half yearly

2FSA029

Quarterly

8

2FSA030

Quarterly

8

2FSA031

Quarterly

2FSA032

Quarterly

2FSA033

Quarterly

8

2FSA034

Quarterly

8

2FSA035

Quarterly

8

2FSA036

Quarterly 11

2FSA039

Half yearly

Half yearly

Half yearly

Half yearly

2FSA040

Quarterly

Quarterly

Quarterly

Quarterly3

6FSA045

Quarterly

Quarterly

Half yearly

Half yearly

6FSA046

Quarterly15

15

Quarterly15

15

Quarterly15

15

Quarterly15

15

13FSA047

Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)

Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)

13FSA048

Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)

Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)

13FSA050

Monthly (Note 5)

Monthly (Note 5)

13FSA051

Monthly (Note 5)

Monthly (Note 5)

13FSA052

Weekly or monthly (Notes 5 and 9)

Weekly or monthly (Notes 5 and 10)

13FSA053

Quarterly (Note 5)

Quarterly (Note 5)

13FSA054

Quarterly (Note 5)

Quarterly (Note 5)

13FSA055

Annually (Note 5)

Annually (Note 5)

15FSA058

Quarterly

Quarterly

Quarterly

Quarterly

3Section A RMAR

Half yearly (note 2) Quarterly (note 3)5

3Section B RMAR

Half yearly (note 2) Quarterly (note 3)5

3Section C RMAR

Half yearly (note 2) Quarterly (note 3)5

3Section D1 and D2 RMAR

Half yearly (note 2) Quarterly (note 3)5

3Section F RMAR

Half yearly5

2Note 1

[deleted]8

8

3Note 2

Annual regulated business revenue up to and including £5 million.5

3Note 3

Annual regulated business revenue over £5 million.5

11Note 4

The reporting date for this data item is six months after a firm's most recent accounting reference date.

13Note 5

Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:

(1) A week means the period beginning on Saturday and ending on Friday.

(2) A month begins on the first day of the calendar month and ends on the last day of that month.

(3) Quarters end on 31 March, 30 June, 30 September and 31 December.

(4) Daily means each business day.

All periods are calculated by reference to London time.

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.

13Note 6

If the report is on a solo basis the reporting frequency is as follows:

(1) if the firm does not have an intra-group liquidity modification the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.

13Note 7

(1) If the report is by reference to the firm's DLG by default the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.

13Note 8

(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.

13Note 9

If the report is on a solo basis the reporting frequency is as follows:

(1) weekly if the firm is a standard frequency liquidity reporting firm; and

(2) monthly if the firm is a low frequency liquidity reporting firm.

13Note 10

If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(1) weekly if the group liquidity standard frequency reporting conditions are met;

(2) monthly if the group liquidity low frequency reporting conditions are met.

SUP 16.12.13RRP

The applicable due dates for submission referred to in 11SUP 16.12.4 R112 are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in SUP 16.12.12 R, unless indicated otherwise.13

13Data item

Daily

Weekly

Monthly18

Quarterly18

Half yearly18

Annual18

Annual report and accounts11

80 business days8

8 8

Annual report and accounts11 of the mixed-activity holding company

7 months

Solvency statement

3 months

FSA001

20 business days

30 business days (note 1)

45 business days (note 2)

FSA002

20 business days

30 business days (note 1)

45 business days (note 2)

FSA003

15 business days

20 business days

30 business days (note 1)

45 business days (note 2)

FSA004

20 business days

30 business days (note 1)

45 business days (note 2)

FSA005

20 business days

30 business days (note 1)

45 business days (note 2)

FSA006

20 business days

FSA007

2 months

FSA008

20 business days (note 1);

45 business days (note 2)

FSA016

30 business days

FSA018

45 business days

FSA019

2 months

FSA028

30 business days

2FSA029

20 business days

11

2FSA030

20 business days

11

2FSA031

20 business days

2FSA032

20 business days

2FSA033

20 business days

11

2FSA034

20 business days

11

2FSA035

20 business days

11

2FSA036

20 business days

11

2FSA039

30 business days

2FSA040

15 business days3

6FSA045

20 business days

30 business days (note 1), 45 business days (note 2)

6FSA046

20 business days (Note 1), 45 business days (Note 2)15

15

FSA047

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 3)

FSA048

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 3)

FSA050

15 business days

FSA051

15 business days

FSA052

22.00 hours (London time) on the second business day immediately following the last day of the reporting period for the item in question

15 business days

FSA053

15 business days

FSA054

15 business days

FSA055

15 business days

15FSA058

20 business days (Note 1), 45 business days (Note 2)

3Section A RMAR

30 business days

30 business days

3Section B RMAR

30 business days

30 business days

3Section C RMAR

30 business days

30 business days

3Section D1 and D2 D6 RMAR

30 business days

30 business days

3Section F RMAR

30 business days

Note 1

For unconsolidated and solo-consolidated reports.

Note 2

For UK consolidation group reports.

Note 3

It is one Month if the report relates to a non-UK DLG by modification.

Regulated Activity Group 4

SUP 16.12.14RRP
  1. (1)

    2SUP 16.12.15 R to SUP 16.12.17 R do not apply to:

    1. (a)

      a lead regulated firm (except in relation to data items 47 to 55 (inclusive));13

    2. (b)

      an OPS firm;

    3. (c)

      a local authority.

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

SUP 16.12.15RRP

The applicable data items referred to in SUP 16.12.4 R according to type of firm are set out in the table below:

Description of data item11

Firms'15 prudential category and applicable data items (note 1)

15

BIPRU

Firms other than BIPRU firms

730K

125K and UCITS investment firms

50K

IPRU(INV)2 Chapter 3

IPRU(INV)2 Chapter 5

IPRU(INV)2 Chapter 9

IPRU(INV)2 Chapter 13

UPRU

Annual report and accounts11

11

No standard format8(note 13)11

Annual report and accounts11 of the mixed-activity holding company (note 10)

11

5

No standard format5

Solvency statement (note 11

5

No standard format2

No standard format5

No standard format5

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA029 2

11

FSA029 2

11

FSA0292

FSA029 (note 1511)2 or Section A RMAR (note 1511)5

1111

FSA029 (note 16)2

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA0302

11

FSA0302

11

FSA0302

FSA030 (note 15)2 or Section B RMAR (note 1511)5

1111

FSA030 (note 16)2

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA0332

11

FSA034 or FSA035 (note 14)2

11

FSA0312

Section D1 and D2 RMAR or FSA032 (note 15)11

11

FSA0362

11

Credit risk

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA01611 (note 20)11

FSA01611 (note 20)11

FSA01611 (note 20)11

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)

