Related provisions for GENPRU 1.2.27

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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 item

Firms prudential category and applicable data items (note 1)

BIPRU firms (note 17)2

Firmsother thanBIPRU firms

730K

125K and UCITS investment firms

50K

IPRU(INV)2Chapter 3

IPRU(INV)2Chapter 5

IPRU(INV)2Chapter 9

IPRU(INV)2Chapter 13

UPRU

Annual accounts

No standard format

No standard format (note 19)2

No standard format2

No standard format (note 21)3

No standard format3

2Annual reconciliation

No standard format (note 18)

No standard format

No standard format (note 13)

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

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 s 16 and 18)2

FSA029 (note 16)2

FSA0292

FSA029 (note 16)2 or Section A RMAR (note 21)3

FSA029 (note 16)2

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030 (notes 16 and 18)2

FSA030 (note 16)2

FSA0302

FSA030 (note 16)2 or Section B RMAR (note 21)3

FSA030 (note 16)2

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033 (notes 16 and 18)2

FSA034 or FSA035 (note 14 and 16)2

FSA0312

FSA032 (note 15) or FSA037 (note 15 and 16)2 or Sections D1 and D2 RMAR (note 21)3

FSA036 (note 16)2

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 (note 2)

FSA008 (note 2)

FSA008 (note 2)

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)

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

FSA040

FSA040

FSA040

FSA040

FSA040

FSA040

FSA0403

6IRB portfolio risk

FSA045 (note 22)

FSA045 (note 22)

FSA045 (note 22)

6Securitisation

FSA046 (note 23)

FSA046 (note 23)

FSA046 (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. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

Firms that are members of a UK consolidation groupsubject to the capital resources requirement at stages 2, 3 or 4 of BIPRU 8 Annex 5 are also required to submit this report on a UK consolidation group basis.

Note 3

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two quarterly submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two quarterly submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.In both cases, the threshold is exceeded ifdata element 77A in data item FSA003 (or similar) is greater than £10 million, or its currency equivalent, at the reporting date.

Note 4

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two quarterly submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two quarterly submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.In both cases, the threshold is exceeded if data element 93A in data item FSA003 (or similar) is greater than £50 million, or its currency equivalent, at the reporting date.

Note 5

Only applicable to firms with a CAD2 waiver under GENPRU 2.1.52 R.

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 Modelling Approaches under BIPRU 63.

Note 8

Only applicable to BIPRU investment firms5 that are:

(a) 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;

(b) subject to consolidated supervision under BIPRU 8 that have been granted an investment firm consolidation waiver; and

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

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

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.

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

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

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

FSA037 must be completed by any other firm subject to IPRU(INV) Chapter 13 carrying out RAG 3 activities.

2Note 16

The annual data item to be submitted is additional to the fourth quarterly return to be submitted. The information to be submitted in the annual data item must (except for exempt CAD firms or firms subject to the small firms audit exemption) be audited before it is submitted.

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

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

6Note 22

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

6Note 23

Only applicable to firms that undertakesecuritisations.
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 item

Firms prudential category and applicable data items (note 1)

BIPRU

Firmsother than BIPRU firms

730K

125K andUCITS investment firms

50K

IPRU(INV)2Chapter 3

IPRU(INV)2Chapter 5

IPRU(INV)2Chapter 9

IPRU(INV)2Chapter 13

UPRU

2Annual accounts

No standard format

2Annual reconciliation

No standard format

No standard format

No standard format (note 13)

Annual accountsof the mixed-activity holding company (note 10)

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 (note 16)2

FSA029 (note 16)2

FSA0292

FSA029 (note 16)2 or Section A RMAR (note 17)5

FSA029 (note 16)2

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030 (note 16)2

FSA030 (note 16)2

FSA0302

FSA030 (note 16)2 or Section B RMAR (note 17)5

FSA030 (note 16)2

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033 (note 16)2

FSA034 or FSA035 (note 14 and 16)2

FSA0312

FSA032 (note 14) or 25Section D1 and D2 RMAR (note 17)5

FSA036 (note 16)2

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 (note 2)

FSA008 (note 2)

