Related provisions for GENPRU 2.2.123

GENPRU 2.2.1R31/12/2006

This section applies to:(1) a BIPRU firm; and(2) an insurer unless it is:(a) a non-directive friendly society; or(b) a Swiss general insurer; or(c) an EEA-deposit insurer; or(d) an incoming EEA firm; or(e) an incoming Treaty firm.

GENPRU 2.2.4G31/12/2006

This section also implements minimum EC standards for the composition of capital resources required to be held by a BIPRU firm. In particular it implements Articles 56 – 61, Articles 63 – 64, Article 66 and Articles 120 – 122 of the Banking Consolidation Directive (2006/48/EC) and Articles 12 – 16, Article 17 (in part), Article 22(1)(c) (in part) and paragraphs 13 - 15 of Part B of Annex VII of the Capital Adequacy Directive (2006/49/EC).

GENPRU 2.2.6G31/12/2010

This table belongs to GENPRU 2.2.5 G

Topic	Location of text
Application and purpose of the rules in this section	GENPRU 2.2.1 R to GENPRU 2.2.4 G
BIPRU firms that only have simple types of capital resources (simple capital issuers)	GENPRU 2.2.7 G
Principles underlying the definition of capital resources	GENPRU 2.2.8 G
Which method of calculating capital resources applies to which type of firm	GENPRU 2.2.17 R to GENPRU 2.2.19 R
Purpose of the limits on the use of different forms of capital	GENPRU 2.2.24 G
Use of higher tier capital in lower tiers	GENPRU 2.2.25 R to GENPRU 2.2.28 R
Calculation of capital resources for insurers	GENPRU 2.2.22 G to GENPRU 2.2.23 G; GENPRU 2 Annex 1
Limits on the use of different forms of capital for insurer (capital resources gearing rules for insurer)	GENPRU 2.2.29 R to GENPRU 2.2.41 R
Calculation of capital resources for banks	GENPRU 2 Annex 2
Calculation of capital resources for building societies	GENPRU 2 Annex 3
Limits on the use of different forms of capital for banks and building societies (certain types of capital resources cannot be used for certain purposes)	GENPRU 2.2.44 R8 to GENPRU 2.2.45 R; GENPRU 2.2.47 R to GENPRU 2.2.48 R 8
Limits on the use of different forms of capital for banks and building societies (capital resources gearing rules)	GENPRU 2.2.29 R to GENPRU 2.2.31 G; GENPRU 2.2.46 R; GENPRU 2.2.49 R
Calculation of capital resources for BIPRU investment firms	GENPRU 2.2.20 G to GENPRU 2.2.21 G; GENPRU 2 Annex 4 to GENPRU 2 Annex 6
Limits on the use of different forms of capital for BIPRU investment firms (certain types of capital resources cannot be used for certain purposes)	GENPRU 2.2.44 R8 to GENPRU 2.2.45 R; GENPRU 2.2.47 R to GENPRU 2.2.48 R 8
Limits on the use of different forms of capital for BIPRU investment firms (capital resources gearing rules)	GENPRU 2.2.29 R to GENPRU 2.2.31 G; GENPRU 2.2.46 R; GENPRU 2.2.50 R
Example of how the capital resources calculation for BIPRU firms works	GENPRU 2.2.51 G to GENPRU 2.2.59 G
Capital used to meet the base capital resources requirement for BIPRU firms	GENPRU 2.2.60 R to GENPRU 2.2.61 G
Tier one capital instruments: general	GENPRU 2.2.9 G to GENPRU 2.2.10 G; GENPRU 2.2.62 R to GENPRU 2.2.69 G; GENPRU 2.2.80 R to GENPRU 2.2.82 G
8 Tier one capital: payment of coupons (BIPRU firm only)	GENPRU 2.2.69A R to GENPRU 2.2.69F G
Core tier one capital: permanent share capital	GENPRU 2.2.83 R to 10GENPRU 2.2.84A G10
10General conditions for eligibility of capital instruments as core tier one capital (BIPRU firm only)	GENPRU 2.2.83A R to GENPRU 2.2.83D G; GENPRU 2.2.84A G
10 Core tier one capital: exception to eligibility criteria (building societies only)	GENPRU 2.2.83E R to GENPRU 2.2.83H G
Core tier one capital: profit and loss account and other reserves: material applicable to all firms	GENPRU 2.2.85 R; GENPRU 2.2.87 R to GENPRU 2.2.89 G; GENPRU 2.2.91 G
Core tier one capital: profit and loss account and other reserves: material specific to BIPRU firms	GENPRU 2.2.86 R; GENPRU 2.2.90 R; GENPRU 2.2.92 G
Core tier one capital: provisions relating to partnerships and limited liability partnerships	GENPRU 2.2.93 R to GENPRU 2.2.100 R
Core tier one capital: share premium account	GENPRU 2.2.101 R
Core tier one capital: externally verified interim net profits	GENPRU 2.2.102 R to GENPRU 2.2.103 G
Core tier one capital: valuation differences and fund for future appropriations for insurer	GENPRU 2.2.104 R to GENPRU 2.2.108 R
Core tier one capital: deferred shares (building society only)	GENPRU 2.2.108A R to GENPRU 2.2.108B G
Tier one capital: perpetual non-cumulative preference shares (insurer only)8	GENPRU 2.2.109 R to GENPRU 2.2.110 G
Innovative tier one capital (excluding issues through SPVs) (insurer only)8	GENPRU 2.2.76 R; GENPRU 2.2.113 R to GENPRU 2.2.122 G
8 Hybrid capital (excluding issues through SPVs) (BIPRU firm only)	GENPRU 2.2.115A R to GENPRU 2.2.119 G
Hybrid capital 8 (issues through SPVs) (BIPRU firm only)8 8	GENPRU 2.2.123 R to GENPRU 2.2.137 R
Tier one capital: conversion ratio	GENPRU 2.2.138 R to GENPRU 2.2.144 G
Tier one capital: requirement to have sufficient unissued stock	GENPRU 2.2.145 R
Deductions from tier one capital resources	GENPRU 2.2.155 R to GENPRU 2.2.156 G
Tier two capital	GENPRU 2.2.11 G; GENPRU 2.2.157 G to GENPRU 2.2.197 G
Deductions from tier one capital resources and tier two capital resources	GENPRU 2.2.202 R to GENPRU 2.2.240 G
Tier three capital	GENPRU 2.2.12 G; GENPRU 2.2.241 R to GENPRU 2.2.249 R
Deductions from total capital resources	GENPRU 2.2.14 G to GENPRU 2.2.16 G; GENPRU 2.2.250 R to GENPRU 2.2.265 R
The effect of swaps	GENPRU 2.2.198 R to GENPRU 2.2.201 R
Step-ups (Tier one capital and tier two capital)	GENPRU 2.2.76 R; GENPRU 2.2.146 R to GENPRU 2.2.154 G
Redemption of tier one instruments	GENPRU 2.2.64R (3); GENPRU 2.2.70 R to GENPRU 2.2.79 G
8Purchases of tier one instruments: BIPRU firm only	GENPRU 2.2.79A R to GENPRU 2.2.79H G; GENPRU 2.2.79L G10
Redemption of tier two instruments	GENPRU 2.2.172 R to GENPRU 2.2.174 R; GENPRU 2.2.177 R to GENPRU 2.2.178 R (upper tier two instruments); GENPRU 2.2.194 R to GENPRU 2.2.197 G (lower tier two instruments)
Non-standard capital instruments	GENPRU 2.2.13 G
Standard form documentation for subordinated debt	GENPRU 2.2.164 G
Public sector guarantees	GENPRU 2.2.276 R
Other capital resources for insurers: unpaid share capital or unpaid initial funds and calls for supplementary contributions	GENPRU 2.2.266 G to GENPRU 2.2.269 G
Additional requirements for insurer carrying on with-profits insurance business	GENPRU 2.2.270 R to GENPRU 2.2.275 G

GENPRU 2.2.7G23/03/2007

Parts of this section are irrelevant to a BIPRU firm whose capital resources consist of straightforward capital instruments. Therefore the FSA's Personal handbooks facility available on its website allows a BIPRU firm to screen out those parts of this section that are not relevant to a simple capital issuer.2

GENPRU 2.2.9G31/12/2010

Tier one capital typically has the following characteristics:(1) it is able to absorb losses;(2) it is permanent or (in the case of a BIPRU firm) available when required;8(3) it ranks for repayment upon winding up, administration or similar procedure after all other debts and liabilities; and(4) it has no fixed costs, that is, there is no inescapable obligation to pay dividends or interest.

GENPRU 2.2.11G31/12/2006

Tier two capital includes forms of capital that do not meet the requirements for permanency and absence of fixed servicing costs that apply to tier one capital. Tier two capital includes, for example:(1) capital which is perpetual (that is, has no fixed term) but cumulative (that is, servicing costs cannot be waived at the issuer's option, although they may be deferred – for example, cumulative preference shares); only perpetual capital instruments may be included in upper tier

GENPRU 2.2.15G31/12/2006

Deductions should also be made, in the case of certain BIPRU investment firms for illiquid assets (see GENPRU 2.2.19 R).

GENPRU 2.2.18R31/12/2006

In the case of a BIPRU firm the capital resources table also sets out how the capital resources requirement is deducted from capital resources in order to decide whether its capital resources equal or exceed its capital resources requirement.

GENPRU 2.2.19R31/12/2006

This table belongs to GENPRU 2.2.17 R

Type of firm	Location of rules	Remarks
Insurer	GENPRU 2 Annex 1
Bank	GENPRU 2 Annex 2
Building society	GENPRU 2 Annex 3
BIPRU investment firm without an investment firm consolidation waiver	GENPRU 2 Annex 4 (Deducts material holdings)	Applies to a BIPRU investment firm not using GENPRU 2 Annex 5 or GENPRU 2 Annex 6
BIPRU investment firm without an investment firm consolidation waiver	GENPRU 2 Annex 5 (Deducts illiquid assets)	A BIPRU investment firm must give one Month's prior notice to the FSA before starting to use or stopping using this method
BIPRU investment firm with an investment firm consolidation waiver	GENPRU 2 Annex 6 (Deducts illiquid assets and material holdings)	A firm with an investment firm consolidation waiver must use this method. No other BIPRU investment firm may use it.

GENPRU 2.2.20G31/12/2006

GENPRU 2.2.19 R sets out three different methods of calculating capital resources for BIPRU investment firms. The differences between the three methods relate to whether and how material holdings and illiquid assets are deducted when calculating capital resources. The method depends on whether a firm has an investment firm consolidation waiver. If a firm does have such a waiver, it should deduct illiquid assets, own groupmaterial holdings and certain contingent liabilities. If

GENPRU 2.2.26AR31/12/2010

8A dated item of tier one capital which is included in a BIPRU firm'stier two capital resources under GENPRU 2.2.25 R is not subject to the requirement to have no fixed maturity date in GENPRU 2.2.177R (1).

GENPRU 2.2.28R31/12/2010

In the case of a BIPRU firm, the8 requirement to obtain a legal opinion in GENPRU 2.2.159R (12) does not apply to hybrid capital treated under GENPRU 2.2.25 R8 but the requirements to obtain a legal opinion in GENPRU 2.2.118 R continue to apply.88

GENPRU 2.2.30AR31/12/2010

8In relation to the tier one capital resources of a BIPRU firm, calculated at stage F of the calculation in the capital resources table (Total tier one capital after deductions):(1) no more than 50% may be accounted for by hybrid capital;(2) no more than 35% may be accounted for by hybrid capital included at stages B2 and C of the calculation in the capital resources table; and (3) no more than 15% may be accounted for by hybrid capital included at stage C of the calculation in

GENPRU 2.2.31G31/12/2010

The purpose of the requirements8 in GENPRU 2.2.29 R and GENPRU 2.2.30AR (1) is to ensure that the firm'stier one capital resources includes a minimum proportion of core tier one capital which provides the highest quality capital.8 Within the 50% limit on non-core tier one capital:88(1) 8GENPRU 2.2.30 R places a further sub-limit on the amount of innovative tier one capital that an insurer may include in its tier one capital resources; and(2) 8GENPRU 2.2.30AR (2) and GENPRU 2.2.30AR

GENPRU 2.2.44R31/12/2006

Tier one capital and tier two capital are the only type of capital resources that a BIPRU firm may use for the purpose of meeting:(1) the credit risk capital component;(2) the operational risk capital requirement;(3) the counterparty risk capital component; and(4) the base capital resources requirement.

GENPRU 2.2.45R31/12/2006

GENPRU 2.2.44 R (and the capital resources gearing rules that relate to it) also applies for the purposes of any other requirement in the Handbook for which it is necessary to calculate the capital resources of a BIPRU firm, except for the purposes described in GENPRU 2.2.47 R and except as may otherwise be stated in the relevant part of the Handbook.

GENPRU 2.2.46R31/12/2006

For the purpose of GENPRU 2.2.44 R:(1) the amount of the items which may be included in a BIPRU firm'stier two capital resources must not exceed the amount calculated at stage F of the calculation in the capital resources table (Total tier one capital after deductions); and(2) the amount of the items which may be included in a BIPRU firm'slower tier two capital resources must not exceed 50% of the amount calculated at stage F of the calculation in the capital resources table.

GENPRU 2.2.47R31/12/2006

For the purposes of meeting:(1) the market risk capital requirement; (2) the concentration risk capital component; and(3) the fixed overheads requirement (where applicable);a BIPRU firm may only use the following parts of its capital resources:(4) tier one capital to the extent that it is not required to meet the requirements in GENPRU 2.2.44 R (GENPRU 2.2.48 R explains how to calculate how much tier one capital is required to meet the requirements in GENPRU 2.2.44 R);(5) tier

GENPRU 2.2.49R31/12/2006

For the purpose of meeting the requirements in GENPRU 2.2.47R (1) to GENPRU 2.2.47R (3) and subject to GENPRU 2.2.50 R, a BIPRU firm must not include any item in either:(1) its tier two capital resources falling within GENPRU 2.2.47R (6) (excess tier two capital); or(2) its upper tier three capital resources;to the extent that the sum of (1) and (2) would exceed 250% of the amount resulting from the following calculation:(3) calculate the amount at stage F of the calculation in

GENPRU 2.2.50R31/12/2006

In relation to a BIPRU investment firm which calculates its capital resources under GENPRU 2 Annex 4 (Capital resources table for a BIPRU investment firm deducting material holdings), the figure of 200% replaces that of 250% in GENPRU 2.2.49 R.