5Threshold conditions

Section F RMAR (note 1511)

11

2Volumes and type of business (note 21)11

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

2Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

Section C RMAR (note 1511) or 5FSA039

11

FSA03911

2Asset managers that use hedge fund techniques (note 21)11

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

2UCITS (note 22)11

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

6IRB portfolio risk

FSA045 (note 18)

FSA045 (note 18)

FSA045 (note 18)

6Securitisation: non-trading book15

FSA046 (note 19)

FSA046 (note 19)

FSA046 (note 19)

13Daily Flows

FSA047 (Notes 23, 26 and 28)

13Enhanced Mismatch Report

FSA048 (Notes 23, 26 and 28)

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 24, 27 and 28)

13Funding Concentration

FSA051 (Notes 24, 27 and 28)

13Pricing data

FSA052 (Notes 24, 27 and 28)

13Retail and corporate funding

FSA053 (Notes 24, 27 and 28)

13Currency Analysis

FSA054 (Notes 24, 27 and 28)

13Systems and Controls Questionnaire

FSA055 (Note 25)

15Securitisation: trading book

FSA058 (Note 29)

FSA058 (Note 29)

FSA058 (Note 29)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

11

Note 3

This applies to a firm that is required to submit data item FSA003 and at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The11 threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting datefor the firm.11

11

Note 4

This applies to a firm that is required to submit data item FSA003 and at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded wheredata element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.11

11

Note 5

Only applicable to firms with a VaR model permission.11

11

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach 11under BIPRU 63.

11

Note 8

Only applicable to BIPRU investment firms5 that :11

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver;or11

(b) have been granted an investment firm consolidation waiver;

or11

(c) are 11not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm5 under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11 complete the report on the basis of its solo position.

1111

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date.

11

Note 10

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

Members of a UK integrated group should only submit this data item at the UK integrated group level.

11

2Note 13

This data item is applicable to all firms in this table except a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11

11

2Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.

2Note 15

FSA029, FSA030 and 11FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

5Section A, B, C or F RMAR and Sections D1 and D2 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11

2Note 16

[deleted]8

8

5Note 17

[deleted]11

11

6Note 18

Only applicable to firms that have an IRB permission.11

11

6Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations of non-trading book exposures15.

11Note 20

Only applicable to a firm that has a solo consolidation waiver.

11Note 21

Only applicable to firms that have a managing investments permission.

11Note 22

Only applicable to firms that have permission for establishing, operating or winding up a regulated collective investment scheme.

13Note 23

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 24

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 25

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

13Note 26

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 27

Note 26 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 28

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15

15Note 29

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.15AGRP

13The columns in the table in SUP 16.12.15 R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firmsand BIPRU 730K firms and the drafting of the table emphasises that. Also, the table covers consolidated reports and the conditions about what sort of group has to supply what type of liquidity report do not always depend on how the individual firm is classified.

SUP 16.12.16RRP

The applicable reporting frequencies for data items referred to in SUP 16.12.15 R2 are set out in the table below according to firm type. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Data item11

Firms'15 prudential category

15

BIPRU 730K firm

BIPRU 125K firm and UCITS investment firm

BIPRU 50K firm

UK consolidation group11or defined liquidity group13

Firm other than BIPRU firms

Annual report and accounts11

11

Annually

Annually

Annually

Annually28

Annual report and accounts 11 of the mixed-activity holding company

Annually

Annually

Annually

Solvency statement

Annually

Annually

Annually

Annually2

FSA001

Quarterly

Quarterly

Half yearly

Half yearly

FSA002

Quarterly

Quarterly

Half yearly

Half yearly

FSA003

Monthly

Quarterly

Half yearly

Half yearly

FSA004

Quarterly

Quarterly

Half yearly

Half yearly

FSA005

Quarterly

Quarterly

Half yearly

Half yearly11

11

FSA006

Quarterly

Quarterly

Quarterly

Quarterly

FSA007

Annual(note 4)

Annual (note 4)

Annual (note 4)

Annual (note 4)11

FSA008

Quarterly

Quarterly

Quarterly

Quarterly

FSA016

Half yearly

Half yearly

Half yearly

FSA018

Quarterly

Quarterly

Quarterly

FSA019

Annually

Annually

Annually

Annually

FSA028

Half yearly

Half yearly

Half yearly

2FSA029

Quarterly

8

2FSA030

Quarterly

8

2FSA031

Quarterly3

2FSA032

Quarterly3

2FSA033

Quarterly

8

2FSA034

Quarterly

8

2FSA035

Quarterly

8

2FSA036

Quarterly 5

8

2FSA038

Half yearly

Half yearly

Half yearly

Half yearly

2FSA039

Half yearly

Half yearly

Half yearly

Half yearly11

2FSA041

Annually

Annually

Annually

Annually

2FSA042

Quarterly

Quarterly

Quarterly

Quarterly

6FSA045

Quarterly

Quarterly

Half yearly

Half yearly

6FSA046

Quarterly15

15

Quarterly15

15

Quarterly15

15

Quarterly15

15

13FSA047

Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)

Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)

13FSA048

Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)

Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)

13FSA050

Monthly (Note 5)

Monthly (Note 5)

13FSA051

Monthly (Note 5)

Monthly (Note 5)

13FSA052

Weekly or monthly (Notes 5 and 9)

Weekly or monthly (Notes 5 and 10)

13FSA053

Quarterly (Note 5)

Quarterly (Note 5)

13FSA054

Quarterly (Note 5)

Quarterly (Note 5)

13FSA055

Annually (Note 5)

Annually (Note 5)

15FSA058

Quarterly

Quarterly

Quarterly

Quarterly

5Section A RMAR

Half yearly (note 2) Quarterly (note 3)

5Section B RMAR

Half yearly (note 2) Quarterly (note 3)

5Section C RMAR

Half yearly (note 2) Quarterly (note 3)

5Section D1 and D2 RMAR

Half yearly (note 2) Quarterly (note 3)

5Section F RMAR

Half yearly

2Note 1

[deleted]8

8

5Note 2

Annual regulated business revenue up to and including £5 million.

5Note 3

Annual regulated business revenue over £5 million.