FSA008 (note 2)

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)

5Threshold conditions

Section F RMAR (note 17)

2Volumes and type of business

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

2Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

Section C RMAR (note 17) or 5FSA039

FSA039

2CFTC

FSA040

FSA040

FSA040

FSA040

FSA040

FSA040

FSA040

FSA040

2Asset managers that use hedge fund techniques

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

2UCITS

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

6IRB portfolio risk

FSA045 (note 18)

FSA045 (note 18)

FSA045 (note 18)

6Securitisation

FSA046 (note 19)

FSA046 (note 19)

FSA046 (note 19)

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 groupsubject to the capital resources requirement at stages 2, 3 or 4 of BIPRU 8 Annex 5 are also required to submit this report on a UK consolidation group basis.

Note 3

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two quarterly submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two quarterly submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.In both cases, the threshold is exceeded if data element 77A in data item FSA003 (or similar) is greater than £10 million, or its currency equivalent at the reporting date.

Note 4

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.In both cases, the threshold is exceeded ifdata element 93A in data item FSA003 (or similar) is greater than £50 million, or its currency equivalent at the reporting date.

Note 5

Only applicable to firms with a CAD2 waiver under GENPRU 2.1.52 R.

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 Modelling Approachesunder BIPRU 63.

Note 8

Only applicable to BIPRU investment firms5 that are:

(a) 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;

and

(b) subject to consolidated supervision under BIPRU 8 that have been granted an investment firm consolidation waiver; and

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

A BIPRU investment firm5 under (a) should complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) should 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 group4 on the reporting date. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.

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

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

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

5

2Note 16

The annual data item to be submitted is additional to the fourth quarterly return to be submitted. The information to be submitted in the annual data item must (except for exempt CAD firms or firms subject to the small firms audit exemption) be audited before it is submitted.

5Note 17

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

6Note 18

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

6Note 19

Only applicable to firms that undertakesecuritisations.
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:

Description ofData item

Firm prudential category and applicable data item (note 1)

BIPRU 730K firm

BIPRU 125K firm and UCITS investment firm

BIPRU 50K firm

IPRU(INV)2Chapter 13 firms carrying out European-wide activities under MiFID

IPRU(INV)2Chapter 13 firms not carrying out European-wide activities under MiFID

Annual accounts

No standard format

Annual 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 RMAR2

Section A RMAR2

Income Statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

Section B RMAR2

Section B RMAR2

Capital Adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA0312

Section CAPITAL ADEQUACYD1 and D2 RMAR2

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 (note 2)

FSA008 (note 2)

FSA008 (note 2)

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

Section E RMAR

Section E RMAR

Section E RMAR

Section E RMAR2

Section E RMAR2

Threshold Conditions

Section F RMAR

Section F RMAR

Section F RMAR

Section F RMAR2

Section F RMAR2

Training and Competence

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR2

Section G RMAR2

COB data

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR2

Section H RMAR2

Supplementary product sales data

Section I RMAR

Section I RMAR

Section I RMAR

Section I RMAR2

Section I RMAR2

Client money and client assets

Section C RMAR2

Section C RMAR2

Fees and levies

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR2

Section J RMAR2

6IRB portfolio risk

FSA045 (note 13)

FSA045 (note 13)

FSA045 (note 13)

6Securitisation

FSA046 (note 14)

FSA046 (note 14)

FSA046 (note 14)

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 in the case of the RMAR2. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G, or SUP 16 Annex 18B in the case of the RMAR2.

Note 2

Firms that are members of a UK consolidation group subject to the capital resources requirement at stages 2, 3 or 4 of BIPRU 8 Annex 5 are also required to submit this report on a UK consolidation group basis.

Note 3

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.

In both cases, the threshold is exceeded if data element 77A in data item FSA003 (or similar) is greater than £10 million, or its currency equivalent at the reporting date.

Note 4

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.

In both cases, the threshold is exceeded if data element 93A in data item FSA003 (or similar) is greater than £50 million, or its currency equivalent at the reporting date.

Note 5

Only applicable to firms with a CAD2 waiver under GENPRU 2.1.52 R.

