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SUP 16.16 Prudent valuation reporting

Application

SUP 16.16.1RRP

1This section applies to a UK bank or a BIPRU 730k firm which meets the condition in SUP 16.16.2 R.

SUP 16.16.2RRP

The condition referred to in SUP 16.16.1 R is that, on its last accounting reference date, the firm had balance sheet positions measured at fair value which, on a gross basis (the sum of the absolute value of each of the assets and liabilities), exceeded £3 billion.

Purpose

SUP 16.16.3GRP
  1. (1)

    The purpose of this section is to set out the requirements for a firm specified in SUP 16.16.1 R to report the outcomes of its prudent valuation assessmentsunder the prudent valuation rules, in GENPRU 1.3.4 R and GENPRU 1.3.14 R to GENPRU 1.3.34 R, to the FSA and to do so in a standard format.

  2. (2)

    The purpose of collecting this data on the prudent valuation assessments made by a firm under GENPRU 1.3.4 R and GENPRU 1.3.14 R to GENPRU 1.3.34 R is to assist the FSA in assessing the capital resources of firms, to enable the FSA to gain a wider understanding of the nature and sources of measurement uncertainty in fair-valued financial instruments, and to enable comparison of the nature and level of that measurement uncertainty across firms and over time.

Reporting requirement

SUP 16.16.4RRP

A firm to which this section applies must submit to the FSA quarterly (on a calendar year basis and not from a firm's accounting reference date), within six weeks of each quarter end, a Prudent Valuation Return in respect of its fair-value assessments under GENPRU 1.3.4 R and GENPRU 1.3.14 R to GENPRU 1.3.34 R in the format set out in SUP 16 Annex 31A R.

SUP 16.16.5R

Where a firm to which SUP 16.16.4 R applies is a member of a UK consolidation group, the firm must comply with SUP 16.16.4 R:

  1. (1)

    on a solo-consolidation basis if the firm has a solo consolidation waiver, or on an unconsolidated basis if the firm does not have a solo consolidation waiver; and

  2. (2)

    separately, on the basis of the consolidated financial position of theUK consolidation group. (Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.)