11Note 4

The reporting date for this data item is six months after a firm's most recent accounting reference date.

13Note 5

Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:

(1) A week means the period beginning on Saturday and ending on Friday.

(2) A month begins on the first day of the calendar month and ends on the last day of that month.

(3) Quarters end on 31 March, 30 June, 30 September and 31 December.

(4) Daily means each business day.

All periods are calculated by reference to London time.

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.

13Note 6

If the report is on a solo basis the reporting frequency is as follows:

(1) if the firm does not have an intra-group liquidity modification the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.

13Note 7

(1) If the report is by reference to the firm's DLG by default the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.

13Note 8

(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.

13Note 9

If the report is on a solo basis the reporting frequency is as follows:

(1) weekly if the firm is a standard frequency liquidity reporting firm; and

(2) monthly if the firm is a low frequency liquidity reporting firm.

13Note 10

If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(1) weekly if the group liquidity standard frequency reporting conditions are met;

(2) monthly if the group liquidity low frequency reporting conditions are met.

SUP 16.12.17RRP

The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in SUP 16.12.16 R, unless indicated otherwise.13

13Data item18

Daily

Weekly

Monthly

18

Quarterly

18

Half yearly

18

Annual

18

Annual report and accounts

80 business days

Annual report and accounts of the mixed-activity holding company

7 months

Solvency statement

3 months

FSA001

20 business days

30 business days (note 2); 45 business days (note 3 )

FSA002

20 business days

30 business days (note 2); 45 business days (note 3)

FSA003

15 business days

20 business days

30 business days (note 2); 45 business days (note 3)

FSA004

20 business days

30 business days (note 2); 45 business days (note 3)

FSA005

20 business days

30 business days (note 2); 45 business days (note 3)

FSA006

20 business days

FSA007

2 months

FSA008

20 business days (note 2); 45 business days (note 3)

FSA016

30 business days

FSA018

45 business days

FSA019

2 months

FSA028

30 business days

FSA029

20 business days

FSA030

20 business days

FSA031

20 business days

FSA032

20 business days

FSA033

20 business days

FSA034

20 business days

FSA035

20 business days

FSA036

20 business days

FSA038

30 business days

FSA039

30 business days

FSA041

30 business days

FSA042

20 business days

FSA045

20 business days

30 business days (note 2); 45 business days (note 3)

FSA046

20 business days (Note 2), 45 business days (Note 3)15

15

FSA047

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 4)

FSA048

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 4)

FSA050

15 business days

FSA051

15 business days

FSA052

22.00 hours (London time) on the second business day immediately following the last day of the reporting period for the item in question

15 business days

FSA053

15 business days

FSA054

15 business days

FSA055

15 business days

15FSA058

20 business days (Note 2), 45 business days (Note 3)

Section A RMAR

30 business days

30 business days

Section B RMAR

30 business days

30 business days

Section C RMAR

30 business days

30 business days

Section D1 and D2 RMAR

30 business days

30 business days

Section F RMAR

30 business days

Note 1

[deleted]

Note 2

For unconsolidated and solo-consolidated reports.

Note 3

For UK consolidation group reports.

Note 4

It is one Month if the report relates to a non-UK DLG by modification.

Regulated Activity Group 5

SUP 16.12.18R
  1. (1)

    2SUP 16.12.18A R does not apply to:

    1. (a)

      a lead regulated firm;

    2. (b)

      an OPS firm;

    3. (c)

      a local authority.

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

SUP 16.12.18AR

2The applicable data items, reporting frequencies and submission deadlines referred to in SUP 16.12.4 R are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date3, unless indicated otherwise. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.

Description of data item14

Data item14 (note 1)

Frequency

Submission deadline

Annual report and accounts11

11

No standard format

Annually

80 business days3

Balance Sheet

Sections A.1 and A.2 MLAR

Quarterly

20 business days

Income Statement

Sections B.0 and B.1 MLAR

Quarterly

20 business days

Capital Adequacy

Section C MLAR

Quarterly

20 business days

Lending - Business flow and rates

Section D MLAR

Quarterly

20 business days

Residential Lending to individuals - New business profile

Section E MLAR

Quarterly

20 business days

Lending - Arrears analysis

Section F MLAR

Quarterly

20 business days

Mortgage administration - Business profile

Section G MLAR

Quarterly

20 business days

Mortgage Administration - Arrears analysis

Section H MLAR

Quarterly

20 business days

Analysis of loans to customers

Section A3 MLAR

Quarterly

20 business days

Provisions analysis

Section B2 MLAR

Quarterly

20 business days

Fees and levies

Section J MLAR

Annually

30 business days

14Sale and rent back

Section K MLAR

Annually

30 business days

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 19A. Guidance notes for the completion of the data items14 is set out in SUP 16 Annex 19B.

Regulated Activity Group 6

SUP 16.12.19RRP
  1. (1)

    2SUP 16.12.19A R to SUP 16.12.21 R do not apply to:

    1. (a)

      a lead regulated firm;

    2. (b)

      an OPS firm;

    3. (c)

      a local authority.

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

SUP 16.12.19ARRP

2The applicable data items8referred to in SUP 16.12.4 R are set out according to type of firm8 in the table below:

88

Description of data item11

Firm's prudential category and applicable data item (note 1)

IPRU(INV) Chapter 3

IPRU(INV) Chapter 5

IPRU(INV) Chapter 9

IPRU(INV) Chapter 13

UPRU

Annual report and accounts11

11

No standard format8

Solvency statement (note 6)5

No standard format5

No standard format5

Balance sheet

FSA029

11

FSA029

11

FSA029

FSA029 or Section A RMAR (note 7)

11

FSA029

11

Income statement

FSA030

11

FSA030

11

FSA030

FSA030 or Section B RMAR (note 7)

11

FSA030

11

Capital adequacy

FSA033

11

FSA034 or FSA035 (note 4)11

FSA031

FSA032 (note 5) or5 Section D1 and D2 RMAR (note 7)5

FSA036

11

5Threshold conditions

Section F RMAR

Client money and client assets

FSA039

FSA039

FSA039

Section C RMAR (note 7) or 5FSA039

FSA03911

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

This does not apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

Note 3

[deleted]11

11

Note 4

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in

IPRU(INV) 5.2.3(2)R.

Note 5

FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

5

Note 6

Only applicable to a firm that is a partnership, when the report must be submitted by each partner.

