Related provisions for BIPRU 3.2.31
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:
11 | Firms' prudential category and applicable data items(note 1)15 |
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BIPRU firms (note 17)2 |
Firmsother thanBIPRU firms |
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730K |
125K and UCITS investment firms |
50K |
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11 | No standard format |
No standard format (note 19)2 |
No standard format2 |
No standard format3 11 |
No standard format3 |
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Annual report and accounts11 of the mixed-activity holding company (note 10) 11 |
No standard format |
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Solvency statement |
No standard format (note 11) |
No standard format (note 20) |
No standard format (note 11)2 |
No standard format (note 11)5 |
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Balance sheet |
FSA001 (note 2) |
FSA001 (note 2) |
FSA001 (note 2) |
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) |
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Market risk |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
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Market risk - supplementary |
FSA006 (note 5) |
FSA006 (note 5) |
FSA006 (note 5) |
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Operational risk |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
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Large exposures |
FSA008 (Notes 2, 6)15 |
FSA008 (Notes 2, 6)15 |
FSA008 (Notes 2, 6)15 |
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UK integrated group large exposures |
FSA018 (note 12) |
FSA018 (note 12) |
FSA018 (note 12) |
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Solo consolidation data |
FSA016 (note 25)11 |
FSA016 (note 25)11 |
FSA016 (note 25)11 |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (note 8) |
FSA019 (note 8) |
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Non-EEA sub-group |
FSA028 (note 9) |
FSA028 (note 9) |
FSA028 (note 9) |
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3Threshold conditions |
24 | |||||||
2Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 (note 18) |
FSA039 |
FSA039 |
Section C RMAR (Note 15)24 or 3FSA039 24 |
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 |
6IRB portfolio risk |
FSA045 (note 22) |
FSA045 (note 22) |
FSA045 (note 22) |
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FSA046 (note 23) |
FSA046 (note 23) |
FSA046 (note 23) |
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13Daily Flows |
FSA047 (Notes 26, 29 and 31) |
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13Enhanced Mismatch Report |
FSA048 (Notes 26, 29 and 31) |
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13Liquidity Buffer Qualifying Securities |
FSA050 (Notes 27, 30 and 31) |
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13Funding Concentration |
FSA051 (Notes 27, 30 and 31) |
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13Pricing data |
FSA052 (Notes 27, 30 and 31) |
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13Retail and corporate funding |
FSA053 (Notes 27, 30 and 31) |
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13Currency Analysis |
FSA054 (Notes 27, 30 and 31) |
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13Systems and Controls Questionnaire |
FSA055 (Note 28) |
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15Securitisation: trading book |
FSA058 (Note 32) |
FSA058 (Note 32) |
FSA058 (Note 32) |
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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. |
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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 |
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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 |
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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 |
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Note 5 |
Only applicable to firms with a VaR model permission.11 1111 |
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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. |
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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 |
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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 |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group4 on the reporting date. 11 |
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Note 10 |
Only applicable to a firm whose ultimate parent is a mixed activity holding company. |
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Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
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Note 12 |
Members of a UK integrated group should only submit this data item at the UK integrated group level. 11 |
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2Note 13 |
This does not apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. |
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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. |
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2Note 15 |
FSA029, FSA030,24 FSA032 and FSA03924 only apply to 24a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1, 24D2 and F24 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11 11242424 |
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2Note 16 |
[deleted]11 11 |
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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. |
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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. |
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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. |
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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. |
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3Note 21 |
[deleted]11 11 |
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6Note 22 |
Only applicable to firms that have an IRB permission.11 11 |
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6Note 23 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations. of non-trading book exposures.15 15 |
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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. |
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11Note 25 |
Only applicable to a firm that has a solo consolidation waiver. |
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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 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 UKDLG 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 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 UKDLG 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 UKDLG by modification, it must complete the item on the basis of that group. |
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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. |
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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). |
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13Note 30 |
Note 29 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately. |
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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 |
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15Note 32 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading bookexposures. |
The applicable data items referred to in SUP 16.12.4 R according to type of firm are set out in the table below:
Firms'15 prudential category and applicable data items (note 1) 15 |
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Firmsother than BIPRU firms |
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730K |
125K andUCITS investment firms |
50K |
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11 | ||||||||
Annual report and accounts11 of the mixed-activity holding company (note 10) 11 |
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No standard format5 |
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Solvency statement (note 11 |
No standard format2 |
No standard format5 |
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No standard format5 |
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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) |
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Market risk |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
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Market risk - supplementary |
FSA006 (note 5) |
FSA006 (note 5) |
FSA006 (note 5) |
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Operational risk |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
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Large exposures |
FSA008 (Notes 2, 615) 15 |
FSA008 (Notes 2, 615) 15 |
FSA008 (Notes 2, 615) 15 |
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UK integrated group large exposures |
FSA018 (note 12) |
FSA018 (note 12) |
FSA018 (note 12) |
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Solo consolidation data |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (note 8) |
FSA019 (note 8) |
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Non-EEA sub-group |
FSA028 (note 9) |
FSA028 (note 9) |
FSA028 (note 9) |
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5Threshold conditions |
Section F RMAR (note 1511) 11 |