GENPRU 2.2.52G31/12/2010

This table belongs to GENPRU 2.2.51 G

Description of the stage of the capital resources calculation	Stage in the capital resources table	Amount (£)
Total tier one capital after deductions 8	Stage F	80
Total tier two capital 8	Stage K	80
Deductions	Stage M	(20)
Total tier one capital and tier two capital after deductions	Stage N	140
Upper tier three capital (this example assumes the firm has no lower tier three capital (trading book profits))	Stage Q	50
Total capital resources	Stage T	190

GENPRU 2.2.56G31/12/2006

This table belongs to GENPRU 2.2.55 G

Description of the stage of the capital resources calculation	Stage in the capital resources table	Amount (£)
Total tier one capital and tier two capital after deductions	Stage N	140
Credit, operational, and counterparty1 risk requirement		(100)
Tier one capital and tier two capital available to meet market risk requirement		40
Tier three capital	Stage Q	50
Total capital available to meet market risk requirement		90
Market risk requirement		(90)
Market risk requirement met subject to meeting gearing limit set out in GENPRU 2.2.49 R – see GENPRU 2.2.57 G

GENPRU 2.2.60R31/12/2006

A BIPRU firm may use the capital resources used to meet the base capital resources requirement to meet any other part of the capital resources requirement.

GENPRU 2.2.68AR31/12/2010

8A BIPRU firm must not include a capital instrument in its tier one capital resources if:(1) the capital instrument is affected by a dividend stopper; and (2) the dividend stopper operates in a way that hinders recapitalisation.

GENPRU 2.2.69AR31/12/2010

8A BIPRU firm must not make a payment of a coupon on an item of hybrid capital if the firm has no distributable reserves.

GENPRU 2.2.69BR31/12/2010

8A BIPRU firm must cancel the payment of a coupon on an item of hybrid capital if the BIPRU firm does not meet its capital resources requirement or if the payment of that coupon would cause it to breach its capital resources requirement.

GENPRU 2.2.69CR31/12/2010

8A BIPRU firm must not pay a coupon on an item of hybrid capital in the form of core tier one capital in accordance with GENPRU 2.2.64R (4)(b) unless:(1) the firm meets its capital resources requirement; and(2) such a substituted payment preserves the firm's financial resources.

GENPRU 2.2.69DG31/12/2010

8The FSA considers that a BIPRU firm's financial resources are not preserved under GENPRU 2.2.69CR (2) unless, among other things, the conditions of the substituted payment are that:(1) there is no decrease in the amount of the firm'score tier one capital;(2) the deferred coupon is satisfied without delay using newly issued core tier one capital that has an aggregate fair value no more than the amount of the coupon;(3) the firm is not obliged to find new investors for the newly

GENPRU 2.2.69ER31/12/2010

8A BIPRU firm must cancel the payment of a coupon if circumstances arise whereby the payment of the coupon by newly issued instruments, in accordance with GENPRU 2.2.64R (4)(b), does not comply with the requirements of GENPRU 2.2.69C R.

GENPRU 2.2.69FG31/12/2010

(1) 8In relation to the cancellation or deferral of the payment of a coupon in accordance with GENPRU 2.2.64R (4) and GENPRU 2.2.64R (5), GENPRU 2.2.68A R, or GENPRU 2.2.69B R, the FSA expects that situations where a coupon may need to be cancelled or deferred will be resolved through analysis and discussion between the firm and the FSA. If the FSA and the firm do not agree on the cancellation or deferral of the payment of a coupon, then the FSA may consider using its powers

GENPRU 2.2.70R31/12/2010

A firm may not include a capital instrument in its tier one capital resources, unless its contractual terms are such that:(1) (if it is redeemable other than in circumstances set out in GENPRU 2.2.64R (3)(a) (redemption on a winding up)) it is redeemable only at the option of the firm or, in the case of a BIPRU firm, on the date of maturity;88(2) the firm cannot exercise that redemption right:(a) before the fifth anniversary of its date of issue;(b) unless it has given notice

GENPRU 2.2.70AG31/12/2010

8In the case of a BIPRU firm, an incentive to redeem is a feature of a capital instrument that would lead a reasonable market participant to have an expectation that the firm will redeem the instrument. The FSA considers that interest rate step-ups and principal stock settlements, in conjunction with a call option, are incentives to redeem. Only instruments with moderate incentives to redeem are permitted as tier one capital, in accordance with the limited conversion ratio in

GENPRU 2.2.74R31/12/2010

A firm must not redeem any tier one instrument that it has included in its tier one capital resources unless it has notified the FSA of its intention at least one month before it becomes committed to do so. When giving notice, the firm must provide details of its position after such redemption in order to show how it will:77(1) meet its capital resources requirement;78(2) 7have sufficient financial resources to meet the overall financial adequacy rule; and8(3) 8in the case of

GENPRU 2.2.74BR31/12/2010

8If a BIPRU firm does not comply with its capital resources requirement or if the redemption of any dated tier one instrument would cause it to breach its capital resources requirement, it must suspend the redemption of its dated tier one instruments.

GENPRU 2.2.79AR31/12/2010

8A BIPRU firm must not purchase a tier one instrument that it has included in its tier one capital resources unless:(1) the firm initiates the purchase;(2) 10[deleted]10(3) the firm has given notice to the FSA in accordance with GENPRU 2.2.79G R; and10(4) 10(in the case of hybrid capital) it is on or after the fifth anniversary of the date of issue of the instrument.

GENPRU 2.2.79BG31/12/2010

8In exceptional circumstances a BIPRU firm may apply for a waiver of GENPRU 2.2.79AR (4) under section 148 (Modification or waiver of rules) of the Act.10

GENPRU 2.2.79GR31/12/2010

8A BIPRU firm must not purchase a tier one instrument in accordance with GENPRU 2.2.79A R unless it has notified the FSA of its intention at least one month before it becomes committed to doing so. When giving notice, the firm must provide details of its position after the purchase in order to show how, over an appropriate timescale, adequately stressed, and without planned recourse to the capital markets, it will:(1) meet its capital resources requirement; and(2) have sufficient

GENPRU 2.2.79IR31/12/2010

10A BIPRU firm must not announce to the holders of a tier one instrument its intention to purchase that instrument unless it has notified that intention to the FSA in accordance with GENPRU 2.2.79G R and it has not, during the period of one month from the date of giving notice, received an objection from the FSA.

GENPRU 2.2.79JR31/12/2010

10If a BIPRU firm announces the purchase of any tier one instrument, the firm must no longer include that instrument in its tier one capital resources.

GENPRU 2.2.79KR31/12/2010

10If a BIPRU firm does not comply with its capital resources requirement, or if the purchase of any tier one instrument would cause it to breach its capital resources requirement, it must suspend the purchase of tier one instruments.

GENPRU 2.2.83R31/12/2010

Permanent share capital means an item of capital which (in addition to satisfying GENPRU 2.2.64 R) meets the following conditions:(1) it is:(a) an ordinary share; or(b) a members' contribution; or(c) part of the initial fund of a mutual; or8(d) a deferred share;8(2) any coupon on it is not cumulative, the firm is under no obligation to pay a coupon in any circumstances and the firm has the right to choose the amount of any coupon that it pays;10(3) the terms upon which it is issued

GENPRU 2.2.83AR31/12/2010

10The conditions that a BIPRU firm's permanent share capital must comply with under GENPRU 2.2.83AR (4) or that a BIPRU firm'seligible partnership capital or eligible LLP members' capital must comply with under GENPRU 2.2.95 R are as follows:(1) it is undated;(2) the terms upon which it is issued do not give the holder a preferential right to the payment of a coupon;(3) the terms upon which it is issued do not indicate the amount of any coupon that may be payable nor impose an

GENPRU 2.2.83BR31/12/2010

10A BIPRU firm must not include in stage A of the capital resources table different classes of the same share type (for example "A ordinary shares" and "B ordinary shares") that meet the conditions in GENPRU 2.2.83 R and GENPRU 2.2.83A R but have differences in voting rights, unless it has notified the FSA of its intention at least one month before the shares are issued or (in the case of existing issued shares) the differences in voting rights take effect.

GENPRU 2.2.83CR31/12/2010

10A BIPRU firm must not pay a coupon on a tier one instrument included in stage A of the capital resources table if it has no distributable reserves.

GENPRU 2.2.83DG31/12/2010

10A BIPRU firm may disclose its dividend policy, provided that the policy only reflects the current intention of the firm and does not undermine the firm's right to choose the amount of any coupon that it pays.

GENPRU 2.2.85R31/12/2010

(1) Negative amounts, including any interim net losses (but in the case of a BIPRU investment firm, only material interim net losses), must be deducted from profit and loss account and other reserves.(2) For these purposes material interim net losses mean unaudited interim losses arising from a firm'strading book and non-trading book business which exceed 10% of the sum of its capital resources calculated at stage A (Core tier one capital)8 in the capital resources table.8(3)

GENPRU 2.2.86R31/12/2006

(1) This rule applies to trading book valuation adjustments or reserves referred to in GENPRU 1.3.29 R to GENPRU 1.3.35 G (Valuation adjustments and reserves). It applies to a BIPRU firm.(2) When valuation adjustments or reserves give rise to losses of the current financial year, a firm must treat them in accordance with GENPRU 2.2.85 R.(3) Valuation adjustments or reserves which exceed those made under the accounting framework to which a firm is subject must be treated in accordance

GENPRU 2.2.90R31/12/2006

In the case of a BIPRU firm which is the originator of a securitisation, net gains arising from the capitalisation of future income from the securitised assets and providing credit enhancement to positions in the securitisation must be excluded from profit and loss account and other reserves.

GENPRU 2.2.92G31/12/2006

A revaluation reserve is not included as part of a BIPRU firm's profit and loss account and other reserves. It is dealt with separately and forms part of a BIPRU firm'supper tier two capital.

GENPRU 2.2.93R23/03/2007

Eligible partnership capital means a partners' account:(1) into which capital contributed by the partners is paid; and(2) from which under the terms of the partnership agreement an amount representing capital may be withdrawn by a partner only if:(a) he ceases to be a partner and an equal amount is transferred to another such account by his former partners or any person replacing him as their partner;2(b) the partnership is wound up or2 otherwise dissolved; or22(c) the BIPRU firm

GENPRU 2.2.94R23/03/2007

Eligible LLP members' capital means a members' account:(1) into which capital contributed by the members is paid; and(2) from which under the terms of the limited liability partnership agreement an amount representing capital may be withdrawn by a member only if:(a) he ceases to be a member and an equal amount is transferred to another such account by his former fellow members or any person replacing him as a member; 2(b) the limited liability partnership is wound up or2 otherwise

GENPRU 2.2.95R31/12/2010

A BIPRU firm that is a partnership or a limited liability partnership may not include eligible partnership capital or eligible LLP members' capital in its tier one capital resources unless (in addition to GENPRU 2.2.62 R (General conditions relating to tier one capital)) it complies with GENPRU 2.2.83R (2) (10Coupons should not be cumulative or mandatory) and GENPRU 2.2.83A R to GENPRU 2.2.83C R (General conditions for eligibility of capital instruments as core tier one capital

GENPRU 2.2.97R31/12/2010

The items permanent share capital and share premium account (which form part of core tier one capital) do not apply to a BIPRU firm that is a partnership or a limited liability partnership.8

GENPRU 2.2.98R01/10/2009

Without prejudice to GENPRU 2.2.62 R (Tier one capital: General), the item other reserves (which forms part of the item profit and loss and other reserves) applies to a BIPRU firm that is a partnership or a limited liability partnership to the extent the reserves correspond to reserves that are eligible for inclusion as other reserves in the case of a BIPRU firm that is incorporated under the Companies Act 20066.6

GENPRU 2.2.99G31/12/2006

A BIPRU firm that is a partnership or a limited liability partnership should include profit and loss (taking into account interim losses or material interim net losses) in its core tier one capital.

GENPRU 2.2.100R31/12/2006

A BIPRU firm which is a partnership or limited liability partnership must deduct at stage E of the calculation in the capital resources table (Deductions from tier one capital) the amount by which the aggregate of the amounts withdrawn by its partners or members exceeds the profits of that firm. Amounts of eligible partnership capital or eligible LLP members' capital repaid in accordance with GENPRU 2.2.93 R or GENPRU 2.2.94 R are not included in this calculation.

GENPRU 2.2.115AR31/12/2010

8A BIPRU firm must not include a capital instrument at stage B1 of the calculation in the capital resources table unless (in addition to satisfying all the other requirements in relation to tier one capital and hybrid capital) its contractual terms are such that:(1) it cannot be redeemed in cash but can only be converted into core tier one capital;(2) it must be converted into core tier one capital by the firm during emergency situations; (3) the emergency situations referred

GENPRU 2.2.115DR31/12/2010

8A BIPRU firm may include a capital instrument at stage B2 of the calculation in the capital resources table if (while satisfying all the other requirements in relation to tier one capital and hybrid capital)it cannot be included at stage B1 of that calculation as it does not satisfy the requirements of GENPRU 2.2.115A R.

GENPRU 2.2.115FR31/12/2010

8A BIPRU firm may include a capital instrument at stage C of the calculation in the capital resources table, and must not include it in stage B1 or B2 of that calculation, if (in addition to satisfying all the other requirements in relation to tier one capital and hybrid capital) it either:(1) is dated; or(2) provides an incentive for the firm to redeem it, as assessed at the date of its issue.