5Note 7

FSA029 and FSA030 only apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm and Sections A and B RMAR only apply 11 to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

11
SUP 16.12.20RRP

2The applicable reporting frequencies for submission of data items referred to in SUP 16.12.4 R are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Annual report and accounts11

11

Annually

Annual reconciliation

Annually

Solvency statement

Annually

FSA029

Quarterly

8

FSA030

Quarterly

8

FSA031

Quarterly

FSA032

Quarterly

FSA033

Quarterly

8

FSA034

Quarterly

8

FSA035

Quarterly

8

FSA036

Quarterly5

8

FSA039

Half yearly11

5Section A RMAR

Half yearly (note 2)

Quarterly (note 3)

5Section B RMAR

Half yearly (note 2)

Quarterly (note 3)

5Section C RMAR

Half yearly (note 2)

Quarterly (note 3)

5Section D1 and D2 RMAR

Half yearly (note 2)

Quarterly (note 3)

5Section F RMAR

Half yearly

Note 1

[deleted]8

8

5Note 2

Annual regulated business revenue up to and including £5 million.

5Note 3

5Annual regulated business revenue over £5 million.

SUP 16.12.21RRP

2The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in SUP 16.12.20 R.

Data item

Quarterly18

Half yearly18

Annual18

Annual report and accounts11

11

80 business days8

Solvency statement

3 months

FSA029

20 business days

11

FSA030

20 business days

11

FSA031

20 business days

FSA032

20 business days

FSA033

20 business days

11

FSA034

20 business days

11

FSA035

20 business days

11

FSA036

20 business days

11

FSA039

30 business days

FSA040

15 business days 3

5Section A RMAR

30 business days

30 business days

5Section B RMAR

30 business days

30 business days

5Section C RMAR

30 business days

30 business days

5Section D1 and D2 RMAR

30 business days

30 business days

5Section F RMAR

30 business days

Regulated Activity Group 7

SUP 16.12.22RRP
  1. (1)

    2SUP 16.12.22A R to SUP 16.12.24 R do not apply to:

    1. (a)

      a lead regulated firm (except in relation to data items 47 to 55 (inclusive));13

    2. (b)

      an OPS firm;

    3. (c)

      a local authority.

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

SUP 16.12.22ARRP

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

11Description of Data item

Firms'15 prudential category and applicable data item (note 1)

15

BIPRU 730K firm

BIPRU 125K firm and UCITS investment firm

BIPRU 50K firm

Exempt CAD firms subject to IPRU(INV) Chapter 13

Firms (other than exempt CAD firms) subject to IPRU(INV) Chapter 13

Firms that are also in one or more of RAGs 1 to 6 and not subject to IPRU(INV) Chapter 13

Annual report and accounts

No standard format

No standard format

Annual report and accounts of the mixed-activity holding company (note 10)

No standard format

Solvency statement

No standard format (note 11)

Balance Sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

Section A RMAR

Income Statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

Section B RMAR

Section B RMAR

Capital Adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA032

Section D1 and D2 RMAR

Credit risk

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA016

FSA016

FSA016

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)

Professional indemnity insurance (note 15)

Section E RMAR

Section E RMAR

Section E RMAR

Section E RMAR

Section E RMAR

Threshold Conditions

Section F RMAR

Section F RMAR

Training and Competence

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

COBS data

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Client money and client assets

Section C RMAR

Section C RMAR

Section C RMAR

Section C RMAR

Section C RMAR

Fees and levies

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR

IRB portfolio risk

FSA045 (note 13)

FSA045 (note 13)

FSA045 (note 13)

Securitisation: non-trading book15

FSA046 (note 14)

FSA046 (note 14)

FSA046 (note 14)

13Daily Flows

FSA047 (Notes 16, 19 and 21)

13Enhanced Mismatch Report

FSA048 (Notes 16, 19 and 21)

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 17, 20 and 21)

13Funding Concentration

FSA051 (Notes 17, 20 and 21)

13Pricing data

FSA052 (Notes 17, 20 and 21)

13Retail and corporate funding

FSA053 (Notes 17, 20 and 21)

13Currency Analysis

FSA054 (Notes 17, 20 and 21)

13Systems and Controls Questionnaire

FSA055 (Note 18)

15Securitisation: trading book

FSA058 (Note 22)

FSA058 (Note 22)

FSA058 (Note 22)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R, or SUP 16 Annex 18A R in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G, or SUP 16 Annex 18B G in the case of the RMAR.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any tine within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.

Note 4

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.

Note 5

Only applicable to firms with a VaR model permission.

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach under BIPRU 6.

Note 8

Only applicable to BIPRU investment firms that:

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or

(b) have been granted an investment firm consolidation waiver; or

(c) are not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm under (a) must complete the report on the basis of its UK consolidation group. A BIPRU investment firm under (b) or (c) must complete the report on the basis of its solo position.

Note 9

This will be applicable to firms that are members of a UK consolidation group on the reporting date.

Note 10

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

Note 11

Only applicable to firms that have an IRB permission to use the IRB approach and BIPRU 4.

Note 12

Members of a UK integrated group should only submit this data item at the UK integrated group level.

Note 13

Only applicable to firms that have an IRB permission.

Note 14

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations of non-trading book exposures15.

Note 15

This item only applies to firms that are subject to an FSA requirement to hold professional indemnity insurance and are not exempt CAD firms.

13Note 16

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 17

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 18

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

13Note 19

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 20

Note 19 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 21

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.

15Note 22

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.22BGRP

13The columns in the table in SUP 16.12.22A R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firms and BIPRU 730K firms and the drafting of the table emphasises that. Also, the table covers consolidated reports and the conditions about what sort of group has to supply what type of liquidity report do not always depend on how the individual firm is classified.