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 Modelling Approaches under BIPRU 63.

Note 8

Only applicable to BIPRU investment firms5 that are:

(a) 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;

(b) subject to consolidated supervision under BIPRU 8 that have been granted an investment firm consolidation waiver; and

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

A BIPRU investment firm5 under (a) should complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) should 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 group4 on the reporting date. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.

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

6Note 13

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

6Note 14

Only applicable to firms that undertake securitisations.
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 prudential category and applicable data item (note 1)

BIPRU

Firmsother thanBIPRU firms

730K

125K

50K

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 133

UPRU

Annual accounts

No standard format

Annual reconciliation

No standard format

No standard format

No standard format (note 13)

Annual accounts 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 (note 16)

FSA029 (note 16)

FSA029

FSA029 (note 16) or Section A RMAR (note 17)5

FSA029 (note 16)

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030 (note 16)

FSA030 (note 16)

FSA030

FSA030 (note 16) orSection B RMAR (note 17)5

FSA030 (note 16)

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033 (note 16)

FSA034 or FSA035 (note 14 and 16)

FSA033

FSA032 (note 15 or 5Section D1 and D2 RMAR (note 17)5

FSA036 (note 16)

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 (note 2)

FSA008 (note 2)

FSA008 (note 2)

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)3

5Threshold conditions

Section F RMAR (note 17)

Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039 or Section C RMAR (note 17)

CFTC

FSA040

FSA040

FSA040

FSA040

FSA040

FSA040

FSA040

FSA0403

6IRB portfolio risk

FSA045 (note 18)

FSA045 (note 18)

FSA045 (note 18)

6Securitisation

FSA046 (note 19)

FSA046 (note 19)

FSA046 (note 19)

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 groupsubject to the capital resources requirement at stages 2, 3 or 4 of BIPRU 8 Annex 5 are also required to submit this report on a UK consolidation group basis.

Note 3

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.

In both cases, the threshold is exceeded if data element 77A in data item FSA003 (or similar) is greater than £10 million, or its currency equivalent at the reporting date.

Note 4

This is only applicable to a firm where, at the annual review of this requirement, following its accounting reference date,

(a) for a firm that was reporting this data item or similar in the previous year, one or both of the last two submissions in the previous year show that the threshold was exceeded; or

(b) for a firm that was not reporting this data item or similar in the previous year, both of the last two submissions in the previous year show that the threshold was exceeded;

and in either case the FSA has notified the firm that it is required to submit the data item in accordance with the above.

In both cases, the threshold is exceeded if data element 93A in data item FSA003 (or similar) is greater than £50 million, or its currency equivalent at the reporting date.

Note 5

Only applicable to firms with a CAD2 waiver under GENPRU 2.1.52 R.

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 Modelling Approachesunder BIPRU 6.3

Note 8

Only applicable to BIPRU investment firms5that are:

(a) 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;

(b) subject to consolidated supervision under BIPRU 8 that have been granted an investment firm consolidation waiver; and

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

A BIPRU investment firm5under (a) should complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) should 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 group4 on the reporting date. Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.

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

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

The annual data item to be submitted is additional to the fourth quarterly return to be submitted. The information to be submitted in the annual data item must (except for exempt CAD firms or firms subject to the small firms audit exemption) be audited before it is submitted.

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 to use the IRB approach and BIPRU 4.