GENPRU 2.2.116AR31/12/2010

8A BIPRU firm must not include a capital instrument that is not a share at stage B1, B2 or C of the calculation in the capital resources table unless (in addition to satisfying all the other requirements in relation to tier one capital and hybrid capital) the firm's obligations under the instrument either:(1) do not constitute a liability (actual, contingent or prospective) under section 123(2) of the Insolvency Act 1986; or(2) do constitute such a liability but the terms of the

GENPRU 2.2.117AR31/12/2010

8A BIPRU firm must not include a capital instrument at stage B1, B2 or C of the calculation in the capital resources table unless (in addition to satisfying all the other requirements in relation to tier one capital and hybrid capital) its contractual terms provide for a mechanism within the instrument which:(1) is clearly defined and legally certain;(2) is disclosed and transparent to the market;(3) makes the recapitalisation of the firm more likely by adequately reducing the

GENPRU 2.2.118R31/12/2010

8(1) 8An insurer may not include an innovative tier one instrument, unless it is a preference share, in its tier one capital resources unless it has obtained a properly reasoned independent legal opinion from an appropriately qualified individual confirming that the criteria in GENPRU 2.2.64R (6) (loss absorption) and GENPRU 2.2.80 R to GENPRU 2.2.81 R (Loss absorption) are met.(2) A BIPRU firm may not include a capital instrument at stage B1, B2 or C of the calculation in the

GENPRU 2.2.124R31/12/2006

(1) GENPRU 2.2.123 R - GENPRU 2.2.137 R apply to capital of a firm if:(a) either or both of the conditions in (2) are satisfied; and(b) any of the SPVs referred to in (2) is a subsidiary undertaking of the firm.(2) The conditions referred to in (1) are:(a) that capital is issued to an SPV; or(b) the subscription for the capital issued by the firm is funded directly or indirectly by an SPV.(3) A BIPRU firm may not include capital coming within this rule in its capital resources

GENPRU 2.2.125R31/12/2010

A BIPRU firm may only count capital to which GENPRU 2.2.124 R applies at stage C of the calculation in the capital resources table.88

GENPRU 2.2.126R31/12/2006

For the purpose of GENPRU 2.2, an SPV is, in relation to a BIPRU firm, any undertaking whose main activity is to raise funds for that firm or for a group to which that BIPRU firm belongs.

GENPRU 2.2.127R31/12/2010

The SPV referred to in GENPRU 2.2.124R (2)(a) must satisfy the following conditions:(1) it is controlled by the firm and may not operate independently of the firm;(2) the rights of investors in the SPV who do not belong to the group of the BIPRU firm in question are not such as to affect the ability of the firm to control the SPV;8(3) all or virtually all of its exposures (calculated by reference to the amount) consist of exposures to the firm or to that firm'sgroup; and8(4) 8it

GENPRU 2.2.128G31/12/2006

An SPV could take the form of a limited partnership. In such an arrangement, holders of a capital instrument issued by the SPV which do not belong to the group of the BIPRU firm in question should have no right to participate in the management of the partnership, whether under the partnership's constitutional documents or the transaction documents. In general, this means that they should be treated as limited partners. It is expected that the general partner, having control of

GENPRU 2.2.147R31/12/2010

(1) A firm may not include in its tier one capital resources a tier one instrument that is or may be subject to a step-up that does not meet the definition of moderate in the press release of the Basle Committee on Banking Supervision of 27th October 1998 called "Instruments eligible for inclusion in Tier 1 capital".(2) For the purpose of (1) the words in that press release "than, at national supervisory discretion, either" are replaced by "than the higher of the following two

GENPRU 2.2.179G31/12/2010

(1) The purpose of GENPRU 2.2.177R (2) is to ensure that a firm which issues an item of capital with a coupon retains flexibility over the payments of such coupon and can preserve cash in times of financial stress. However, a firm may include, as part of the capital instrument terms, a right to make payments of a coupon mandatory if an item of capital becomes ineligible to form part of its capital resources (for example, through a change in the relevant rules) and the firm has

GENPRU 2.2.185R31/12/2006

(1) This rule applies to a BIPRU firm.(2) A BIPRU firm must, in relation to equities held in the available-for-sale financial assets category:(a) deduct any net losses at stage E of the calculation in the capital resources table (Deductions from tier one capital); and(b) include any net gains (after deduction of deferred tax) in revaluation reserves at stage G of the calculation in the capital resources table (Upper tier two capital).(3) A BIPRU firm must include any net gains,

GENPRU 2.2.186G31/12/2006

Subject to GENPRU 2.2.185 R, a BIPRU firm should value its revaluation reserves in accordance with the rules in GENPRU 1.3 (Valuation).

GENPRU 2.2.187R31/12/2006

A BIPRU firm which adopts the standardised approach to credit risk may include general/collective provisions in its tier two capital resources only if:(1) they are freely available to the firm;(2) their existence is disclosed in internal accounting records; and(3) their amount is determined by the management of the firm, verified by independent auditors and notified to the FSA.

GENPRU 2.2.190R31/12/2006

A BIPRU firm calculating risk weighted exposure amounts under the IRB approach may include in its upper tier two capital resources positive amounts resulting from the calculation in BIPRU 4.3.8 R (Treatment of expected loss amounts), up to 0.6% of the risk weighted exposure amounts calculated under that approach.

GENPRU 2.2.191R31/12/2006

A BIPRU firm calculating risk weighted exposure amounts under the IRB approach may not include in its capital resources value adjustments and provisions included in the calculation in BIPRU 4.3.8 R (Treatment of expected loss amounts under the IRB approach for trading bookexposures) or value adjustments and provisions for exposures that would otherwise have been eligible for inclusion in general/collective provisions other than in accordance with GENPRU 2.2.190 R.

GENPRU 2.2.193R31/12/2006

If a BIPRU firm calculates risk weighted exposure amounts under the IRB approach for the purposes of BIPRU 14 (Capital requirements for settlement and counterparty risk) it must not include valuation adjustments referred to in BIPRU 14.2.18 R (1) (Treatment of expected loss amounts) in its capital resources except in accordance with that rule.

GENPRU 2.2.208R31/12/2006

GENPRU 2.2.208 R to GENPRU 2.2.216 G only apply to a BIPRU firm.

GENPRU 2.2.209R01/08/2011

(1) Subject to (2) and (3), a material holding is:11(a) a BIPRU firm's holdings of shares and any other interest in the capital of an individual credit institution or financial institution (held in the non-trading book or the trading book or both) exceeding 10% of the share capital of the issuer, and, where this is the case, any holdings of subordinated debt of the same issuer are also included as a material holding; the full amount of the holding is a material holding; or11(b)

GENPRU 2.2.212R31/12/2006

A material insurance holding means the holdings of a BIPRU firm of items of the type set out in GENPRU 2.2.213 R in any:(1) insurance undertaking; or(2) insurance holding company;that fulfils one of the following conditions:(3) it is a subsidiary undertaking of that firm; or(4) that firm holds a participation in it.

GENPRU 2.2.217R31/12/2006

GENPRU 2.2.217 R to GENPRU 2.2.220 R apply to a BIPRU firm.

GENPRU 2.2.218R31/12/2006

A BIPRU firm must deduct at stage M of the calculation in the capital resources table (Deductions from the totals of tier one and two) any reciprocal cross-holdings. However a BIPRU firm must not deduct such holdings to the extent that they fall to be deducted at Part 1 of stage M of the calculation in the capital resources table (Deductions for material holdings, qualifying holdings and certain other items).

GENPRU 2.2.219R31/12/2006

A reciprocal cross-holding means a holding of the BIPRU firm of shares, any other interest in the capital, and subordinated debt, whether in the trading or non-trading book, in:(1) a credit institution; or(2) a financial institution;that satisfies the following conditions:(3) the holding is the subject of an agreement or arrangement between the BIPRU firm and either the issuer of the instrument in question or a member of a group to which the issuer belongs;(4) under the terms

GENPRU 2.2.220R31/12/2006

For the purpose of GENPRU 2.2.219 R, a relevant rule means a rule in GENPRU, BIPRU or INSPRU or any other capital adequacy or solvency requirements of the FSA or any other regulator, territory or country.

GENPRU 2.2.236R31/12/2006

A BIPRU firm calculating risk weighted exposure amounts under the IRB approach must deduct:(1) any negative amounts arising from the calculation in BIPRU 4.3.8 R (Treatment of expected loss amounts); and(2) any expected loss amounts2 calculated in accordance with BIPRU 4.7.12 R (Expected loss amounts under the simple risk weight approach to calculating risk weighted exposure amounts for exposures belonging to the equity exposureIRB exposure class) or BIPRU 4.7.17 R (Expected loss

GENPRU 2.2.237R31/12/2006

A BIPRU firm calculating risk weighted exposure amounts under the IRB approach or the standardised approach to credit risk must deduct from its capital resources the exposure amount of securitisation positions which receive a risk weight of 1250% under BIPRU 9 (Securitisation), unless the firm includes the securitisation positions in its calculation of risk weighted exposure amounts (see BIPRU 9.10 (Reduction in risk-weighted exposure amounts)).

GENPRU 2.2.238R31/12/2006

GENPRU 2.2.238 R to GENPRU 2.2.241 R apply to a BIPRU firm and relate to the deductions in respect of:(1) material holdings;(2) expected loss amounts and other negative amounts referred to in GENPRU 2.2.236 R; and(3) securitisation positions referred to in GENPRU 2.2.237 R.

GENPRU 2.2.239R31/12/2006

(1) The treatment in the capital resources table of the deductions in GENPRU 2.2.238 R only has effect for the purpose of the capital resources gearing rules.(2) In other cases (3) and (4) apply.(3) A BIPRU firm making the deductions described in GENPRU 2.2.238 R must deduct 50% of the total amount of those deductions at stage E (Deductions from tier one capital) and 50% at stage J (Deductions from tier two capital) of the calculation in the capital resources table after the application

GENPRU 2.2.240G31/12/2006

The alternative calculation in GENPRU 2.2.239R (3) to (4) is only relevant to BIPRU 11 (Pillar 3 disclosures) and certain reporting requirements under SUP. However the deduction of material holdings at Part 2 of stage E of the capital resources table in the case of a BIPRU investment firm with an investment firm consolidation waiver has effect for all purposes.

GENPRU 2.2.241R31/12/2006

GENPRU 2.2.241 R to GENPRU 2.2.245 R only apply to a BIPRU firm.

GENPRU 2.2.242R31/12/2006

A BIPRU firm may include subordinated debt in its upper tier three capital resources only if:(1) it has an original maturity of at least two years or is subject to at least two years' notice of repayment; and(2) payment of interest or principal is permitted only if, after that payment, the firm'scapital resources would be not less than its capital resources requirement.

GENPRU 2.2.243R31/12/2006

A BIPRU firm which includes subordinated debt in its tier three capital resources must notify the FSA one month in advance of all payments of either interest or principal made when the firm'scapital resources are less than 120% of its capital resources requirement.

GENPRU 2.2.244R31/12/2006

The rules in the table in GENPRU 2.2.245 R apply to short term subordinated debt that a BIPRU firm includes in its tier three capital resources in the same way that they apply to a firm'stier two capital resources with the adjustments in that table.

GENPRU 2.2.246R31/12/2006

GENPRU 2.2.246 R to GENPRU 2.2.249 R only apply to a BIPRU firm.

GENPRU 2.2.247R31/12/2006

A BIPRU firm's net interim trading book profits mean its net trading book profits adjusted as follows:(1) they are net of any foreseeable charges or dividends and less net losses on its other business; and(2) a firm must not take into account items that have already been included in the calculation of capital resources as part of the calculation of the following items:(a) interim net profits (see stage (A) of the capital resources table); or(b) interim net losses or material interim

GENPRU 2.2.259R31/12/2006

GENPRU 2.2.259 R to GENPRU 2.2.262 G only apply to a BIPRU investment firm.

GENPRU 2.2.265R31/12/2006

The standard market risk PRR rules apply for establishing what is a net position and the amount and value of that position for the purposes of GENPRU 2.2.264 R, ignoring rules which would otherwise exclude such positions from BIPRU 7.2 (Interest rate PRR) or BIPRU 7.3 (Equity PRR and basic interest rate PRR for equity derivatives) on the basis that they are to be deducted from a bank or building society'scapital resources, or for any other reason.

GENPRU 2.2.276R31/12/2006

A BIPRU firm may not include a guarantee from a state or public authority in its capital resources.

GENPRU 2.1.1R31/12/2006

1This section applies to:(1) a BIPRU firm; and(2) an insurer, unless it is:(a) a non-directive friendly society; or(b) a Swiss general insurer; or(c) an EEA-deposit insurer; or(d) an incoming EEA firm; or(e) an incoming Treaty firm.

GENPRU 2.1.6G31/12/2006

Principle 4 requires a firm to maintain adequate financial resources. GENPRU 2 sets out provisions that deal specifically with the adequacy of that part of a firm's financial resources that consists of capital resources. The adequacy of a firm'scapital resources needs to be assessed both by that firm and the FSA. Through its rules, the FSA sets minimum capital resources requirements for firms. It also reviews a firm's own assessment of its capital needs, and the processes and

GENPRU 2.1.7G31/12/2006

This section sets capital resources requirements for a firm. GENPRU 2.2 (Capital resources) sets out how, for the purpose of meeting capital resources requirements, the amounts or values of capital, assets and liabilities are to be determined. More detailed rules relating to capital, assets and liabilities are set out in GENPRU 1.3 (Valuation) and, for an insurer, INSPRU and, for a BIPRU firm, BIPRU.

GENPRU 2.1.9R31/12/2006

A firm must at all times monitor whether it is complying with GENPRU 2.1.13 R (the main capital adequacy rule for insurer) or the main BIPRU firm Pillar 1 rules and be able to demonstrate that it knows at all times whether it is complying with those rules.

GENPRU 2.1.10G31/12/2006

For the purposes of GENPRU 2.1.9 R, a firm should have systems in place to enable it to be certain whether it has adequate capital resources to comply with GENPRU 2.1.13 R and the main BIPRU firm Pillar 1 rules (as applicable) at all times. This does not necessarily mean that a firm needs to measure the precise amount of its capital resources and its CRR on a daily basis. A firm should, however, be able to demonstrate the adequacy of its capital resources at any particular time

GENPRU 2.1.11R31/12/2006

A firm must notify the FSA immediately of any breach, or expected breach, of GENPRU 2.1.13 R (in the case of an insurer) or the main BIPRU firm Pillar 1 rules (in the case of a BIPRU firm).

GENPRU 2.1.40R31/12/2006

A BIPRU firm must maintain at all times capital resources equal to or in excess of the amount specified in the table in GENPRU 2.1.45 R (Calculation of the variable capital requirement for a BIPRU firm).

GENPRU 2.1.41R31/12/2006

A BIPRU firm must maintain at all times capital resources equal to or in excess of the base capital resources requirement (see the table in GENPRU 2.1.48 R).