SUP 16.12.23R

The applicable reporting frequencies for data items referred to in SUP 16.12.22A R are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Data item

Frequency

Unconsolidated BIPRU investment firm

Solo consolidated BIPRU investment firm

UK Consolidation Group11or defined liquidity group13

11

Annual regulated business revenue up to and including £5 million

Annual regulated business revenue over £5 million

Annual reports and accounts11

11

No standard format

Annual accounts of the mixed-activity holding company

No standard format

Solvency statement

No standard format

FSA001

Quarterly or half yearly (note 1)

Quarterly or half yearly (note 1)

Half yearly

FSA002

Quarterly or half yearly (note 1)

Quarterly or half yearly (note 1)

Half yearly

FSA003

Monthly, quarterly or half yearly (note 2)

Monthly, quarterly or half yearly (note 2)

Half yearly

FSA004

Quarterly or half yearly (note 1)

Quarterly or half yearly (note 1)

Half yearly

FSA005

Quarterly or half yearly (note 1)

Quarterly or half yearly (note 1)

Half yearly

FSA006

Quarterly

Quarterly

Quarterly

FSA007

Annually

(note 3)11

Annually

(note 3)11

Annually

(note 3)11

FSA008

Quarterly

Quarterly

Quarterly

FSA016

Half yearly

FSA018

Quarterly

Quarterly

Quarterly

FSA019

Annually

Annually

Annually

FSA028

Half yearly

Half yearly

FSA03211

11

Quarterly

Quarterly

6FSA045

Quarterly or half yearly (note 1)

Quarterly or half yearly (note 1)

Half yearly

6FSA046

Quarterly15

15

Quarterly15

15

Quarterly15

15

13FSA047

Daily, weekly, monthly or quarterly (Notes 4, 5 and 7)

Daily, weekly, monthly or quarterly (Notes 4, 5, 7 and 10)

Daily, weekly, monthly or quarterly (Notes 4, 6 and 7)

13FSA048

Daily, weekly, monthly or quarterly (Notes 4, 5 and 7)

Daily, weekly, monthly or quarterly (Notes 4, 5, 7 and 10)

Daily, weekly, monthly or quarterly (Notes 4, 6 and 7)

13FSA050

Monthly (Note 4)

Monthly (Notes 4 and 10)

Monthly (Note 4)

13FSA051

Monthly (Note 4)

Monthly (Notes 4 and 10)

Monthly (Note 4)

13FSA052

Weekly or monthly (Notes 4 and 8)

Weekly or monthly (Notes 4, 8 and 10)

Weekly or monthly (Notes 4 and 9)

13FSA053

Quarterly (Note 4)

Quarterly (Notes 4 and 10)

Quarterly (Note 4)

13FSA054

Quarterly (Note 4)

Quarterly (Notes 4 and 10)

Quarterly (Note 4)

13FSA055

Annually (Note 4)

Annually (Notes 4 and 10)

Annually (Note 4)

15FSA058

Quarterly

Quarterly

Quarterly

2Section A RMAR

Half yearly

Quarterly

2Section B RMAR

Half yearly

Quarterly

2Section C RMAR

Half yearly

Quarterly

2Section D1 and D2 RMAR

Half yearly

Quarterly

Section E RMAR

Half yearly

Half yearly

Half yearly

Half yearly2

Quarterly2

Section F RMAR

Half yearly

Half yearly

Half yearly

Half yearly2

Half yearly2

Section G RMAR

Half yearly

Half yearly

Half yearly

Half yearly2

Half yearly2

Section H RMAR

Half yearly

Half yearly

Half yearly

Half yearly2

Half yearly211

Section J RMAR

Annually

Annually

Annually

Annually2

Annually2

Note 1:

BIPRU 730K firms and BIPRU 125K firms - quarterly;

BIPRU 50K firms - half yearly.

Note 2

BIPRU 730K firms - monthly;

BIPRU 125K firms - quarterly;

BIPRU 50K firms - half yearly.

11Note 3

The reporting date for this data item is six months after a firm's most recent accounting reference date.

13Note 4

Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:

(1) A week means the period beginning on Saturday and ending on Friday.

(2) A month begins on the first day of the calendar month and ends on the last day of that month.

(3) Quarters end on 31 March, 30 June, 30 September and 31 December.

(4) Daily means each business day.

All periods are calculated by reference to London time.

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.

13Note 5

If the report is on a solo basis the reporting frequency is as follows:

(1) if the firm does not have an intra-group liquidity modification the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.

13Note 6

(1) If the report is by reference to the firm's DLG by default the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.

13Note 7

(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.

13Note 8

If the report is on a solo basis the reporting frequency is as follows:

(1) weekly if the firm is a standard frequency liquidity reporting firm; and

(2) monthly if the firm is a low frequency liquidity reporting firm.

13Note 9

If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(1) weekly if the group liquidity standard frequency reporting conditions are met;

(2) monthly if the group liquidity low frequency reporting conditions are met.

13Note 10

As specified in SUP 16.12.22A R, solo consolidation has no application to liquidity reporting. Therefore it does not make any difference to the reporting of this item whether or not the firm is solo consolidated.

SUP 16.12.24R

The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in SUP 16.12.23 R, unless indicated otherwise.13

13Data Item

Daily

Weekly

Monthly

18

Quarterly

18

Half yearly

18

Annual

18

Annual reports and accounts

80 business days

Annual report and accounts of the mixed-activity holding company

7 months

Solvency statement

3 months

FSA001

20 business days

30 business days (note 1); 45 business days (note 2)

FSA002

20 business days

30 business days (note 1); 45 business days (note 2)

FSA003

15 business days

20 business days

30 business days (note 1); 45 business days (note 2)

FSA004

20 business days

30 business days (note 1); 45 business days (note 2)

FSA005

20 business days

30 business days (note 1); 45 business days (note 2)

FSA006

20 business days

FSA007

2 months

FSA008

20 business days (note 1); 45 business days (note 2)

FSA016

30 business days

FSA018

45 business days

FSA019

2 months

FSA028

30 business days

FSA032

20 business days

FSA045

20 business days

30 business days (note 1), 45 business days (note 2)

FSA046

20 business days (Note 1), 45 business days (Note 2)15

15

FSA04713

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 3)

FSA04813

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 3)

FSA05013

15 business days

FSA05113

15 business days

FSA05213

22.00 hours (London time) on the second business day immediately following the last day of the reporting period for the item in question

15 business days

FSA05313

15 business days

FSA05413

15 business days

FSA05513

15 business days

15FSA058

20 business days (Note 1), 45 business days (Note 2)

Section A RMAR

30 business days

30 business days

Section B RMAR

30 business days

30 business days

Section C RMAR

30 business days

30 business days

Section D1 and D2 RMAR

30 business days

30 business days

Section E RMAR

30 business days

30 business days

Section F RMAR

30 business days

Section G RMAR

30 business days

Section H RMAR

30 business days

Section J RMAR

30 business days

Note 1

For unconsolidated and solo consolidated reports

Note 2

For UK consolidation group reports

Note 313

It is one Month if the report relates to a non-UK DLG by modification.