6Note 19

Only applicable to firms that undertakesecuritisations.
APER 4.2.7ERP
Behaviour of the type referred to in APER 4.2.6 E includes, but is not limited to, recommending transactions in investments to a customer without a reasonable understanding of the liability (either potential or actual) of that transaction.
APER 4.2.9ERP
Behaviour of the type referred to in APER 4.2.8 E includes, but is not limited to, trading on the firm's own account without a reasonable understanding of the liability (either potential or actual) of the transaction.
FEES 6.7.6RRP
If a firm ceases to be a participant firm part way through a financial year of the compensation scheme:(1) it will remain liable for any unpaid levies which the FSCS has already made on the firm; and(2) the FSCS may make a levy upon it (which may be before or after the firmhas ceased to be a participant firm, but must be before it ceases to be an authorised person) for the costs which it would have been liable to pay had the FSCS made a levy on all participant firms at the time
LR 10.8.1GRP
(1) A listed company in severe financial difficulty may find itself with no alternative but to dispose of a substantial part of its business within a short time frame to meet its ongoing working capital requirements or to reduce its liabilities. Due to time constraints it may not be able to prepare a circular and convene an extraordinary general meeting to obtain prior shareholder approval.(2) The FSA may modify the requirements in LR 10.5 to prepare a circular and to obtain shareholder
SUP 18.4.4GRP
For a transfer to another friendly society, if the conditions of 87(1) and 87(2) of the Friendly Societies Act 1992 are met a report is required from the appropriate actuary of the transferee to confirm that it will meet the required minimum margin. Where the conditions of 87(1) and 87(3) are met the FSA may require a report from the appropriate actuary of the transferee to confirm that it will have an excess of assets over liabilities.
SUP 18.4.25GRP
The criteria that the FSA must use in determining whether to confirm a proposed amalgamation or transfer are set out in schedule 15 to the Friendly Societies Act 1992. These criteria include that:(1) confirmation must not be given if the FSA considers that:(a) there is a substantial risk that the successor society or transferee will be unable lawfully to carry out the engagements to be transferred to it;(b) information material to the members' decision about the amalgamation or
SUP 18.4.37GRP
The FSA will not decide whether to confirm the transfer or amalgamation at the hearing. A copy of its written decision, including its findings on the points made in representations, will be sent to the society(ies) and to those making representations. It will also be available to any other person on request and may be published.
BIPRU 2.3.3GRP
Interest rate risk in the non-trading book may arise from a number of sources for example:(1) risks related to the mismatch of repricing of assets and liabilities and off balance sheet short and long-term positions;(2) risks arising from hedging exposure to one interest rate with exposure to a rate which reprices under slightly different conditions;(3) risk related to the uncertainties of occurrence of transactions e.g. when expected future transactions do not equal the actual
BIPRU 2.3.10GRP
Under GENPRU 1.2.60 R, a firm is required to make a written record of its assessments made under GENPRU 1.2. A firm's record of its approach to evaluating and managing interest rate risk as it affects the firm's non-trading activities should cover the following issues:(1) the internal definition of and boundary between "banking book" and "trading activities" (see BIPRU 1.2);(2) the definition of economic value and its consistency with the method used to value assets and liabilities
DTR 4.1.11RRP
The management report required by DTR 4.1.8 R must also give an indication of:(1) any important events that have occurred since the end of the financial year;(2) the issuer's likely future development;(3) activities in the field of research and development;(4) the information concerning acquisitions of own shares prescribed by Article 22 (2) of Directive 77/91/EEC;(5) the existence of branches of the issuer; and(6) in relation to the issuer's use of financial instruments and where
DTR 4.1.12RRP
(1) Responsibility statements must be made by the persons responsible within the issuer.(2) The name and function of any person who makes a responsibility statement must be clearly indicated in the responsibility statement.(3) For each person making a responsibility statement, the statement must set out that to the best of his or her knowledge:(a) the financial statements, prepared in accordance with the applicable set of accounting standards, give a true and fair view of the
DTR 4.2.5RRP
(1) This rule applies to an issuer that is not required to prepare consolidated accounts.(2) In preparing the condensed balance sheet and the condensed profit and loss account an issuer must follow the same principles for recognising and measuring as when preparing annual financial reports.[Note: article 5(3) of the TD](3) The balance sheet and the profit and loss account must show each of the headings and subtotals included in the most recent annual financial statements of the
DTR 4.2.10RRP
(1) Responsibility statements must be made by the persons responsible within the issuer. [Note: article 5(2)(c) of the TD](2) The name and function of any person who makes a responsibility statement must be clearly indicated in the responsibility statement.[Note: article 5(2)(c) of the TD](3) For each person making a responsibility statement, the statement must confirm that to the best of his or her knowledge:(a) the condensed set of financial statements, which has been prepared
COND 2.4.2GRP
(1) Threshold condition 4 (Adequate resources), requires the FSA to ensure that a firm has adequate resources in relation to the specific regulated activity or regulated activities which it seeks to carry on, or carries on.(2) In this context, the FSA will interpret the term 'adequate' as meaning sufficient in terms of quantity, quality and availability, and 'resources' as including all financial resources, non-financial resources and means of managing its resources; for example,
COLL 6.3.6GRP

Table: This table belongs to COLL 6.3.2 G (2) (a) and COLL 6.3.3 R (Valuation)1.