GENPRU 2.1.42R31/12/2006

At the time that it first becomes a bank, building society or BIPRU investment firm, a firm must hold initial capital of not less than the base capital resources requirement applicable to that firm.

GENPRU 2.1.43G31/12/2006

The purpose of the base capital resources requirement for a BIPRU firm is to act as a minimum capital requirement or floor. It has been written as a separate requirement as there are restrictions in GENPRU 2.2 (Capital resources) on the types of capital that a BIPRU firm may use to meet the base capital resources requirement which do not apply to some other parts of the capital requirement calculation. In order to preserve the base capital resources requirement's role as a floor

GENPRU 2.1.44G31/12/2006

The base capital resources requirement and the variable capital requirement in GENPRU 2.1.40 R are together called the capital resources requirement (CRR) in the case of a BIPRU firm.

GENPRU 2.1.45R31/12/2006

Table: Calculation of the variable capital requirement for a BIPRU firm

This table belongs to GENPRU 2.1.40 R

Firm category	Capital requirement
Bank, building society or full scope BIPRU investment firm	the sum of the following:
	(1)	the credit risk capital requirement;
	(2)	the market risk capital requirement; and
	(3)	the operational risk capital requirement.
BIPRU limited activity firm	the sum of the following:
	(1)	the credit risk capital requirement;
	(2)	the market risk capital requirement; and
	(3)	the fixed overheads requirement.
BIPRU limited licence firm (including UCITS investment firm)	the higher of (1) and (2):
	(1)	the sum of:
		(a)	the credit risk capital requirement; and
		(b)	the market risk capital requirement; and
	(2)	the fixed overheads requirement.

GENPRU 2.1.47R31/12/2006

The amount of a BIPRU firm'sbase capital resources requirement is set out in the table in GENPRU 2.1.48 R.

GENPRU 2.1.48R06/04/2007

This table belongs to GENPRU 2.1.47 R

Firm category	Amount: Currency equivalent of
Bank	€5 million
Building society	The higher of €1 million and £1 million
BIPRU 730K firm	€730,000
BIPRU 125K firm	€125,000
BIPRU 50K firm	€50,000
UCITS investment firm	€125,000 plus, if the funds under management exceed €250,000,000, 0.02% of the excess, subject to a maximum of €10,000,000.3

GENPRU 2.1.49G31/12/2006

The terms BIPRU 730K firm, BIPRU 125K firm and BIPRU 50K firm are defined in BIPRU 1.1 (Application and purpose). However for convenience the table in GENPRU 2.1.50 G briefly summarises them.

GENPRU 2.1.51R31/12/2006

A BIPRU firm must calculate its credit risk capital requirement as the sum of:(1) the credit risk capital component; (2) the counterparty risk capital component; and(3) the concentration risk capital component.

GENPRU 2.1.52R31/12/2006

(1) A BIPRU firm must calculate its market risk capital requirement as the sum of:(a) the interest rate PRR (including the basic interest rate PRR for equity derivatives set out in BIPRU 7.3 (Equity PRR and basic interest rate PRR for equity derivatives));(b) the equity PRR;(c) the commodity PRR;(d) the foreign currency PRR;(e) the option PRR; and(f) the collective investment undertaking PRR.(2) Any amount calculated under BIPRU 7.1.9 R - BIPRU 7.1.13 R (Instruments for which

GENPRU 2.1.53R31/12/2006

In relation to a BIPRU investment firm which is required to calculate a fixed overheads requirement, the amount of that requirementis equal to one quarter of the firm's relevant fixed expenditure calculated in accordance with GENPRU 2.1.54 R.

GENPRU 2.1.54R31/12/2006

For the purpose of GENPRU 2.1.53 R, and subject to GENPRU 2.1.55 R to GENPRU 2.1.57 R,a BIPRU investment firm's relevant fixed expenditure is the amount described as total expenditure in its most recent audited annual report and accounts, less the following items (if they are included within such expenditure):(1) staff bonuses, except to the extent that they are guaranteed;(2) employees' and directors' shares in profits, except to the extent that they are guaranteed;(3) other

BIPRU 12.2.1R01/12/2009

(1) A firm must at all times maintain liquidity resources which are adequate, both as to amount and quality, to ensure that there is no significant risk that its liabilities cannot be met as they fall due.(2) For the purpose of (1):(a) a firm may not include liquidity resources that can be made available by other members of its group;(b) an incoming EEA firm or a third country BIPRU firm may not, in relation to its UK branch, include liquidity resources other than those which

BIPRU 12.2.4G01/12/2009

The effect of BIPRU 12.2.1R (2)(b) and BIPRU 12.2.3 R is to require an incoming EEA firm or a third country BIPRU firm to maintain a local operational liquidity reserve in relation to the activities of its UK branch. BIPRU 12.9 contains further guidance on this point.

BIPRU 12.2.6G01/12/2009

The overall liquidity adequacy rule is expressed to apply to each firm on a solo basis. Each firm must be able to satisfy that rule relying solely on its own liquidity resources. Where the firm is an incoming EEA firm or a third country BIPRU firm, compliance with the overall liquidity adequacy rule with respect to the UK branch must be achieved relying solely on liquidity resources that satisfy the conditions in BIPRU 12.2.3R.

BIPRU 12.2.8R01/12/2009

For the purposes of the overall liquidity adequacy rule, an ILAS BIPRU firm must also ensure that:(1) its liquidity resources contain an adequate buffer of high quality, unencumbered assets; and(2) it maintains a prudent funding profile.

BIPRU 12.2.9G01/12/2009

The purpose of BIPRU 12.2.8R is to ensure that an ILAS BIPRU firm has a buffer of liquid assets which are available to meet those liabilities which fall due in periods of stress experienced by that firm. Those periods of stress may be both market-wide and idiosyncratic in nature. The FSA acknowledges that in periods of stress a firm's liquid assets buffer may be eroded.

BIPRU 12.2.11R01/12/2009

In complying with BIPRU 12.2.8R, a simplified ILAS BIPRU firm must ensure that its liquid assets buffer is at least equal to the amount of liquidity resources required by the simplified buffer requirement.

BIPRU 12.2.12G01/12/2009

The FSA is likely to regard a simplified ILAS BIPRU firm whose liquid assets buffer accords with the simplified buffer requirement as having an adequate buffer of assets and a prudent funding profile for the purpose of BIPRU 12.2.8R. Further guidance on this matter is provided in BIPRU 12.6.5G.

BIPRU 12.2.13G01/12/2009

BIPRU 12.7 contains more detailed rules and guidance about the type of assets that an ILAS BIPRU firm is permitted to hold in order to satisfy BIPRU 12.2.8R.

BIPRU 12.2.14G01/12/2009

The adequacy of an ILAS BIPRU firm's liquidity resources needs to be assessed both by that firm and by the FSA. This process involves:(1) in the case of a standard ILAS BIPRU firm, an Individual Liquidity Adequacy Assessment (ILAA) which such a firm is obliged to carry out in accordance with BIPRU 12.5;(2) in the case of a simplified ILAS BIPRU firm, an Individual Liquidity Systems Assessment(ILSA) which such a firm is obliged to carry out in accordance with BIPRU 12.6; and(3)

BIPRU 12.2.15G01/12/2009

BIPRU 12.5 sets out the ILAS framework. That section describes some of the stress tests that a standard ILAS BIPRU firm must carry out in conducting its ILAA and identifies a number of sources of liquidity risk in relation to which a firm is required to assess the impact of those stresses. For a standard ILAS BIPRU firm, the requirements in BIPRU 12.5 are in addition to the stress testing requirements in BIPRU 12.4. The rules in BIPRU 12.5 require a standard ILAS BIPRU firm

BIPRU 12.2.18G01/12/2009

After completing a review of the ILAA as part of the SLRP, the FSA will give a standard ILAS BIPRU firmindividual liquidity guidance, advising it of the amount and quality of liquidity resources which the FSA considers are appropriate having regard to the liquidity risk profile of the firm. In giving individual liquidity guidance, the FSA will also advise the firm of what it considers to be a prudent funding profile for the firm. In giving the firmindividual liquidity guidance

BIPRU 12.2.19G01/12/2009

BIPRU 12.5 sets out in greater detail the FSA'sILAS regime. BIPRU 12.9 sets out in greater detail the FSA's process for issuing an ILAS BIPRU firm with individual liquidity guidance and its approach to monitoring a firm's adherence to that guidance or, as the case may be, to the simplified buffer requirement.

GENPRU 1.3.1R31/12/2006

(1) 1This section of the Handbook applies to an insurer, unless it is:(a) non-directive friendly society;(b) an incoming EEA firm; or(c) an incoming Treaty firm.(2) This section of the Handbook applies to a BIPRU firm.(3) This section of the Handbook applies to a UK ISPV.

GENPRU 1.3.3G31/12/2006

(1) In the case of a BIPRU firm, this section implements Article 74 of the Banking Consolidation Directive, Article 64(4) of the Banking Consolidation Directive (Own funds) and Article 33 and Part B of Annex VII of the Capital Adequacy Directive.(2) In the case of an insurer, GENPRU 1.3.4 R implements the requirements of Articles 23.3(viii) and 24.2(iv) of the Consolidated Life Directive.

GENPRU 1.3.5G31/12/2006

Except where a rule in GENPRU, BIPRU or INSPRU makes different provision, GENPRU 1.3.4 R applies whenever a rule in GENPRU, BIPRU or INSPRU refers to the value or amount of an asset, liability, exposure, equity or income statement item, including:(1) whether, and when, to recognise or de-recognise an asset or liability;(2) the amount at which to value an asset, liability, exposure, equity or income statement item; and(3) which description to place on an asset, liability, exposure,

GENPRU 1.3.6G31/12/2006

In particular, unless an exception applies, GENPRU 1.3.4 R should be applied for the purposes of GENPRU, BIPRU or INSPRU to determine how to account for:(1) netting of amounts due to or from the firm;(2) the securitisation of assets and liabilities (see also GENPRU 1.3.7 G);(3) leased tangible assets;(4) assets transferred or received under a sale and repurchase3 or stock lending transaction; and(5) assets transferred or received by way of initial or variation margin under a derivative

GENPRU 1.3.10R31/12/2006

An election made under GENPRU 1.3.9R (2) must be applied consistently for the purposes of GENPRU, BIPRU or INSPRU in respect of any one financial year.

GENPRU 1.3.13R31/12/2006

(1) Except to the extent that GENPRU, BIPRU or INSPRU provide for another method of valuation, GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification, Adjustments or reserves) apply:(a) for the purposes set out in GENPRU 1.3.41 R;(b) for the purposes set out in GENPRU 1.3.39 R; and(c) to any balance sheet position measured at market value or fair value.(2) A firm must establish and maintain systems and controls sufficient to provide

GENPRU 1.3.14R31/12/2006

Wherever possible, a firm must use mark to market in order to measure the value of the investments and positions to which this rule applies under GENPRU 1.3.13 R and GENPRU 1.3.38 R to GENPRU 1.3.41 R. Marking to market is valuation (on at least a daily basis in the case of the trading book positions of a BIPRU firm) at readily available close out prices from independent sources.

GENPRU 1.3.17R31/12/2006

Where marking to market is not possible, a firm must use mark to model in order to measure the value of the investments and positions to which this rule applies under GENPRU 1.3.13 R and GENPRU 1.3.38 R to GENPRU 1.3.41 R. Marking to model is any valuation which has to be benchmarked, extrapolated or otherwise calculated from a market input. GENPRU 1.3.18 R to GENPRU 1.3.25 R apply when marking to model.

GENPRU 1.3.18R31/12/2006

When the model used is developed by the firm, that model must be:(1) based on appropriate assumptions which have been assessed and challenged by suitably qualified parties independent of the development process;(2) independently tested, including validation of the mathematics, assumptions, and software implementation; and(3) (in the case of a BIPRU firm) developed or approved independently of the front office.

GENPRU 1.3.28R31/12/2006

In the case of the trading book positions of a BIPRU firm, while daily marking to market may be performed by dealers, verification of market prices and model inputs must be performed by a unit independent of the dealing room, at least monthly (or, depending on the nature of the market/trading activity, more frequently).

GENPRU 1.3.33R31/12/2006

(1) This paragraph sets out the requirements referred to in GENPRU 1.3.30 R and GENPRU 1.3.32 R.(2) A firm must consider the following adjustments or reserves: unearned credit spreads, close-out costs, operational risks, early termination, investing and funding costs, future administrative costs and, where appropriate, model risk.(3) A firm must consider several factors when determining whether a valuation reserve is necessary for less liquid positions. These factors include the

GENPRU 1.3.36R06/08/2009

Adjustments to accounting values(1) For the purposes of GENPRU and BIPRU, the adjustments in (2) and (3) apply to values calculated pursuant to GENPRU 1.3.4 R in addition to those required by GENPRU 1.3.9 R to GENPRU 1.3.10 R.(2) A BIPRU firm must not recognise either:(a) the fair value reserves related to gains or losses on cash flow hedges of financial instruments measured at amortised cost; or(b) any unrealised gains or losses on debt instruments held, or formerly held,8 in