Regulated Activity Group 8

SUP 16.12.25RRP
  1. (1)

    2SUP 16.12.25A R does not apply to:

    1. (a)

      a lead regulated firm (except in relation to data items 47 to 55 (inclusive));13

    2. (b)

      an OPS firm;

    3. (c)

      a local authority;

    4. (d)

      a service company.

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

  3. (3)

    A service company must submit a copy of its annual audited financial statements (only if the report was audited as a result of a statutory provision other than under the Act) within 6 months from its accounting reference date.

SUP 16.12.25ARRP

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

Description of data item

Firms'15 prudential category and applicable data item (note 1)

15

BIPRU

Firms other than BIPRU firms

730K

125K

50K

IPRU(INV) Chapter 3

IPRU(INV) Chapter 5

IPRU(INV) Chapter 9

IPRU(INV) Chapter 133

UPRU

Annual report and accounts11

11

No standard format8

Annual report and accounts11 of the mixed-activity holding company (note 10)

No standard format

Solvency statement (note 11)

No standard format

No standard format5

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA029

11

FSA029

11

FSA029

Section A RMAR (note 17)5or FSA02911

11
11

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030

11

FSA030

11

FSA030

Section B RMAR (note 17)5or FSA03011

11

FSA030

11

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033

11

FSA034 or FSA035 (note 14)

11

FSA03111

Section D1 and D2 RMAR (note 17)5 or FSA 032 (note 15)

11

FSA036

11

Credit risk

FSA004 (note 2, 3)

FSA004 (note 2, 3)

FSA004 (note 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

UK Integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA016

(note 20)11

FSA016

(note 20)11

FSA016

(note 20)11

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)3

5Threshold conditions

Section F RMAR (note 17)

11

Client money and client assets11

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039 or Section C RMAR (note 17)11

6IRB portfolio risk

FSA045 (note 18)

FSA045 (note 18)

FSA045 (note 18)

6Securitisation: non-trading book15

FSA046 (note 19)

FSA046 (note 19)

FSA046 (note 19)

13Daily Flows

FSA047 (Notes 21, 24 and 26)

13Enhanced Mismatch Report

FSA048 (Notes 21, 24 and 26)

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 22, 25 and 26)

13Funding Concentration

FSA051 (Notes 22, 25 and 26)

13Pricing data

FSA052 (Notes 22, 25 and 26)

13Retail and corporate funding

FSA053 (Notes 22, 25 and 26)

13Currency Analysis

FSA054 (Notes 22, 25 and 26)

13Systems and Controls Questionnaire

FSA055 (Note 23)

15Securitisation: trading book

FSA058 (Note 27)

FSA058 (Note 27)

FSA058 (Note 27)

Note 1:

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

11

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.11

The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.11

11

Note 4

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. 11

The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.11

11

Note 5

Only applicable to firms with a VaR model permission.11

11

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach 11under BIPRU 6.3

11

Note 8

Only applicable to BIPRU investment firms 5that :

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or11

(b) have been granted an investment firm consolidation waiver; or11

(c) are 11not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm 5under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm 5 under (b) or (c) must11 complete the report on the basis of its solo position.

1111111111

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date.

11

Note 10

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

Members of a UK integrated group should only submit this data item at the UK integrated group level.

11

Note 13

This does not apply to firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2) R.

Note 15

FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

5

Note 16

[deleted]11

11

5Note 17

This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm.

6Note 18

Only applicable to firms that have an IRB permission.11

11

6Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of 15securitisations of non-trading book exposures15.

15

11Note 20

Only applicable to a firm that has a solo consolidation waiver.

13Note 21

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 22

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 23

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

13Note 24

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 25

Note 24 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 26

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15

15Note 27

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.25BGRP

13The columns in the table in SUP 16.12.25A R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firms and BIPRU 730K firms and the drafting of the table emphasises that. Also, the table covers consolidated reports and the conditions about what sort of group has to supply what type of liquidity report do not always depend on how the individual firm is classified.

SUP 16.12.26RRP

The applicable reporting frequencies for data items referred to in SUP 16.12.25A R are set out according to the type of firm2 in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Data item11

BIPRU 730K firm

BIPRU 125K firm

BIPRU 50K firm

UK consolidation group11 or defined liquidity group13

11

Firms other than BIPRU firms

Annual reports and accounts11

11

Annually

Annually

Annually

Annually 28

Annual report and accounts11of the mixed-activity holding company

11

Annually

Annually

Annually

Annually

Solvency statement

Annually

Annually

Annually

Annually2

FSA001

Quarterly

Quarterly

Half yearly

Half yearly

FSA002

Quarterly

Quarterly

Half yearly

Half yearly

FSA003

Monthly

Quarterly

Half yearly

Half yearly

FSA004

Quarterly

Quarterly

Half yearly

Half yearly

FSA005

Quarterly

Quarterly

Half yearly

Half yearly11

11

FSA006

Quarterly

Quarterly

Quarterly

FSA007

Annually(note 4)11

Annually(note 4)11

Annually(note 4)11

Annually (note 4)11

FSA008

Quarterly

Quarterly

Quarterly

Quarterly

FSA016

Half yearly

Half yearly

Half yearly

FSA018

Quarterly

Quarterly

Quarterly

FSA019

Annually

Annually

Annually

Annually

FSA028

Half yearly

Half yearly

Half yearly

2FSA029

Quarterly

8

2FSA030

Quarterly

8

2FSA031

Quarterly

2FSA032

Quarterly

2FSA033

Quarterly

8

2FSA034

Quarterly

8

2FSA035

Quarterly

8

2FSA036

Quarterly5

8

2FSA039

Half yearly

Half yearly

Half yearly

11

Half yearly11

6FSA045

Quarterly

Quarterly

Half yearly

Half yearly

6FSA046

Quarterly15

15

Quarterly15

15

Quarterly15

15

Quarterly15

15

13FSA047

Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)

Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)

13FSA048

Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)

Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)

13FSA050

Monthly (Note 5)

Monthly (Note 5)

13FSA051

Monthly (Note 5)

Monthly (Note 5)

13FSA052

Weekly or monthly (Notes 5 and 9)

Weekly or monthly (Notes 5 and 10)

13FSA053

Quarterly (Note 5)

Quarterly (Note 5)

13FSA054

Quarterly (Note 5)

Quarterly (Note 5)

13FSA055

Annually (Note 5)

Annually (Note 5)

15FSA058

Quarterly

Quarterly

Quarterly

Quarterly

5Section A RMAR

Half yearly (note 2) Quarterly (note 3)

5Section B RMAR

Half yearly (note 2) Quarterly (note 3)

5Section C RMAR

Half yearly (note 2) Quarterly (note 3)

5Section D1 and D2 RMAR

Half yearly (note 2) Quarterly (note 3)

5Section F RMAR

Half yearly

2Note 1

[deleted]8

8

5Note 2

Annual regulated business revenue up to and including £5 million.