Valuation and pricing

1

The valuation of scheme property

(1)

Where possible, investments should be valued using a reputable source. The reliability of the source of prices should be kept under regular review.

(2)

For some or all of the investments comprising the scheme property, different prices may quoted according to whether they are being bought (offer prices) or sold (bid prices). The valuation of a single-priced authorised fund should reflect the mid-market value of such investments. In the case of a dual-priced authorised fund, the issue basis of the valuation will be carried out by reference to the offer prices of investments and the cancellation basis by reference to the bid prices of those same investments. The prospectus should explain how investments will be valued for which a single price is quoted for both buying and selling.1

1

3(2A)

Schemes investing in money market instrumentsshould value such instruments on an amortised cost basis on condition that the scheme is a qualifying money market fund.

(3)

Any part of the scheme property of an authorised fund that is not an investment should be valued at a fair value, but for immovables this is subject to COLL 5.6.20 R (3) (f) (Standing independent valuer and valuation).

(4)

For the purposes of (2) and (3), any fiscal charges, commissions, professional fees or other charges that were paid, or would be payable on acquiring or disposing of the investment or other part of the scheme property should, in the case of a single-priced authorised fund,2 be excluded from the value of an investment or other part of the scheme property. In the case of a dual-priced authorised fund, any such payments should be added to the issue basis of the valuation, or subtracted from the cancellation basis of the valuation, as appropriate. Alternatively, the prospectus of a dual-priced authorised fund may prescribe any other method of calculating unitprices that ensures an equivalent treatment of the effect of these payments.2

(5)

Where the authorised fund manager has reasonable grounds to believe that:

it should value an investment at a price which, in its opinion, reflects a fair and reasonable price for that investment (the fair value price);

(6)

The circumstances which may give rise to a fair value price being used include:

  • no recent trade in the security concerned; or
  • the occurrence of a significant event since the most recent closure of the market where the price of the security is taken.
In (b), a significant event is one that means the most recent price of a security or a basket of securities is materially different to the price that it is reasonably believed would exist at the valuation point had the relevant market been open.

(7)

In determining whether to use such a fair value price , the authorised fund manager should include in his consideration:

(8)

The authorised fund manager should document the basis of valuation (including any fair value pricing policy) and, where appropriate, the basis of any methodology and ensure that the procedures are applied consistently and fairly.

(9)

Where a unit price is determined using properly applied fair value prices in accordance with policies in (8), subsequent information that indicates the price should have been different from that calculated will not normally give rise to an instance of incorrect pricing.

2

The pricing controls of the authorised fund manager

(1)

An authorised fund manager needs to be able to demonstrate that it has effective controls over its calculations of unit prices.

(2)

The controls referred to in (1) should ensure that:

  • asset prices are accurate and up to date;
  • investment 1transactions are accurately and promptly reflected in valuations;
  • the components of the valuation (including stock, cash, and units in issue1), are regularly reconciled to their source or prime records and any reconciling items resolved promptly and debtors reviewed for recoverability;
  • the sources of prices not obtained from the main pricing source are recorded and regularly reviewed;
  • compliance with the investment and borrowing powers is regularly reviewed;
  • dividends are accounted for as soon as securities1 are quoted ex-dividend (unless it is prudent to account for them on receipt):
  • fixed interest dividends, interest and expenses are accrued at each valuation point1;
  • tax positions are regularly reviewed and adjusted, if necessary;
  • reasonable tolerances are set for movements in the key elements of a valuation and movements outside these tolerances are investigated; and
  • the fund manager regularly reviews the portfolio valuation for accuracy.