SUP 16.12.9R31/12/2010

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

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

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

11	Member's adviser (note 3)		the Society (note 1)
Description of data item and data item	Frequency	Submission deadline	Description of data item	Frequency	Submission deadline
			Annual report and accounts	Annually	6 month's after the Society's accounting reference date
			Annual Lloyd's return	Annually	6 months after the Society's accounting reference date
			Syndicate accounts and reports (note 2)	Annually	6 months after the Society's accounting reference date
Quarterly reporting statement	Quarterly	15 business days after the quarter end
Balance Sheet
FSA001 (notes 15, 20) or 13	Quarterly or half yearly	(note 14)
FSA029	Quarterly (note 14)	(note 14)
Income Statement
FSA002 (note20), or 13	Quarterly or half yearly (note 14)	(note 14)
FSA030	Quarterly	(note 14)
Capital Adequacy
FSA003 (notes 4, 20) or	Monthly, quarterly or half yearly (note 14)	(note 14)
FSA033 (note 12) or	Quarterly	(note 14)
FSA034 (note 13) or	Quarterly	(note 14)
FSA035 (note 13)	Quarterly	(note 14)
Credit Risk
FSA004 (notes 5, 20) 13	Quarterly or half yearly (note 14)	(note 14)
Market Risk
FSA005 (notes 6, 20) 13	Quarterly or half yearly (note 14)	(note 14)
13
13	13	13
13
13	13	13
Large Exposures
FSA008 (Notes 20, 21)15 15 13	Quarterly	20 business days (note 19)
13
13	13	13
13
13	13	13
13
13	13	13
13
13	13	13
13
13	13	13
Note 1	The Society must prepare its reports in the format specified in IPRU(INS) Appendix 9.11, unless Note 2 applies.
Note 2	The Society must ensure that the annual syndicate accounts and reports are prepared in accordance with the Insurance Accounts Directive (Lloyd's Syndicate and Aggregate Accounts) Regulations 2008 (S.I. 2008/1950).
Note 3	A member's adviser must prepare its reports in accordance with, and in the format set out in, SUP 16 Annex 10 and as required by section 6 of that annex. Guidance notes for the completion of the reports is contained in SUP 16 Annex 11.
Note 4	Only firms subject to IPRU(INV) 4 report data item FSA003.
Note 5	This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.
Note 6	This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.
Note 7	[deleted]13 13
Note 8	[deleted]13 13
Note 9	[deleted]13 13
Note 10	[deleted]13 13
Note 11	[deleted]13 13
Note 12	FSA033 is only applicable to firms subject to IPRU(INV) 3
Note 13	Only applicable to firms subject to IPRU(INV) 5. FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.
Note 14	BIPRU 50K firms report half yearly on 30 business days submission, all other BIPRU firms on unconsolidated basis report quarterly on 20 business days submission. All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission.
Note 15	This data item only applies to BIPRU firms.
Note 16	[deleted]13 13
Note 17	[deleted]13 13
Note 18	[deleted]13 13
Note 19	UK consolidation group reports have 45 business days submission.
Note 20	Firms that are members of a UK consolidation group are also required to submit FSA001, FSA002, FSA003, FSA004, FSA005 and FSA008 on a UK consolidation group basis.
15Note 21	This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

SUP 16.12.11R01/10/2011

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 11 11	Firms' prudential category and applicable data items(note 1)15
	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 report and accounts 11 11	No standard format			No standard format (note 19)2	No standard format2		No standard format3 11	No standard format3
Annual report and accounts 11 of the mixed-activity holding company (note 10) 11	No standard format
Solvency statement	No standard format (note 11)			No standard format (note 20)	No standard format (note 11)2			No standard format (note 11)5
Balance sheet	FSA001 (note 2)	FSA001 (note 2)	FSA001 (note 2)	FSA029 (note 18)11 2	FSA0292 11	FSA0292	FSA029 (note 1511)2 or Section A RMAR (note 1511)3 11 11	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 11 11	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 11 11	FSA0362 11
Credit risk	FSA004 (notes 2, 3)	FSA004 (notes 2, 3)	FSA004 (notes 2, 3)
Market risk	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)
Market risk - supplementary	FSA006 (note 5)	FSA006 (note 5)	FSA006 (note 5)
Operational risk	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)
Large exposures	FSA008 (Notes 2, 6)15	FSA008 (Notes 2, 6)15	FSA008 (Notes 2, 6)15
UK integrated group large exposures	FSA018 (note 12)	FSA018 (note 12)	FSA018 (note 12)
Solo consolidation data	FSA016 (note 25)11	FSA016 (note 25)11	FSA016 (note 25)11
Pillar 2 questionnaire	FSA019 (note 8)	FSA019 (note 8)	FSA019 (note 8)
Non-EEA sub-group	FSA028 (note 9)	FSA028 (note 9)	FSA028 (note 9)
3Threshold conditions							Section F RMAR (Note 15)24 3 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 (note 24)11 3
6IRB portfolio risk	FSA045 (note 22)	FSA045 (note 22)	FSA045 (note 22)
6Securitisation: non-trading book15	FSA046 (note 23)	FSA046 (note 23)	FSA046 (note 23)
13Daily Flows	FSA047 (Notes 26, 29 and 31)
13Enhanced Mismatch Report	FSA048 (Notes 26, 29 and 31)
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 27, 30 and 31)
13Funding Concentration	FSA051 (Notes 27, 30 and 31)
13Pricing data	FSA052 (Notes 27, 30 and 31)
13Retail and corporate funding	FSA053 (Notes 27, 30 and 31)
13Currency Analysis	FSA054 (Notes 27, 30 and 31)
13Systems and Controls Questionnaire	FSA055 (Note 28)
15Securitisation: trading book	FSA058 (Note 32)	FSA058 (Note 32)	FSA058 (Note 32)
Note 1	When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.
Note 2	Firms 11 that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. 11 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 The11threshold is exceeded where 11 data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant 11reporting date for the firm. 11 11 11 11
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 firm 11. 11 11 11
Note 5	Only applicable to firms with a VaR model permission.11 11 11
Note 6	This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.
Note 7	This is only applicable to a firm that has adopted, in whole or in part,either the standardised approach, alternative standardised approach, or advanced measurement approach underBIPRU 611 11
Note 8	Only applicable to BIPRU investment firms 5 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 firm 5 under (a) must11complete the report on the basis of its UK consolidation group. A BIPRU investment firm 5 under (b) or (c) must11complete the report on the basis of its solo position. 11 11 11
Note 9	This will be applicable to firms that are members of a UK consolidation group 4 on the reporting date. 11
Note 10	Only applicable to a firm whose ultimate parent is a mixed activity holding company.
Note 11	Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.
Note 12	Members of a UK integrated group should only submit this data item at the UK integrated group level. 11
2Note 13	This does not apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.
2Note 14	FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.
2Note 15	FSA029, FSA030,24 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 11 24 24 24
2Note 16	[deleted]11 11
2Note 17	An exempt BIPRU commodity firm will, by virtue of the definition of BIPRU TP 15, be exempt from completing FSA003 (and thus FSA004, FSA005, FSA006 and FSA007) for the duration of the transitional provision. It is however required to submit all other data items applicable according to the firm's BIPRU classification including, for the avoidance of doubt, BIPRU TP 16.
2Note 18	Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R.
2Note 19	In the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R), it is only required from partnerships and bodies corporate, and then only if the report was audited as a result of a statutory provision other than under the Act.
2Note 20	Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader.
3Note 21	[deleted]11 11
6Note 22	Only applicable to firms that have an IRB permission.11 11
6Note 23	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15 securitisations. of non-trading book exposures.15 15
11Note 24	Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.
11Note 25	Only applicable to a firm that has a solo consolidation waiver.
13Note 26	A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
13Note 27	A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
13Note 28	If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.
13Note 29	(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
13Note 30	Note 29 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.
13Note 31	Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15
15Note 32	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.11AG01/12/2009

13The columns in the table in SUP 16.12.11 R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firms and BIPRU 730K firms and

SUP 16.12.12R31/12/2010

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

Data Item 11 11	BIPRU 730K firm	BIPRU 125K firmandUCITS investment firm	BIPRU 50K firm	UK consolidation group 11or defined liquidity group 13 11	Firmother thanBIPRU firms
Annual report and accounts 11 11	Annually	Annually	Annually		Annually2 8
Annual report and accounts 11 of the mixed-activity holding company 11	Annually	Annually	Annually
Solvency statement	Annually	Annually	Annually		Annually
FSA001	Quarterly	Quarterly	Half yearly	Half yearly
FSA002	Quarterly	Quarterly	Half yearly	Half yearly
FSA003	Monthly	Quarterly	Half yearly	Half yearly
FSA004	Quarterly	Quarterly	Half yearly	Half yearly
FSA005	Quarterly	Quarterly	Half yearly	Half yearly11 11
FSA006	Quarterly	Quarterly	Quarterly	Quarterly
FSA007	Annual (note 4)11	Annual (note 4)11	Annual (note 4)11	Annual (note 4)11
FSA008	Quarterly	Quarterly	Quarterly	Quarterly
FSA016	Half yearly	Half yearly	Half yearly
FSA018	Quarterly	Quarterly	Quarterly
FSA019	Annually	Annually	Annually	Annually
FSA028	Half yearly	Half yearly	Half yearly
2FSA029					Quarterly 8
2FSA030					Quarterly 8
2FSA031					Quarterly
2FSA032					Quarterly
2FSA033					Quarterly 8
2FSA034					Quarterly 8
2FSA035					Quarterly 8
2FSA036					Quarterly 11
2FSA039	Half yearly	Half yearly	Half yearly		Half yearly
2FSA040	Quarterly	Quarterly	Quarterly		Quarterly3
6FSA045	Quarterly	Quarterly	Half yearly	Half yearly
6FSA046	Quarterly15 15	Quarterly15 15	Quarterly15 15	Quarterly15 15
13FSA047	Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)			Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)
13FSA048	Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)			Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)
13FSA050	Monthly (Note 5)			Monthly (Note 5)
13FSA051	Monthly (Note 5)			Monthly (Note 5)
13FSA052	Weekly or monthly (Notes 5 and 9)			Weekly or monthly (Notes 5 and 10)
13FSA053	Quarterly (Note 5)			Quarterly (Note 5)
13FSA054	Quarterly (Note 5)			Quarterly (Note 5)
13FSA055	Annually (Note 5)			Annually (Note 5)
15FSA058	Quarterly	Quarterly	Quarterly	Quarterly
3Section A RMAR					Half yearly (note 2) Quarterly (note 3)5
3Section B RMAR					Half yearly (note 2) Quarterly (note 3)5
3Section C RMAR					Half yearly (note 2) Quarterly (note 3)5
3Section D1 and D2 RMAR					Half yearly (note 2) Quarterly (note 3)5
3Section F RMAR					Half yearly5
2Note 1	[deleted]8 8
3Note 2	Annual regulated business revenue up to and including £5 million.5
3Note 3	Annual regulated business revenue over £5 million.5
11Note 4	The reporting date for this data item is six months after a firm's most recent accounting reference date.
13Note 5	Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular: (1) A week means the period beginning on Saturday and ending on Friday. (2) A month begins on the first day of the calendar month and ends on the last day of that month. (3) Quarters end on 31 March, 30 June, 30 September and 31 December. (4) Daily means each business day. All periods are calculated by reference to London time. Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.
13Note 6	If the report is on a solo basis the reporting frequency is as follows: (1) if the firm does not have an intra-group liquidity modification the frequency is: (a) weekly if the firm is a standard frequency liquidity reporting firm; and (b) monthly if the firm is a low frequency liquidity reporting firm; (2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is: (a) weekly if the firm is a standard frequency liquidity reporting firm; and (b) monthly if the firm is a low frequency liquidity reporting firm; (3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.
13Note 7	(1) If the report is by reference to the firm's DLG by default the reporting frequency is: (a) weekly if the group liquidity standard frequency reporting conditions are met; (b) monthly if the group liquidity low frequency reporting conditions are met. (2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is: (a) weekly if the group liquidity standard frequency reporting conditions are met; (b) monthly if the group liquidity low frequency reporting conditions are met. (3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.
13Note 8	(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question. (2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question. (3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.
13Note 9	If the report is on a solo basis the reporting frequency is as follows: (1) weekly if the firm is a standard frequency liquidity reporting firm; and (2) monthly if the firm is a low frequency liquidity reporting firm.
13Note 10	If the report is by reference to the firm's UK DLG by modification the reporting frequency is: (1) weekly if the group liquidity standard frequency reporting conditions are met; (2) monthly if the group liquidity low frequency reporting conditions are met.

SUP 16.12.15R01/10/2011

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 11	Firms'15 prudential category and applicable data items (note 1) 15
	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
Annual report and accounts 11 11	No standard format8(note 13)11
Annual report and accounts 11 of the mixed-activity holding company (note 10) 11	5
	No standard format5
Solvency statement (note 11	5				No standard format2			No standard format5
Solvency statement (note 11	No standard format5				No standard format2			No standard format5
Balance sheet	FSA001 (note 2)	FSA001 (note 2)	FSA001 (note 2)	FSA029 2 11	FSA029 2 11	FSA0292	FSA029 (note 1511)2 or Section A RMAR (note 1511)5 11 11	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 11 11	FSA030 (note 16)2
Capital adequacy	FSA003 (note 2)	FSA003 (note 2)	FSA003 (note 2)	FSA0332 11	FSA034 or FSA035 (note 14)2 11	FSA0312	Section D1 and D2 RMAR or FSA032 (note 15)11 11	FSA0362 11
Credit risk	FSA004 (notes 2, 3)	FSA004 (notes 2, 3)	FSA004 (notes 2, 3)
Market risk	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)
Market risk - supplementary	FSA006 (note 5)	FSA006 (note 5)	FSA006 (note 5)
Operational risk	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)
Large exposures	FSA008 (Notes 2, 615) 15	FSA008 (Notes 2, 615) 15	FSA008 (Notes 2, 615) 15
UK integrated group large exposures	FSA018 (note 12)	FSA018 (note 12)	FSA018 (note 12)
Solo consolidation data	FSA01611 (note 20)11	FSA01611 (note 20)11	FSA01611 (note 20)11
Pillar 2 questionnaire	FSA019 (note 8)	FSA019 (note 8)	FSA019 (note 8)
Non-EEA sub-group	FSA028 (note 9)	FSA028 (note 9)	FSA028 (note 9)
5Threshold conditions							Section F RMAR (note 1511) 11
2Volumes and type of business (note 21)11	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038
2Client money and client assets	FSA039	FSA039	FSA039	FSA039	FSA039	FSA039	Section C RMAR (note 1511) or 5FSA039 11	FSA03911
2Asset managers that use hedge fund techniques (note 21)11	FSA041	FSA041	FSA041	FSA041	FSA041	FSA041	FSA041	FSA041
2UCITS (note 22)11	FSA042	FSA042	FSA042	FSA042	FSA042	FSA042	FSA042	FSA042
6IRB portfolio risk	FSA045 (note 18)	FSA045 (note 18)	FSA045 (note 18)
6Securitisation: non-trading book15	FSA046 (note 19)	FSA046 (note 19)	FSA046 (note 19)
13Daily Flows	FSA047 (Notes 23, 26 and 28)
13Enhanced Mismatch Report	FSA048 (Notes 23, 26 and 28)
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 24, 27 and 28)
13Funding Concentration	FSA051 (Notes 24, 27 and 28)
13Pricing data	FSA052 (Notes 24, 27 and 28)
13Retail and corporate funding	FSA053 (Notes 24, 27 and 28)
13Currency Analysis	FSA054 (Notes 24, 27 and 28)
13Systems and Controls Questionnaire	FSA055 (Note 25)
15Securitisation: trading book	FSA058 (Note 29)	FSA058 (Note 29)	FSA058 (Note 29)
Note 1	When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.
Note 2	Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. 11
Note 3	This applies to a firm that is required to submit data item FSA003 and at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The11 threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting datefor the firm.11 11
Note 4	This applies to a firm that is required to submit data item FSA003 and at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded wheredata element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.11 11
Note 5	Only applicable to firms with a VaR model permission.11 11
Note 6	This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.
Note 7	This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach 11under BIPRU 63. 11
Note 8	Only applicable to BIPRU investment firms 5 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 firm 5 under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm 5 under (b) or (c) must11 complete the report on the basis of its solo position. 11 11
Note 9	This will be applicable to firms that are members of a UK consolidation group 4 on the reporting date. 11
Note 10	Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
Note 11	Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.
Note 12	Members of a UK integrated group should only submit this data item at the UK integrated group level. 11
2Note 13	This data item is applicable to all firms in this table except a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11 11
2Note 14	FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.
2Note 15	FSA029, FSA030,24 11 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 24 24 24
2Note 16	[deleted]8 8
5Note 17	[deleted]11 11
6Note 18	Only applicable to firms that have an IRB permission.11 11
6Note 19	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15 securitisations of non-trading book exposures 15.
11Note 20	Only applicable to a firm that has a solo consolidation waiver.
11Note 21	Only applicable to firms that have a managing investments permission.
11Note 22	Only applicable to firms that have permission for establishing, operating or winding up a regulated collective investment scheme.
13Note 23	A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
13Note 24	A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
13Note 25	If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.
13Note 26	(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
13Note 27	Note 26 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.
13Note 28	Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15
15Note 29	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.15AG01/12/2009