5Note 3

Annual regulated business revenue over £5 million.

11Note 4

The reporting date for this data item is six months after a firm's most recent accounting reference date.

13Note 5

Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:

(1) A week means the period beginning on Saturday and ending on Friday.

(2) A month begins on the first day of the calendar month and ends on the last day of that month.

(3) Quarters end on 31 March, 30 June, 30 September and 31 December.

(4) Daily means each business day.

All periods are calculated by reference to London time.

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.

13Note 6

If the report is on a solo basis the reporting frequency is as follows:

(1) if the firm does not have an intra-group liquidity modification the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:

(a) weekly if the firm is a standard frequency liquidity reporting firm; and

(b) monthly if the firm is a low frequency liquidity reporting firm;

(3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.

13Note 7

(1) If the report is by reference to the firm's DLG by default the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(a) weekly if the group liquidity standard frequency reporting conditions are met;

(b) monthly if the group liquidity low frequency reporting conditions are met.

(3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.

13Note 8

(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.

(3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.

13Note 9

If the report is on a solo basis the reporting frequency is as follows:

(1) weekly if the firm is a standard frequency liquidity reporting firm; and

(2) monthly if the firm is a low frequency liquidity reporting firm.

13Note 10

If the report is by reference to the firm's UK DLG by modification the reporting frequency is:

(1) weekly if the group liquidity standard frequency reporting conditions are met;

(2) monthly if the group liquidity low frequency reporting conditions are met.

SUP 16.12.27RRP

The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in SUP 16.12.26 R, unless indicated otherwise13.

Data item18

Daily

Weekly

Monthly

18

Quarterly

18

Half yearly

18

Annual

18

Annual accounts

80 business days

Annual reconciliation

80 business days

Annual reports and accounts of the mixed-activity holding company

7 months

Solvency statement

3 months

FSA001

20 business days

30 business days (note 1);45 business days (note 2)

FSA002

20 business days

30 business days (note 1);45 business days (note 2)

FSA003

20 business days

30 business days (note 1);45 business days (note 2)

FSA004

20 business days

30 business days note 1);45 business days (note 2)

FSA005

20 business days

30 business days (note 1);45 business days (note 2)

FSA006

20 business days

30 business days (note 1);45 business days (note 2)

FSA007

2 months

FSA008

20 business days (note 1);45 business days (note 2)

FSA016

30 business days

FSA018

45 business days

FSA019

2 months

FSA028

30 business days

FSA029

20 business days

FSA030

20 business days

FSA031

20 business days

FSA032

20 business days

FSA033

20 business days

FSA034

20 business days

FSA035

20 business days

FSA036

20 business days

FSA039

30 business days

FSA040

15 business days

FSA045

20 business days

30 business days (note 1); 45 business days (note 2)

FSA046

20 business days (Note 1), 45 business days (Note 2)15

15

FSA04713

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 5)

FSA048

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question

15 business days

15 business days or one Month (Note 5)

FSA050

15 business days

FSA051

15 business days

FSA052

22.00 hours (London time) on the second business day immediately following the last day of the reporting period for the item in question

15 business days

FSA053

15 business days

FSA054

15 business days

FSA055

15 business days

15FSA058

20 business days (Note 1), 45 business days (Note 2)

Section A RMAR

30 business days

30 business days

Section B RMAR

30 business days

30 business days

Section C RMAR

30 business days

30 business days

Section D1 and D2 RMAR

30 business days

30 business days

Section F RMAR

30 business days

Note 1

For unconsolidated and solo consolidated reports.

Note 2

For UK consolidation group reports

Note 3

It is one Month if the report relates to a non-UK DLG by modification.

Regulated Activity Group 9

SUP 16.12.28RRP
  1. (1)

    2SUP 16.12.28A R does not apply to:

    1. (a)

      a lead regulated firm;

    2. (b)

      an OPS firm;

    3. (c)

      a local authority;11

    4. (d)

      a third party processor in respect of any home finance activity.11

  2. (2)

    A lead regulated firm and an OPS firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

SUP 16.12.28ARRP

2The applicable data items, reporting frequencies and submission deadlines referred to in SUP 16.12.4 R are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.

Description of data item11

Data item11 (note 1)

Frequency

Submission deadline

Annual regulated business revenue up to and including £5 million

Annual regulated business revenue over £5 million

Balance Sheet

Section A RMAR

Half yearly

Quarterly

30 business days

Income Statement

Section B RMAR

Half yearly

Quarterly

30 business days

Capital Adequacy

Section D1 RMAR

Half yearly

Quarterly

30 business days

Professional indemnity insurance

(note 2)11

Section E RMAR

Half yearly

Quarterly 11

11

30 business days

Threshold Conditions

Section F RMAR

Half yearly

Half yearly

30 business days

Training and Competence

Section G RMAR

Half yearly

Half yearly

30 business days

COBS11 data

Section H RMAR

Half yearly

Half yearly

30 business days

Supplementary product sales data

Section I RMAR

Half yearly11

11

Annually

30 business days

Client money and client assets

Section C RMAR

Half yearly

Quarterly

30 business days

Fees and levies

Section J RMAR

Annually

Annually

30 business days

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 18A. Guidance notes for the completion of the data items is set out in SUP 16 Annex 18B.

11Note 2

This item only applies to firms that may be subject to an FSA requirement to hold professional indemnity insurance and are not exempt CAD firms.

Regulated Activity Group 10

SUP 16.12.29GRP

2Recognised bodies (RIEs and RCHs) have separate reporting requirements agreed between the recognised body and the FSA.

