Annual report and accounts
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No standard format
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No standard format, but in English
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27
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No standard format12
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Annual report and accounts of the mixed-activity holding company (note 9)
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No standard format
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Solvency statement (note 10)
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No standard format
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Balance sheet
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FSA001 (note 2)
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FSA001 (note 2)
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27
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CQ; CY
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Income statement
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FSA002 (note 2)
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FSA002 (note 2)
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FSA002
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27
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CQ; CY
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Capital adequacy
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FSA003 (note 2)
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FSA003 (note 2)
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27
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CQ; CY
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Credit risk
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FSA004 (note 2)
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FSA004 (note 2)
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Market risk
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FSA005 (notes 2, 4)
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FSA005 (notes 2, 4)
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27
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Market risk -supplementary
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FSA006 (note 5)
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Operational risk
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FSA007 (notes 2, 6)
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FSA007 (notes 2, 6)
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Large exposures
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FSA008 (note 2)
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FSA008 (note 2)
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27
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CQ; CY
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UK integrated group large exposures
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FSA018 (note 12)
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FSA018 (note 12)
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Liquidity (other than stock)
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13
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FSA011
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13
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13
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13
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27
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CQ; CY
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13
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13
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Forecast data
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FSA014 (note 11)
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FSA014 (note 11)
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Solo consolidation data
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FSA016 (note 7)
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FSA016 (note 7)
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Interest rate gap report
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FSA017
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FSA017
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27
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Non-EEA sub-group
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FSA028 (note 8)
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27
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Sectoral information, including arrears and impairment
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FSA015
(Note 2)33
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FSA015
(Note 2)33
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16
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IRB portfolio risk
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FSA045 (note 13)
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FSA045 (note 13)
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Securitisation: non-trading book15
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FSA046 (Notes 2 and 24 14)
24
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FSA046 ( Notes 2 and24 14)
24
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13Daily Flows
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FSA047 (Notes 16, 20 and 22)
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FSA047 (Notes 16, 20 and 22)
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FSA047 (Notes 16, 18, 20 and 22)
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FSA047 (Notes 16, 18, 20 and 22)
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FSA047 (Notes 16, 18, 20 and 22)
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13Enhanced Mismatch Report
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FSA048 (Notes 16, 20 and 22)
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FSA048 (Notes 16, 20 and 22)
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FSA048 (Notes 16, 18, 20 and 22)
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FSA048 (Notes 16, 18, 20 and 22)
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FSA048 (Notes 16, 18, 20 and 22)
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13Liquidity Buffer Qualifying Securities
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FSA050 (Notes 17, 21 and 22)
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FSA050 (Notes 17, 21 and 22)
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FSA050 (Notes 17, 19, 21 and 22)
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FSA050 (Notes 17, 19, 21 and 22)
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FSA050 (Notes 17, 19, 21 and 22)
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13Funding Concentration
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FSA051 (Notes 17, 21 and 22)
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FSA051 (Notes 17, 21 and 22)
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FSA051 (Notes 17, 19, 21 and 22)
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FSA051 (Notes 17, 19, 21 and 22)
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FSA051 (Notes 17, 19, 21 and 22)
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13Pricing data
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FSA052 (Notes 17, 22 and 2422)
22
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FSA052 (Notes 17, 22 and 2422)
22
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FSA052 (Notes 17, 19, 22 and 2422)
22
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FSA052 (Notes 17, 19, 22 and 2422)
22
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FSA052 (Notes 17, 19, 22 and 2422)
22
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13Retail and corporate funding
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FSA053 (Notes 17, 21 and 22)
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FSA053 (Notes 17, 21 and 22)
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FSA053 (Notes 17, 19, 21 and 22)
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FSA053 (Notes 17, 19, 21 and 22)
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FSA053 (Notes 17, 19, 21 and 22)
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13Currency Analysis
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FSA054 (Notes 17, 21 and 22)
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FSA054 (Notes 17, 21 and 22)
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FSA054 (Notes 17, 19, 21 and 22)
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FSA054 (Notes 17, 19, 21 and 22)
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FSA054 (Notes 17, 19, 21 and 22)
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15Securitisation: trading book
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FSA058 (Notes 2 and 24 23)
24
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Note 1
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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).
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Note 2
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Firms
33 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 UKconsolidation group basis. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.
33
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Note 3
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[deleted]13
13
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Note 4
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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 24("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 ÂŁ50 million, or its currency equivalent, at the relevant reporting date for the firm.
24
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Note 5
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Only applicable to firms with a VaR model permission.
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Note 6
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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.
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Note 7
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Only applicable to a firm that has a solo consolidation waiver.
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Note 8
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This will be applicable to firms (other than building societies) that are members of a UK consolidation group on the reporting date.33
33
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Note 9
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Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
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Note 10
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Only applicable to a firm that is a partnership, when the report must be submitted by each partner.
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Note 11
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Members of a UK consolidation group should only submit this data item at the UK consolidation group level.2416
24
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Note 12
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Members of a UK integrated group should only submit this data item at the UK integrated group level.
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Note 13
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Only applicable to firms that have an IRB permission.
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Note 14
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Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures.15
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12Note 15
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Only applies to a dormant account fund operator that does not fall into any of the other prudential categories in this table.
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13Note 16
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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'sUKbranch). 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 UKlead 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.
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13Note 17
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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'sUKbranch) 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.
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13Note 18
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(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 UKbranch.
(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).
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13Note 19
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(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).
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13Note 20
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(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).
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13Note 21
|
Note 20 applies, except that paragraphs (3), (4) and (5) do 31not apply, meaning that material currencies must not be recorded separately.
31
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13Note 22
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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.
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15Note 23
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Only applicable to firms that hold securitisation positions in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.2522
25
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22Note 24
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This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.
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