13The columns in the table in SUP 16.12.15 R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firmsand BIPRU 730K firms and

SUP 16.12.16R31/12/2010

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

Data item 11	Firms'15 prudential category 15
	BIPRU 730K firm	BIPRU 125K firm and UCITS investment firm	BIPRU 50K firm	UK consolidation group 11or defined liquidity group 13	Firmother than BIPRU firms
Annual report and accounts 11 11	Annually	Annually	Annually		Annually2 8
Annual report and accounts 11 of the mixed-activity holding company	Annually	Annually	Annually
Solvency statement	Annually	Annually	Annually		Annually2
FSA001	Quarterly	Quarterly	Half yearly	Half yearly
FSA002	Quarterly	Quarterly	Half yearly	Half yearly
FSA003	Monthly	Quarterly	Half yearly	Half yearly
FSA004	Quarterly	Quarterly	Half yearly	Half yearly
FSA005	Quarterly	Quarterly	Half yearly	Half yearly11 11
FSA006	Quarterly	Quarterly	Quarterly	Quarterly
FSA007	Annual(note 4)	Annual (note 4)	Annual (note 4)	Annual (note 4)11
FSA008	Quarterly	Quarterly	Quarterly	Quarterly
FSA016	Half yearly	Half yearly	Half yearly
FSA018	Quarterly	Quarterly	Quarterly
FSA019	Annually	Annually	Annually	Annually
FSA028	Half yearly	Half yearly	Half yearly
2FSA029					Quarterly 8
2FSA030					Quarterly 8
2FSA031					Quarterly3
2FSA032					Quarterly3
2FSA033					Quarterly 8
2FSA034					Quarterly 8
2FSA035					Quarterly 8
2FSA036					Quarterly 5 8
2FSA038	Half yearly	Half yearly	Half yearly		Half yearly
2FSA039	Half yearly	Half yearly	Half yearly		Half yearly11

2FSA041	Annually	Annually	Annually		Annually
2FSA042	Quarterly	Quarterly	Quarterly		Quarterly
6FSA045	Quarterly	Quarterly	Half yearly	Half yearly
6FSA046	Quarterly15 15	Quarterly15 15	Quarterly15 15	Quarterly15 15
13FSA047	Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)			Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)
13FSA048	Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)			Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)
13FSA050	Monthly (Note 5)			Monthly (Note 5)
13FSA051	Monthly (Note 5)			Monthly (Note 5)
13FSA052	Weekly or monthly (Notes 5 and 9)			Weekly or monthly (Notes 5 and 10)
13FSA053	Quarterly (Note 5)			Quarterly (Note 5)
13FSA054	Quarterly (Note 5)			Quarterly (Note 5)
13FSA055	Annually (Note 5)			Annually (Note 5)
15FSA058	Quarterly	Quarterly	Quarterly	Quarterly
5Section A RMAR					Half yearly (note 2) Quarterly (note 3)
5Section B RMAR					Half yearly (note 2) Quarterly (note 3)
5Section C RMAR					Half yearly (note 2) Quarterly (note 3)
5Section D1 and D2 RMAR					Half yearly (note 2) Quarterly (note 3)
5Section F RMAR					Half yearly
2Note 1	[deleted]8 8
5Note 2	Annual regulated business revenue up to and including £5 million.
5Note 3	Annual regulated business revenue over £5 million.
11Note 4	The reporting date for this data item is six months after a firm's most recent accounting reference date.
13Note 5	Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular: (1) A week means the period beginning on Saturday and ending on Friday. (2) A month begins on the first day of the calendar month and ends on the last day of that month. (3) Quarters end on 31 March, 30 June, 30 September and 31 December. (4) Daily means each business day. All periods are calculated by reference to London time. Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.
13Note 6	If the report is on a solo basis the reporting frequency is as follows: (1) if the firm does not have an intra-group liquidity modification the frequency is: (a) weekly if the firm is a standard frequency liquidity reporting firm; and (b) monthly if the firm is a low frequency liquidity reporting firm; (2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is: (a) weekly if the firm is a standard frequency liquidity reporting firm; and (b) monthly if the firm is a low frequency liquidity reporting firm; (3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.
13Note 7	(1) If the report is by reference to the firm's DLG by default the reporting frequency is: (a) weekly if the group liquidity standard frequency reporting conditions are met; (b) monthly if the group liquidity low frequency reporting conditions are met. (2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is: (a) weekly if the group liquidity standard frequency reporting conditions are met; (b) monthly if the group liquidity low frequency reporting conditions are met. (3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.
13Note 8	(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question. (2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question. (3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.
13Note 9	If the report is on a solo basis the reporting frequency is as follows: (1) weekly if the firm is a standard frequency liquidity reporting firm; and (2) monthly if the firm is a low frequency liquidity reporting firm.
13Note 10	If the report is by reference to the firm's UK DLG by modification the reporting frequency is: (1) weekly if the group liquidity standard frequency reporting conditions are met; (2) monthly if the group liquidity low frequency reporting conditions are met.

SUP 16.12.22AR01/10/2011

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

11Description ofData item	Firms'15 prudential category and applicable data item (note 1) 15
	BIPRU 730K firm	BIPRU 125K firmandUCITS investment firm	BIPRU 50K firm	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
Annual report and accounts	No standard format			No standard format
Annual report and accounts of the mixed-activity holding company (note 10)	No standard format
Solvency statement	No standard format (note 11)
Balance Sheet	FSA001 (note 2)	FSA001 (note 2)	FSA001 (note 2)	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)
Market risk	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)
Market risk - supplementary	FSA006 (note 5)	FSA006 (note 5)	FSA006 (note 5)
Operational risk	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)
Large exposures	FSA008 (Notes 2, 615) 15	FSA008 (Notes 2, 615) 15	FSA008 (Notes 2, 615) 15
UK integrated group large exposures	FSA018 (note 12)	FSA018 (note 12)	FSA018 (note 12)
Solo consolidation data	FSA016	FSA016	FSA016
Pillar 2 questionnaire	FSA019 (note 8)	FSA019 (note 8)	FSA019 (note 8)
Non-EEA sub-group	FSA028 (note 9)	FSA028 (note 9)	FSA028 (note 9)
Professional indemnity insurance (note 15)	Section E RMAR	Section E RMAR	Section E RMAR		Section E RMAR	Section E RMAR
Threshold Conditions				Section F RMAR	Section F RMAR
Training and Competence	Section G RMAR	Section G RMAR	Section G RMAR	Section G RMAR	Section G RMAR	Section G RMAR
COBS data	Section H RMAR	Section H RMAR	Section H RMAR	Section H RMAR	Section H RMAR	Section H RMAR
Client money and client assets	Section C RMAR	Section C RMAR	Section C RMAR	Section C RMAR	Section C RMAR
Fees and levies	Section J RMAR	Section J RMAR	Section J RMAR	Section J RMAR	Section J RMAR
IRB portfolio risk	FSA045 (note 13)	FSA045 (note 13)	FSA045 (note 13)
Securitisation: non-trading book15	FSA046 (note 14)	FSA046 (note 14)	FSA046 (note 14)
13Daily Flows	FSA047 (Notes 16, 19 and 21)
13Enhanced Mismatch Report	FSA048 (Notes 16, 19 and 21)
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 17, 20 and 21)
13Funding Concentration	FSA051 (Notes 17, 20 and 21)
13Pricing data	FSA052 (Notes 17, 20 and 21)
13Retail and corporate funding	FSA053 (Notes 17, 20 and 21)
13Currency Analysis	FSA054 (Notes 17, 20 and 21)
13Systems and Controls Questionnaire	FSA055 (Note 18)
15Securitisation: trading book	FSA058 (Note 22)	FSA058 (Note 22)	FSA058 (Note 22)
Note 1	When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R, or SUP 16 Annex 18A R in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G, or SUP 16 Annex 18B G in the case of the RMAR.
Note 2	Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.
Note 3	This applies to a firm that is required to submit data item FSA003 and, at any tine within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.
Note 4	This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.
Note 5	Only applicable to firms with a VaR model permission.
Note 6	This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.
Note 7	This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach under BIPRU 6.
Note 8	Only applicable to BIPRU investment firms that: (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or (b) have been granted an investment firm consolidation waiver; or (c) are not subject to consolidated supervision under BIPRU 8. A BIPRU investment firm under (a) must complete the report on the basis of its UK consolidation group. A BIPRU investment firm under (b) or (c) must complete the report on the basis of its solo position.
Note 9	This will be applicable to firms that are members of a UK consolidation group on the reporting date.
Note 10	Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
Note 11	Only applicable to 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 of15 securitisations of non-trading book exposures 15.
Note 15	This item only applies to firms that are subject to an FSA requirement to hold professional indemnity insurance and are not exempt CAD firms.
13Note 16	A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
13Note 17	A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
13Note 18	If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.
13Note 19	(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
13Note 20	Note 19 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.
13Note 21	Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.
15Note 22	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.22BG01/12/2009

13The columns in the table in SUP 16.12.22A R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firms and BIPRU 730K firms

SUP 16.12.25AR01/10/2011

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

Description of data item	Firms'15 prudential category and applicable data item (note 1) 15
	BIPRU			Firmsother thanBIPRU firms
	730K	125K	50K	IPRU(INV)Chapter 3	IPRU(INV)Chapter 5	IPRU(INV)Chapter 9	IPRU(INV)Chapter 133	UPRU
Annual report and accounts 11 11	No standard format8
Annual report and accounts 11 of the mixed-activity holding company (note 10)	No standard format
Solvency statement (note 11)	No standard format							No standard format5
Balance sheet	FSA001 (note 2)	FSA001 (note 2)	FSA001 (note 2)	FSA029 11	FSA029 11	FSA029	Section A RMAR (note 17)5or FSA02911 11	11
Income statement	FSA002 (note 2)	FSA002 (note 2)	FSA002 (note 2)	FSA030 11	FSA030 11	FSA030	Section B RMAR (note 17)5or FSA03011 11	FSA030 11
Capital adequacy	FSA003 (note 2)	FSA003 (note 2)	FSA003 (note 2)	FSA033 11	FSA034 or FSA035 (note 14) 11	FSA03111	Section D1 and D2 RMAR (note 17)5 or FSA 032 (note 15) 11	FSA036 11
Credit risk	FSA004 (note 2, 3)	FSA004 (note 2, 3)	FSA004 (note 2, 3)
Market risk	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)	FSA005 (notes 2, 4)
Market risk - supplementary	FSA006 (note 5)	FSA006 (note 5)	FSA006 (note 5)
Operational risk	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)	FSA007 (notes 2, 6, 7)
Large exposures	FSA008 (Notes 2, 615) 15	FSA008 (Notes 2, 615) 15	FSA008 (Notes 2, 615) 15
UK Integrated group large exposures	FSA018 (note 12)	FSA018 (note 12)	FSA018 (note 12)
Solo consolidation data	FSA016 (note 20)11	FSA016 (note 20)11	FSA016 (note 20)11
Pillar 2 questionnaire	FSA019 (note 8)	FSA019 (note 8)	FSA019 (note 8)
Non-EEA sub-group	FSA028 (note 9)	FSA028 (note 9)	FSA028 (note 9)3
5Threshold conditions							Section F RMAR (note 17)	11
Client money and client assets11	FSA039	FSA039	FSA039	FSA039	FSA039	FSA039	Section C RMAR (Note 13) or 24FSA039	FSA03911 24
6IRB portfolio risk	FSA045 (note 18)	FSA045 (note 18)	FSA045 (note 18)
6Securitisation: non-trading book15	FSA046 (note 19)	FSA046 (note 19)	FSA046 (note 19)
13Daily Flows	FSA047 (Notes 21, 24 and 26)
13Enhanced Mismatch Report	FSA048 (Notes 21, 24 and 26)
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 22, 25 and 26)
13Funding Concentration	FSA051 (Notes 22, 25 and 26)
13Pricing data	FSA052 (Notes 22, 25 and 26)
13Retail and corporate funding	FSA053 (Notes 22, 25 and 26)
13Currency Analysis	FSA054 (Notes 22, 25 and 26)
13Systems and Controls Questionnaire	FSA055 (Note 23)
15Securitisation: trading book	FSA058 (Note 27)	FSA058 (Note 27)	FSA058 (Note 27)
Note 1:	When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.
Note 2	Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. 11
Note 3	This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.11 The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.11 11
Note 4	This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. 11 The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.11 11
Note 5	Only applicable to firms with a VaR model permission.11 11
Note 6	This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.
Note 7	This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach 11under BIPRU 6.3 11
Note 8	Only applicable to BIPRU investment firms 5that : (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or11 (b) have been granted an investment firm consolidation waiver; or11 (c) are 11not subject to consolidated supervision under BIPRU 8. A BIPRU investment firm 5under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm 5 under (b) or (c) must11 complete the report on the basis of its solo position. 11 11 11 11 11
Note 9	This will be applicable to firms that are members of a UK consolidation group 4 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. 5
Note 16	[deleted]11 11
5Note 17	This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm.
6Note 18	Only applicable to firms that have an IRB permission.11 11
6Note 19	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of 15 securitisations of non-trading book exposures 15. 15
11Note 20	Only applicable to a firm that has a solo consolidation waiver.
13Note 21	A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
13Note 22	A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
13Note 23	If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.
13Note 24	(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
13Note 25	Note 24 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.
13Note 26	Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15
15Note 27	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of trading book exposures.