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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 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
|
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
|
6IRB portfolio risk |
FSA045 (note 18) |
FSA045 (note 18) |
FSA045 (note 18) |
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FSA046 (note 19) |
FSA046 (note 19) |
FSA046 (note 19) |
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13Daily Flows |
FSA047 (Notes 23, 26 and 28) |
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13Enhanced Mismatch Report |
FSA048 (Notes 23, 26 and 28) |
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13Liquidity Buffer Qualifying Securities |
FSA050 (Notes 24, 27 and 28) |
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13Funding Concentration |
FSA051 (Notes 24, 27 and 28) |
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13Pricing data |
FSA052 (Notes 24, 27 and 28) |
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13Retail and corporate funding |
FSA053 (Notes 24, 27 and 28) |
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13Currency Analysis |
FSA054 (Notes 24, 27 and 28) |
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13Systems and Controls Questionnaire |
FSA055 (Note 25) |
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15Securitisation: trading book |
FSA058 (Note 29) |
FSA058 (Note 29) |
FSA058 (Note 29) |
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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. |
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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 |
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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 |
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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 |
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Note 5 |
Only applicable to firms with a VaR model permission.11 11 |
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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. |
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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 approach11under BIPRU 63. 11 |
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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 |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group4 on the reporting date. 11 |
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Note 10 |
Only applicable to a firm whose ultimate parent is a mixed-activity holding company. |
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Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
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Note 12 |
Members of a UK integrated group should only submit this data item at the UK integrated group level. 11 |
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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 |
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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. |
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2Note 15 |
FSA029, FSA030,2411 FSA032 and FSA039 only apply to24 a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. 5Sections A, B, C, D1, 24D2 and F24 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11 242424 |
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2Note 16 |
[deleted]8 8 |
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5Note 17 |
[deleted]11 11 |
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6Note 18 |
Only applicable to firms that have an IRB permission.11 11 |
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6Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations of non-trading bookexposures15. |
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11Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
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11Note 21 |
Only applicable to firms that have a managing investments permission. |
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11Note 22 |
Only applicable to firms that have permission for establishing, operating or winding up a regulated collective investment scheme. |
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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. |
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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. |
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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. |
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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). |
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13Note 27 |
Note 26 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately. |
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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 |
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15Note 29 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading bookexposures. |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firms'15 prudential category and applicable data item (note 1) 15 |
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Exempt CAD firmssubject toIPRU(INV)Chapter 13 |
Firms(other thanexempt CAD firms) subject toIPRU(INV)Chapter 13 |
Firmsthat are also in one or more ofRAGs1 to 6 and not subject toIPRU(INV)Chapter 13 |
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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) |
FSA02924 |
Section A RMAR |
|
Income Statement |
FSA002 (note 2) |
FSA002 (note 2) |
FSA002 (note 2) |
FSA03024 24 |
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) |
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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 BIPRUlimited activity firms or BIPRUlimited 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 BIPRUinvestment 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 a firm that is a sole trader or a partnership, when the report must be submitted by each partner.24 24 |
|||||
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 bookexposures15. |
|||||
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 bookexposures. |
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 |
|||||||
Firmsother thanBIPRU firms |
||||||||
730K |
125K |
50K |
IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 9 |
|||
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) |
|||||||
Client money and client assets11 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (Note 13) or 24FSA039 |
FSA03911 24 |
6IRB portfolio risk |
FSA045 (note 18) |
FSA045 (note 18) |
FSA045 (note 18) |
|||||
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 approach11under BIPRU 6.3 11 |
|||||||
Note 8 |
Only applicable to BIPRU investment firms5that : (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 firm5under (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. 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 |
FSA039 must only be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section C RMAR must only be completed by a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.24 24 |
|||||||
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. |
|||||||
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 bookexposures15. 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 bookexposures. |
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 approved money-market instruments5should value such instruments on an amortised cost basis on condition that:5
|
|
[Note:CESR's UCITS eligible assets guidelines with respect to article 4(2) of the UCITS eligible assets Directive] |
||
(2B) |
Short-term money market funds may value approved money-market instruments on an amortised cost basis.7 |
|
[Note: paragraph 21 of CESR's guidelines on a common definition of European money market funds]7 |
||
(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:
|
|
(6) |
The circumstances which may give rise to a fair value price being used include:
|
|
(7) |
In determining whether to use such a fair value price , the authorised fund manager should include in his consideration:
|
|
4(7A) |
Where the authorised fund manager, the depositary or the standing independent valuer have reasonable grounds to believe that the most recent valuation of an immovable does not reflect the current value of that immovable, the authorised fund manager should consult and agree with the standing independent valuer a fair and reasonable value for the immovable. |
|
(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:
|
|
(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 one or more third parties5. 5 |
|
(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 OTC derivatives,5unapproved 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:
|
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(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. |
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(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). |
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(5) |
The depositary should satisfy itself that any payments required following an instance of incorrect pricing1 are accurately and promptly calculated and paid. |
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(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. |
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(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. |
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(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. |