Authorised professional firms

SUP 16.12.30RRP
  1. (1)

    2An authorised professional firm, other than one that must comply with IPRU(INV) 3, 5 or 13 in accordance with IPRU(INV) 2.1.4R,3 must submit an annual questionnaire, contained in SUP 16 Annex 9R, unless:

    11
    1. (a)

      its only regulated activities are one or more of:

      1. (i)

        insurance mediation;

      2. (ii)

        mortgage mediation;

      3. (iii)

        retail investment;

      4. (iv)

        mortgage lending;

      5. (v)

        mortgage administration; or

    2. (b)

      its "main business" as determined by IPRU(INV) 2.1.2R(3) is advising on, or arranging deals in, packaged products, or managing investments for private customers;

    in which case the authorised professional firm must complete the appropriate report specified in SUP 16.12.31 R.3

  2. (2)

    The due date for submission of the annual questionnaire is four months after the firm's accounting reference date.

  3. (3)

    An authorised professional firm must also, where applicable, submit the other3 report to the FSA in accordance with SUP 16.12.31 R in respect of the other regulated activities it undertakes under (1)(a)3.

    3
SUP 16.12.30ARRP

3An authorised professional firm that must comply with IPRU(INV) 3, 5, 10 or 13 in accordance with IPRU(INV) 2.1.4R must submit the relevant reports in SUP 16.12.4 R to SUP 16.12.29 G, according to the regulated activity groups that its business falls into.

SUP 16.12.31RRP

2Table of data items from an authorised professional firm

Report

Return (note 1)

Frequency

Due date

Adequate information relating to the following activities:

RMAR (Note 3)

Half yearly (quarterly for sections A to E for larger firms, subject to Note 3 exemptions) (note 2)

For half yearly report: 30 business days after period end For quarterly report: 30 business days after quarter end

(1) insurance mediation activity;

(2) mortgage mediation activity;

(3) retail investment activity;

(4) advising on, or arranging deals in, packaged products, or managing investments for private customers where these activities are the authorised professional firm's "main business" as determined by IPRU(INV) 2.1.2 R (3)

Adequate information relating to mortgage lending and mortgage administration.

MLAR

Quarterly

20 business days after quarter end

Note 1

When giving the report required, a firm must use the return indicated. The RMAR and MLAR are located at SUP 16 Annex 18A and SUP 16 Annex 19A respectively. Guidance on the completion of the data items are located at SUP 16 Annex 18B and SUP 16 Annex 19B respectively.

Note 2

For the purposes of RMAR reporting, a larger firm is a firm whose annual regulated business revenue in its previous financial year was greater than £5m. Annual regulated business revenue for these purposes is a firm's total revenue relating to insurance mediation activity, mortgage mediation activity and retail investment activity.

Note 3

A firm which submits an MLAR is not required to submit sections A and B of the RMAR.

Note 4

Reporting dates are calculated from a firm's accounting reference date.

Financial conglomerates

SUP 16.12.32RRP
  1. (1)

    A firm that is a member of a financial conglomerate must submit financial reports to the FSA in accordance with the table in SUP 16.12.33 R if:

    1. (a)

      it is at the head of an FSA regulated EEA financial conglomerate; or

    2. (b)

      its Part IV permission contains a relevant requirement.

  2. (2)

    In (1)(b), a relevant requirement is one which:

    1. (a)

      applies SUP 16.12.33 R to the firm; or

    2. (b)

      applies SUP 16.12.33 R to the firm unless the mixed financial holding company of the financial conglomerate to which the firm belongs submits the report required under this rule (as if the rule applied to it).

SUP 16.12.33RRP

Financial reports from a member of a financial conglomerate (see SUP 16.12.32 R)

Content of Report

Form (Note 1)

Frequency

Due Date

Calculation of supplementary capital adequacy requirements in accordance with one of the four technical calculation methods

Note 2

Note 5

Note 5

Identification of significant risk concentration levels

Note 3

Yearly

4 months after year end

Identification of significant intra-group transactions

Note 4

Yearly

4 months after year end

Report on compliance with GENPRU 3.1.35 R where it applies

11

Note 6

Note 5

Note 5

Note 1

When giving the report required, a firm must use the form indicated, if any.

Note 2

If Part 1 of GENPRU 3 Annex 1(method 1), Part 2 of GENPRU 3 Annex 1 (method 2), or Part 3 of GENPRU 3 Annex 1 (method 3) applies, there is no specific form. Adequate information must be provided, and each financial conglomerate for which the FSA is the co-ordinator must discuss with the FSA how to do this.

11

If Part 4 of GENPRU 3 Annex 1 applies (method 4):11

(1) a banking and investment services conglomerate 11must use FSA003; and

11

(2) an insurance conglomerate must use:

(a) (where SUP 16.12.32R (1)(a) applies), Forms 1, 2 and 3 in Appendix 9.1 of IPRU(INS) prepared in accordance with IPRU (INS) 9.35(1); or

(b) (in any other case),the Insurance Group Capital Adequacy Reporting Form (Form 95) in Appendix 9.9 of IPRU(INS)

For the purposes of (b), rules 9.40(1), 9.40(1A), 9.40(3) and 9.40(4) of IPRU(INS) apply as they would if the insurance conglomerate were an insurance group.

Note 3

Rather than specifying a standard format for each financial conglomerate to use, each financial conglomerate for which the FSA is the co-ordinator must discuss with the FSA the form of the information to be reported. This should mean that usual information management systems of the financial conglomerate can be used to the extent possible to generate and analyse the information required.

When reviewing the risk concentration levels, the FSA will in particular monitor the possible risk of contagion in the financial conglomerate, the risk of a conflict of interests, the risk of circumvention of sectoral rules, and the level or volume of risks.

Note 4

For the purposes of this reporting requirement, an intra-group transaction will be presumed to be significant if its amount exceeds 5% of the total amount of capital adequacy requirements at the level of the financial conglomerate.

Rather than specifying a standard format for each financial conglomerate to use, each financial conglomerate for which the FSA is the co-ordinator must11 discuss with the FSA the form of the information to be reported. This should mean that usual information management systems of the financial conglomerate can be used to the extent possible to generate and analyse the information required.

When reviewing the intra-group transactions, the FSA will in particular monitor the possible risk of contagion in the financial conglomerate, the risk of a conflict of interest11, the risk of circumvention of sectoral rules, and the level or volume of risks.

11

Note 5

The frequency and due date will be as follows:

(1)banking and investment services conglomerate:11 frequency is half-yearly with due date 45 business days after period end

(2) insurance conglomerate: frequency is yearly with due date four months after period end for the capital adequacy return and three months after period end for the report on compliance with GENPRU 3.1.35 R where it applies.

11

Note 6

Adequate information must be added as a separate item to the relevant form for sectoral reporting.