(3)

In exercising its pricing controls, the authorised fund manager may exercise reasonable discretion in determining the appropriate frequency of the operation of the controls and may choose a longer interval, if appropriate, given the level of activity on the authorised fund1or the materiality of any effect on the price.

(4)

Evidence of the exercise of the pricing controls should be retained.

(5)

Evidence of persistent or repetitive errors in relation to these matters, and in particular any evidence of a pattern of errors working in an authorised fund manager's favour, will make demonstrating effective controls more difficult.

(6)

Where the pricing1function is delegated to a third party, COLL 6.6.15 R (1) (Committees and delegation) will apply.

3

The depositary's review of the authorised fund manager's systems and controls

(1)

This section provides details of the types of checks a depositary should carry out to be satisfied that the authorised fund manager adopts systems and controls which are appropriate to ensure that prices of units are calculated in accordance with this section and to ensure that the likelihood of incorrect prices will be minimised. These checks also apply where an authorised fund manager has delegated all or some of its pricing1 functions to a third party.

(2)

A depositary should thoroughly review an authorised fund manager's systems and controls to confirm that they are satisfactory. The depositary's review should include an analysis of the controls in place to determine the extent to which reliance can be placed on them.

(3)

A review should be performed when the depositary is appointed and thereafter as it feels appropriate given its knowledge of the robustness and the stability of the systems and controls and their operation.

(4)

A review should be carried out more frequently where a depositary knows or suspects that an authorised fund manager's systems and controls are weak or are otherwise unsatisfactory.

(5)

Additionally, a depositary should from time to time review other aspects of the valuation of the scheme property of each authorised fund for which it is responsible, verifying, on a sample basis, if necessary, the assets, liabilities, accruals, units in issue1, securities prices (and in particular the prices of unapproved securities and the basis for the valuation of unquoted securities) and any other relevant matters, for example an accumulation factor or a currency conversion factor.

(6)

A depositary should ensure that any issues, which are identified in any such review, are properly followed up and resolved.

4

The recording and reporting of instances of incorrect pricing

(1)

An authorised fund manager should record each instance where the price of a unit is incorrect as soon as the error is discovered, and report the fact to the depositary together with details of the action taken, or to be taken, to avoid repetition as soon as practicable.

(2)

In accordance with COLL 6.6.11 G (Duty to inform the FSA), the depositary should report any breach of the rules in COLL 6.3 immediately to the FSA. However, notification should relate to instances which the depositary considers material only.

(3)

A depositary should also report to the FSA immediately any instance of incorrect pricing1where the error is 0.5% or more of the price of a unit, where a depositary believes that reimbursement or payment is inappropriate and should not be paid by an authorised fund manager.

(4)

In accordance with SUP 16.6.8 R, a depositary should also make a return to the FSA on a quarterly basis which summarises the number of instances of incorrect pricing1 during a particular period.

5

The rectification of pricing breaches

(1)

COLL 6.6.3 R (1) (Functions of the authorised fund manager) places a duty on the authorised fund manager to take action to reimburse affected unitholders, former unitholders, and the scheme itself, for instances of incorrect pricing1, except if it appears to the depositary that the breach is of minimal significance.

(2)

A depositary may consider that the instance of incorrect pricing1is of minimal significance if:

(3)

In determining (2), if the instance of incorrect pricing1 is due to one or more factors or exists over a period of time, each price should be considered separately.

(4)

If a depositary deems it appropriate, it may, in spite of the circumstances outlined in (2), require a payment from the authorised fund manager or from the authorised fund to the unitholders, former unitholders, the authorised fund or the authorised fund manager (where appropriate).

(5)

The depositary should satisfy itself that any payments required following an instance of incorrect pricing1 are accurately and promptly calculated and paid.

(6)

If a depositary considers that reimbursement or payment is inappropriate, it should report the matter to the FSA, together with its recommendation and justification. The depositary should take into account the need to avoid prejudice to the rights of unitholders, or the rights of unitholders in a class of units.

(7)

It may not be practicable, or in some cases legally permissible, for the authorised fund manager to obtain reimbursement from unitholders, where the unitholders have benefited from the incorrect price.