SUP 16.12.25BG01/12/2009

13The columns in the table in SUP 16.12.25A R that deal with BIPRU 50K firms and BIPRU 125K firms cover some liquidity items that only have to be reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU 125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table in this way is that the classification of firms into ILAS BIPRU firms and non-ILAS BIPRU firms is not based on the classification into BIPRU 50K firms, BIPRU 125K firms and BIPRU 730K firms and

SUP 16.12.26R31/12/2010

The applicable reporting frequencies for data items referred to in SUP 16.12.25A R are set out according to the type of firm 2 in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

Data item 11	BIPRU 730K firm	BIPRU 125K firm	BIPRU 50K firm	UK consolidation group 11 or defined liquidity group 13 11	Firms other than BIPRU firms
Annual reports and accounts 11 11	Annually	Annually	Annually		Annually 2 8
Annual report and accounts 11of the mixed-activity holding company 11	Annually	Annually	Annually	Annually
Solvency statement	Annually	Annually	Annually		Annually2
FSA001	Quarterly	Quarterly	Half yearly	Half yearly
FSA002	Quarterly	Quarterly	Half yearly	Half yearly
FSA003	Monthly	Quarterly	Half yearly	Half yearly
FSA004	Quarterly	Quarterly	Half yearly	Half yearly
FSA005	Quarterly	Quarterly	Half yearly	Half yearly11 11
FSA006	Quarterly	Quarterly	Quarterly
FSA007	Annually(note 4)11	Annually(note 4)11	Annually(note 4)11	Annually (note 4)11
FSA008	Quarterly	Quarterly	Quarterly	Quarterly
FSA016	Half yearly	Half yearly	Half yearly
FSA018	Quarterly	Quarterly	Quarterly
FSA019	Annually	Annually	Annually	Annually
FSA028	Half yearly	Half yearly	Half yearly
2FSA029					Quarterly 8
2FSA030					Quarterly 8
2FSA031					Quarterly
2FSA032					Quarterly
2FSA033					Quarterly 8
2FSA034					Quarterly 8
2FSA035					Quarterly 8
2FSA036					Quarterly5 8
2FSA039	Half yearly	Half yearly	Half yearly	11	Half yearly11
6FSA045	Quarterly	Quarterly	Half yearly	Half yearly
6FSA046	Quarterly15 15	Quarterly15 15	Quarterly15 15	Quarterly15 15
13FSA047	Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)			Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)
13FSA048	Daily, weekly, monthly or quarterly (Notes 5, 6 and 8)			Daily, weekly, monthly or quarterly (Notes 5, 7 and 8)
13FSA050	Monthly (Note 5)			Monthly (Note 5)
13FSA051	Monthly (Note 5)			Monthly (Note 5)
13FSA052	Weekly or monthly (Notes 5 and 9)			Weekly or monthly (Notes 5 and 10)
13FSA053	Quarterly (Note 5)			Quarterly (Note 5)
13FSA054	Quarterly (Note 5)			Quarterly (Note 5)
13FSA055	Annually (Note 5)			Annually (Note 5)
15FSA058	Quarterly	Quarterly	Quarterly	Quarterly
5Section A RMAR					Half yearly (note 2) Quarterly (note 3)
5Section B RMAR					Half yearly (note 2) Quarterly (note 3)
5Section C RMAR					Half yearly (note 2) Quarterly (note 3)
5Section D1 and D2 RMAR					Half yearly (note 2) Quarterly (note 3)
5Section F RMAR					Half yearly
2Note 1	[deleted]8 8
5Note 2	Annual regulated business revenue up to and including £5 million.
5Note 3	Annual regulated business revenue over £5 million.
11Note 4	The reporting date for this data item is six months after a firm's most recent accounting reference date.
13Note 5	Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular: (1) A week means the period beginning on Saturday and ending on Friday. (2) A month begins on the first day of the calendar month and ends on the last day of that month. (3) Quarters end on 31 March, 30 June, 30 September and 31 December. (4) Daily means each business day. All periods are calculated by reference to London time. Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.
13Note 6	If the report is on a solo basis the reporting frequency is as follows: (1) if the firm does not have an intra-group liquidity modification the frequency is: (a) weekly if the firm is a standard frequency liquidity reporting firm; and (b) monthly if the firm is a low frequency liquidity reporting firm; (2) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is: (a) weekly if the firm is a standard frequency liquidity reporting firm; and (b) monthly if the firm is a low frequency liquidity reporting firm; (3) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.
13Note 7	(1) If the report is by reference to the firm's DLG by default the reporting frequency is: (a) weekly if the group liquidity standard frequency reporting conditions are met; (b) monthly if the group liquidity low frequency reporting conditions are met. (2) If the report is by reference to the firm's UK DLG by modification the reporting frequency is: (a) weekly if the group liquidity standard frequency reporting conditions are met; (b) monthly if the group liquidity low frequency reporting conditions are met. (3) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.
13Note 8	(1) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question. (2) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question. (3) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (1) or (2) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.
13Note 9	If the report is on a solo basis the reporting frequency is as follows: (1) weekly if the firm is a standard frequency liquidity reporting firm; and (2) monthly if the firm is a low frequency liquidity reporting firm.
13Note 10	If the report is by reference to the firm's UK DLG by modification the reporting frequency is: (1) weekly if the group liquidity standard frequency reporting conditions are met; (2) monthly if the group liquidity low frequency reporting conditions are met.

SYSC 7.1.10R01/01/2007

A BIPRUfirm must operate through effective systems the ongoing administration and monitoring of its various credit risk-bearing portfolios and exposures, including for identifying and managing problem credits and for making adequate value adjustments and provisions.[Note: annex V paragraph 4 of the Banking Consolidation Directive]

SYSC 7.1.11R01/01/2007

A BIPRUfirm must adequately diversify credit portfolios given its target market and overall credit strategy.[Note: annex V paragraph 5 of the Banking Consolidation Directive]

SYSC 7.1.12G01/01/2007

The documentation maintained by a BIPRUfirm under SYSC 4.1.3 R should include its policy for credit risk, including its risk appetite and provisioning policy and should describe how it measures, monitors and controls that risk. This should include descriptions of the systems used to ensure that the policy is correctly implemented.

SYSC 7.1.13R01/01/2007

A BIPRUfirm must address and control by means of written policies and procedures the risk that recognised credit risk mitigation techniques used by it prove less effective than expected.[Note: annex V paragraph 6 of the Banking Consolidation Directive]

SYSC 7.1.14R01/01/2007

A BIPRUfirm must implement policies and processes for the measurement and management of all material sources and effects of market risks.[Note: annex V paragraph 10 of the Banking Consolidation Directive]

SYSC 7.1.15R01/01/2007

A BIPRU firm must implement systems to evaluate and manage the risk arising from potential changes in interest rates as they affect a BIPRUfirm's non-trading activities.[Note: annex V paragraph 11 of the Banking Consolidation Directive]

SYSC 7.1.16R01/01/2007

A BIPRUfirm must implement policies and processes to evaluate and manage the exposure to operational risk, including to low-frequency high severity events. Without prejudice to the definition of operational risk, BIPRUfirms must articulate what constitutes operational risk for the purposes of those policies and procedures.[Note: annex V paragraph 12 of the Banking Consolidation Directive]

BIPRU 12.6.1G01/12/2009

The FSA recognises that it may not always be appropriate to apply BIPRU 12.5 (Individual Liquidity Adequacy Standards) to every ILAS BIPRU firm. For a firm which operates a relatively simple business model, it may instead be appropriate to allow the firm to calculate the size and content of its liquid assets buffer according to a simplified approach prescribed in the Handbook in advance of any review of that firm'sliquidity risk conducted by the FSA. This section sets out the

BIPRU 12.6.2R01/12/2009

An ILAS BIPRU firm that wishes to operate the simplified ILAS approach must:(1) satisfy the conditions in BIPRU 12.6.6R to BIPRU 12.6.8R; and(2) obtain a simplified ILAS waiver from the FSA.

BIPRU 12.6.4R01/12/2009

A simplified ILAS BIPRU firm must calculate the size of its simplified buffer requirement in accordance with BIPRU 12.6.9Rto BIPRU 12.6.18R.

BIPRU 12.6.5G01/12/2009

The FSA is likely to regard a simplified ILAS BIPRU firm whose liquid assets buffer accords with the simplified buffer requirement as having an adequate buffer of assets and a prudent funding profile for the purpose of BIPRU 12.2.8R. However, the simplified ILAS approach does not relieve a simplified ILAS BIPRU firm from the obligation to hold liquidity resources which are adequate for the purpose of meeting the overall liquidity adequacy rule or from the obligation in BIPRU

BIPRU 12.6.9R01/10/2010

(1) A simplified ILAS BIPRU firm must ensure that the size of its liquid assets buffer is at all times greater than or equal to the amount produced by adding:(a) the wholesale net cash outflow component;(b) the retail and SME deposit3component; and(c) the credit pipeline component.(2) This is the simplified buffer requirement.

BIPRU 12.6.16R01/10/2010

(1) A simplified ILAS BIPRU firm may only include in its liquid assets buffer eligible government and designated multilateral development bank debt securities up to the value of the buffer securities restriction.(2) For the purpose of calculating the buffer securities restriction, a firm must:(a) calculate its daily net flow in government and designated multilateral development bank debt securities eligible as classes of assets for inclusion in the firm's liquid assets buffer;(b)

BIPRU 12.6.19G01/12/2009

The rules in BIPRU 12.7 set out the sorts of assets that are eligible for the liquid assets buffer of an ILAS BIPRU firm. Every ILAS BIPRU firm may include in its buffer reserves in the form of sight deposits at a central bank and high quality debt securities issued by governments and designated multilateral development banks subject to the eligibility rules in BIPRU 12.7. BIPRU 12.7 provides that a simplified ILAS BIPRU firm may also include in its buffer investments in a designated

BIPRU 12.6.20G01/12/2009

A simplified ILAS BIPRU firm may include in the liquid assets buffer any combination of the eligible assets permitted by the rules in BIPRU 12.7.

BIPRU 12.6.21R01/12/2009

(1) A simplified ILAS BIPRU firm must regularly carry out an ILSA which contains an assessment of the firm's compliance with the standards set out in BIPRU 12.3 and BIPRU 12.4, including the results of the stress tests required by the rules in BIPRU 12.4.(2) The firm must make a written record of its ILSA.(3) The ILSA must be proportionate to the nature, scale and complexity of that firm's activities.(4) The ILSA must take into account group-wide liquidity resources only to the

BIPRU 12.9.1G01/12/2009

The FSA will give individual liquidity guidance to a standard ILAS BIPRU firm. Ordinarily, the FSA will give individual liquidity guidance after a review of a standard ILAS BIPRU firm'sILAA. The FSA will, however, issue individual liquidity guidance to such a firm whenever it is considered appropriate.

BIPRU 12.9.2G01/12/2009

In assessing the adequacy of an ILAS BIPRU firm's liquidity resources, the FSA draws on more than just a review of the submitted ILAA, or in the case of a simplified ILAS BIPRU firm, the submitted ILSA. Use is made of wider supervisory knowledge of a firm and of wider market developments and practices. When forming a view of the individual liquidity guidance to be given to an ILAS BIPRU firm, the FSA will also consider the firm's ARROW risk assessment and any other issues arising

BIPRU 12.9.4G01/12/2009

As part of the SLRP, the FSA will give a standard ILAS BIPRU firmindividual liquidity guidance advising it of the amount and quality of liquidity resources which the FSA considers are appropriate, having regard to the liquidity risk profile of that firm. In giving individual liquidity guidance, the FSA will also advise the firm of what it considers to be a prudent funding profile for the firm. In giving the firmindividual liquidity guidance as to its funding profile, the FSA will

BIPRU 12.9.5G01/12/2009

The FSA will ordinarily not expect to give individual liquidity guidance to a simplified ILAS BIPRU firm. However, if after review of such a firm'sILSA, the FSA is not satisfied that the simplified buffer requirement delivers an adequate amount and quality of liquidity resources for that firm, having regard to its liquidity risk profile, the FSA will issue the firm with individual liquidity guidance and may also consider revoking the firm'ssimplified ILAS waiver.

BIPRU 12.9.6G01/12/2009

In giving individual liquidity guidance, the FSA seeks a balance between delivering consistent outcomes across the individual liquidity guidance that it gives to every ILAS BIPRU firm and recognising that such guidance should reflect the individual features of a firm. Comparison with the assumptions used by other firms will be used to trigger further enquiry.

BIPRU 12.9.7G01/12/2009

Following an internal validation process, the FSA will write to the standard ILAS BIPRU firm whose ILAA it has reviewed, providing both quantitative and qualitative feedback on the results of the FSA's assessment. This letter will notify that firm of the individual liquidity guidance that the FSA considers appropriate together with its reasons for concluding that such guidance is appropriate. The FSA will adopt the same process where it chooses to give individual liquidity guidance

BIPRU 12.9.10G01/12/2009

In relation to an incoming EEA firm or third country BIPRU firm, where the FSA gives that firmindividual liquidity guidance in relation to its UKbranch, it will have regard to the liquidity risk profile of the branch. In the absence of a whole-firm liquidity modification, the effect of BIPRU 12.2.1R (2)(b) and BIPRU 12.2.3 R is to require the firm to hold a liquid assets buffer of the amount identified as appropriate in its individual liquidity guidance (or in the case of a simplified

BIPRU 12.9.12G01/12/2009

The FSA will examine any deviation on its own facts and will always want to understand clearly the reasons for that deviation and the firm's plans for remedying it. Deviation is, however, likely to prompt a re-examination by the FSA of the firm's compliance, and likely future compliance, with threshold conditions. The FSA will have regard to the information provided by the firm and to any other relevant factors in assessing the firm's continuing ability to satisfy threshold conditions.