(8)

In all cases where reimbursement or payment is required, amounts due to be reimbursed to unitholders for individual sums which are reasonably considered by the authorised fund manager and depositary to be immaterial, need not normally be paid.
REC 2.3.3GRP
In determining whether a UK recognised body has financial resources sufficient for the proper performance of its relevant functions, the FSA may have regard to:(1) the operational and other risks to which the UK recognised body is exposed;(2) if the UK recognised body acts as a central counterparty or otherwise guarantees the performance of transactions in specified investments, the counterparty and market risks to which it is exposed in that capacity; (3) the amount and composition
INSPRU 1.2.60GRP
The rates of mortality or morbidity should contain prudent margins for adverse deviation (see INSPRU 1.2.13 R to INSPRU 1.2.19 G). In setting those rates, a firm should take account of:(1) the systems and controls applied in underwriting long-term insurance contracts and whether they provide adequate protection against anti-selection (that is, selection against the firm) including:(a) adequately defining and identifying non-standard risks; and(b) where such risks are underwritten,
INSPRU 1.2.61GRP
An additional provision for diseases covered by INSPRU 1.2.60G (5)(c) may be needed, in particular for unit-linked policies. In determining whether such a provision is needed a firm may take into consideration any ability to increase product charges commensurately (provided that such increase does not infringe on its regulatory duty to treat its customers fairly), but a provision would still be required for the period until such an increase could be brought into effect.
INSPRU 1.2.62RRP
When a firm establishes its mathematical reserves in respect of a long-term insurance contract, the firm must include an amount to cover any increase in liabilities which might be the direct result of its policyholder exercising an option under, or by virtue of, that contract of insurance. Where the surrender value of a contract is guaranteed, the amount of the mathematical reserves for that contract at any time must be at least as great as the value guaranteed at that time.
BIPRU 3.4.48RRP
Where an exposure to an institution is in the form of minimum reserves required by the European Central Bank or by the central bank of an EEA State to be held by the firm, a firm may assign the risk weight that would be assigned to exposures to the central bank of the EEA State in question provided:(1) the reserves are held in accordance with Regulation (EC) No. 1745/2003 of the European Central Bank of 12 September 2003 or a subsequent replacement regulation or in accordance
BIPRU 3.4.121RRP
Where BIPRU 3.4.116 R does not apply, a firm may determine the risk weight for a CIU as set out in BIPRU 3.4.123 R to BIPRU 3.4.125 R, if the following eligibility criteria are met:(1) one of the following conditions is satisfied:(a) the CIU is managed by a company which is subject to supervision in an EEA State; or(b) the following conditions are satisfied:(i) the CIU is managed by a company which is subject to supervision that is equivalent to that laid down in Community law;
BIPRU 3.4.131RRP
Gold bullion held in own vaults or on an allocated basis to the extent backed by bullion liabilities must be assigned a 0% risk weight.[Note: BCD Annex VI Part 1 point 87]
BIPRU 5.3.3RRP
For on-balance sheet netting agreements - other than master netting agreements covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital market-driven transactions – to be recognised for the purposes of BIPRU 5 the following conditions must be satisfied:(1) they must be legally effective and enforceable in all relevant jurisdictions, including in the event of the insolvency or bankruptcy of a counterparty;(2) the firm must
FIT 2.3.2GRP
The FSA will not normally require the candidate to supply a statement of assets or liabilities. The fact that a person may be of limited financial means will not, in itself, affect his suitability to perform a controlled function.
LR 10.1.4GRP
This chapter is intended to cover transactions that are outside the ordinary course of the listed company's business and may change a security holder's economic interest in the company's assets or liabilities (whether or not the change in the assets or liabilities is recognised on the company's balance sheet).
RCB 3.6.5DRP
Unless otherwise stated, the issuer or the owner, as the case may be, must send the relevant forms and information to the FSA's address marked for the attention of the "Covered Bonds Team, Capital Markets Sector" by any of the following methods:(1) post; or(2) leaving it at the FSA's address and obtaining a time-stamped receipt; or(3) e-mail to rcb@fsa.gov.uk.