BIPRU 12.9.14R01/12/2009

For the purpose of BIPRU 12.9.13 R, the events in question are:(1) in the case of a simplified ILAS BIPRU firm only, breach, or expected breach, of the simplified buffer requirement unless this has been superseded by individual liquidity guidance that it has accepted;(2) in the case of a standard ILAS BIPRU firm or a simplified ILAS BIPRU firm, being a firm which in either case has accepted individual liquidity guidance given to it by the FSA:(a) its liquid assets buffer falling,

BIPRU 8.4.1R01/01/2007

This section applies to a BIPRU investment firm with an investment firm consolidation waiver.

BIPRU 8.4.2G01/01/2007

A BIPRU investment firm may apply for a waiver of the requirement in this chapter to apply capital requirements on a consolidated basis. Such a waiver is called an investment firm consolidation waiver.

BIPRU 8.4.4G01/01/2007

The FSA will not grant an investment firm consolidation waiver unless:(1) the UK consolidation group or non-EEA sub-group meets the conditions for being a CAD Article 22 group;(2) the FSA is satisfied that each BIPRU firm in the UK consolidation group or non-EEA sub-group will be able to meet its capital requirements using the calculation of capital resources in GENPRU 2 Annex 6 (Capital resources table for a BIPRU investment firm with a waiver from consolidated supervision);

BIPRU 8.4.9R01/01/2007

(1) A CAD Article 22 group means a UK consolidation group or non-EEA sub-group that meets the conditions in this rule.(2) There must be no bank, building society or credit institution in the UK consolidation group or non-EEA sub-group .(3) Each CAD investment firm in the UK consolidation group or non-EEA sub-group which is an EEA firm must use the definition of own funds given in the CRD implementation measure of its EEA State for Article 16 of the Capital Adequacy Directive.(4)

BIPRU 8.4.10G01/01/2007

GENPRU 2.2 (Capital resources) says that a BIPRU investment firm with an investment firm consolidation waiver should calculate its capital resources on a solo basis using GENPRU 2 Annex 6 (Capital resources table for a BIPRU investment firm with a waiver from consolidated supervision). GENPRU 2 Annex 6 requires a BIPRU investment firm to deduct contingent liabilities in favour of other members of the UK consolidation group or non-EEA sub-group. Therefore BIPRU 8.4.9R (5)(b) only

BIPRU 8.4.13R01/01/2007

The solo notional capital resources requirement as referred to in BIPRU 8.4.11R (1) is calculated in the same way as:(1) (if each CAD investment firm in the UK consolidation group or non-EEA sub-group is a limited licence firm) the capital resources requirement for a BIPRU limited licence firm; or(2) (in any other case) the capital resources requirement for a BIPRU limited activity firm.

BIPRU 8.3.1R31/12/2010

(1) A BIPRU firm that is a subsidiary undertaking of a BIPRU firm or of a financial holding company must apply the requirements laid down in GENPRU 1.2 (Adequacy of financial resources), the main BIPRU firm Pillar 1 rules (but not the base capital resources requirement) and BIPRU 10 (Large exposures2 requirements) on a sub-consolidated basis if the BIPRU firm, or the parent undertaking where it is a financial holding company, have a third country banking or investment services

BIPRU 8.3.8G01/01/2007

The sub-group of the BIPRU firm identified in BIPRU 8.3.7G (2)(a) or BIPRU 8.3.7G (2)(b) is a potential non-EEA sub-group.

BIPRU 8.3.9G01/01/2007

If more than one BIPRU firm is a direct or indirect parent undertaking in accordance with BIPRU 8.3.7G (2)(a) then the sub-groups of each of 1them are all potential non-EEA sub-groups. This is illustrated in example three in BIPRU 8 Annex 3 (Examples of how to identify a non-EEA sub-group), where the sub-group of UK bank 1 and the sub-group of UK bank 2 are potential non-EEA sub-groups.

BIPRU 8.3.10G01/01/2007

Similarly if there is more than one BIPRU firm that holds a participation in the third country banking or investment services undertaking in accordance with BIPRU 8.3.7G (2)(b) then the sub-group of each such BIPRU firm is a potential non-EEA sub-group.

BIPRU 8.3.12G01/01/2007

The firm should then identify each undertaking in the firm'sUK consolidation group that satisfies the following conditions:(1) it is an institution, financial institution or asset management company whose head office is outside the EEA (a third country investment services undertaking);(2) one of the following applies:(a) it is a subsidiary undertaking of a financial holding company in that UK consolidation group; or(b) a financial holding company in that UK consolidation group

BIPRU 1.1.1G01/01/2007

1There is no overall application statement for BIPRU. Each chapter or section has its own application statement. Broadly speaking however, BIPRU applies to:(1) a bank;(2) a building society;(3) a BIPRU investment firm; and(4) groups containing such firms.

BIPRU 1.1.7R01/01/2007

None of the following is a BIPRU firm and each of the following is excluded from each of the categories of BIPRU investment firm listed in BIPRU 1.1.6 R (3) to BIPRU 1.1.6R (5) and BIPRU 1.1.18 R (2) to (4):(1) an incoming EEA firm;(2) an incoming Treaty firm;(3) any other overseas firm;(4) an ELMI;(5) an insurer; and(6) an ICVC.

BIPRU 1.1.10G01/12/2009

(1) This paragraph applies to an undertaking that would be a third country BIPRU firm if it were authorised under the Act.(2) Except in exceptional circumstances, it is the FSA's policy that it will not give an overseas applicant a Part IV permission unless the FSA is satisfied that the applicant will be subject to prudential regulation by its home state regulatory body that is broadly equivalent to that provided for in the Handbook and the applicable EEA prudential sectoral legislation.

BIPRU 1.1.23R31/12/2010

(1) Dealing on own account means (for the purpose of GENPRU and BIPRU) the service of dealing in any financial instruments for own account as referred to in point 33 of Section A of Annex I 3to MiFID3, subject to (2) and (3).333(2) In accordance with article55(2) of the Capital Adequacy Directive (Definition of dealing on own account), a CAD investment firm that executes investors' orders for financial instruments and holds such financial instruments for its own account does not

BIPRU 12.1.3G01/12/2009

A firm that is an exempt full scope BIPRU investment firm is not an ILAS BIPRU firm.

BIPRU 12.1.6G01/12/2009

There are some provisions in other sections of BIPRU 12 which apply only to an ILAS BIPRU firm. Where this is the case, the provision in question says so.

BIPRU 12.1.7R01/12/2009

In relation to an incoming EEA firm or a third country BIPRU firm, this chapter applies only with respect to the activities of the firm'sUK branch.

GENPRU 1.2.1R01/12/2009

This section applies to:(1) a BIPRU firm; and5(2) an insurer, unless it is:(a) a non-directive friendly society; or(b) a Swiss general insurer; or(c) an EEA-deposit insurer; or(d) an incoming EEA firm; or(e) an incoming Treaty firm.55(3) [deleted]55

GENPRU 1.2.14G31/12/2006

In the case of a bank or building society this section implements Article 123 and (in part) Annex XI of the Banking Consolidation Directive. In the case of a BIPRU investment firm this section implements Article 34 of the Capital Adequacy Directive so far as that Article applies Article 123 of the Banking Consolidation Directive.

GENPRU 1.2.16G24/09/2010

This section also has rules requiring a firm to carry out appropriate stress tests and scenario analyses for the risks it has previously identified and to establish the amount of financial resources needed in each of the circumstances and events considered in carrying out the stress tests and scenario analyses. In the case of a BIPRU firm, the FSA will consider as part of its SREP whether the BIPRU firm should hold a capital planning buffer and, in such a case, the amount and

GENPRU 1.2.33R31/12/2010

(1) This rule amplifies some of the obligations in the overall Pillar 2 rule.(2) In the case of a BIPRU firm the processes, strategies and systems relating to concentration risk must include those necessary to ensure compliance with BIPRU 10 (Large exposures7 requirements).7(3) As part of its obligations in respect of market risk, a BIPRU firm must consider whether the value adjustments and provisions taken for positions and portfolios in the trading book enable the firm to sell

GENPRU 1.2.42R14/12/2009

(1) As part of its obligation under the overall Pillar 2 rule, a firm must, for the major sources of risk identified in accordance with GENPRU 1.2.30R (2), carry out stress tests and scenario analyses that are appropriate to the nature, scale and complexity6 of those major sources of risk and to the nature, scale and complexity of the firm's business.666(a) [deleted]66(b) [deleted]66(i) [deleted]66(ii) [deleted]66(iii) [deleted]66(iv) [deleted]66(2) In carrying out the stress

GENPRU 1.2.42BG14/12/2009

6A BIPRU firm with an IRB permission which has any material credit exposures excluded from its IRB models should also include these exposures in its stress and scenario testing to meet its obligations under the general stress and scenario testing rule. A BIPRU firm without an IRB permission, or an insurer that has any material credit and counterparty credit risk exposures, should conduct analyses to assess risks to the credit quality of its counterparties, including any protection

GENPRU 1.2.62G31/12/2006

Where a firm assesses the adequacy of its CRR in its particular circumstances in accordance with BIPRU 2.2 (Internal capital adequacy standards) and INSPRU 7.1 (Individual capital assessment) as a basis for deciding what financial resources are adequate, it should include this in the documentation produced in accordance with GENPRU 1.2.60 R.

GENPRU 1.2.70G14/12/2009

Where a firm is exposed to market risk, the6 time horizon over which stress tests and scenario analyses 6should be carried out will 6depend on, among other things,6 the maturity and liquidity of the positions stressed. For example, for the market risk arising from the holding of investments, this will 6depend upon:6666(1) the extent to which there is a regular, open and transparent market in those assets, which would allow fluctuations in the value of the investment to be more

BIPRU 12.3.3G01/12/2009

BIPRU 12.5.4R provides that, in relation to a standard ILAS BIPRU firm, it must include in its ILAA an assessment of its compliance with the standards set out in BIPRU 12.3and BIPRU 12.4, including the results of the stress tests required by the rules in BIPRU 12.4. A simplified ILAS BIPRU firm is not subject to BIPRU 12.5 and consequently it is not required to prepare an ILAA. Instead, the rules in BIPRU 12.6 provide that such a firm is to carry out an ILSA, being alone an assessment

BIPRU 12.3.4AG01/10/2010

2The strategies, policies, processes and systems referred to in BIPRU 12.3.4 R should include those which enable it to assess and maintain on an ongoing basis the amounts, types and distribution of liquidity resources that it considers adequate to cover:(1) the nature and level of the liquidity risk to which it is or might be exposed;(2) the risk that the firm cannot meet its liabilities as they fall due; and(3) in the case of an ILAS BIPRU firm, the risk that its liquidity resources

BIPRU 12.3.7G01/12/2009

As well as the rules in BIPRU 12.3 requiring a firm to have robust systems to enable it to identify, measure, manage and monitor liquidity risk, an ILAS BIPRU firm is also subject to obligations in SUP 16 (Reporting requirements) requiring it to report quantitative data about its liquidity position to the FSA. That chapter of SUP sets out the applicable data items and the rules governing the frequency of their submission to the FSA. Absent a firm-specific liquidity stress or a

BIPRU 12.3.9G06/08/2010

As part of the SLRP, the FSA will assess the appropriateness of the liquidity risk tolerance adopted by an ILAS BIPRU firm to ensure that this risk tolerance is consistent with maintenance by the firm of adequate liquidity resources for the purpose of the overall liquidity adequacy rule. The FSA will expect a firm to provide it with an adequately reasoned explanation for the level of liquidity risk which that firm'sgoverning body has decided it should assume. In assessing the

BIPRU 12.3.14G01/12/2009

The FSA will assess the adequacy of an ILAS BIPRU firm'sliquidity risk management framework as part of the SLRP.

GENPRU 1.1.2G31/12/2006

Broadly speaking however, GENPRU applies to:(1) an insurer;(2) a bank;(3) a building society;(4) a BIPRU investment firm; and(5) groups containing such firms.

BIPRU 8.5.1R01/01/2007

A firm must include only the following types of undertaking in a UK consolidation group or non-EEA sub-group for the purposes of this chapter:(1) a BIPRU firm;(2) an institution;(3) a financial institution;(4) an asset management company;(5) a financial holding company; and(6) an ancillary services undertaking.

BIPRU 8.5.9R01/01/2007

A firm may, having first notified the FSA in writing in accordance with SUP 15.7 (Form and method of notification), exclude an institution, asset management company, financial institution or ancillary services undertaking that is a subsidiary undertaking in, or an undertaking in which a participation is held by, the UK consolidation group or non-EEA sub-group if the balance sheet total of that undertaking is less than the smaller of the following two amounts:(1) 10 million Euros;(2)

BIPRU 8.5.11G01/01/2007

Article 73(1) of the Banking Consolidation Directive allows the FSA to decide to exclude an institution, financial institution, asset management company or ancillary services undertaking that is a subsidiary undertaking in, or an undertaking in which a participation is held by, the UK consolidation group or non-EEA sub-group for the purposes of this chapter in the following circumstances:(1) where the head office of the undertaking concerned is situated in a country outside the

GENPRU 2.3.35G31/12/2006

The effect of GENPRU 2.3.34 R is that Lloyd's members' contributions, including letters of credit, guarantees and life assurance policies, are admissible assets.

GENPRU 3.2.2G01/01/2007

GENPRU 3.2 implements in part Article 18 of the Financial Groups Directive, Article 143 of the Banking Consolidation Directive.

GENPRU 3.2.9R01/01/2007

If the Part IV permission of a firm contains a requirement obliging it to comply with this rule with respect to a third-country banking and investment group of which it is a member, it must comply, with respect to that third-country banking and investment group, with the rules in Part 2 of GENPRU 3 Annex 2, as adjusted by Part 3 of that annex.

BIPRU 12.7.1G01/12/2009

BIPRU 12.2 provides that an ILAS BIPRU firm must ensure that its liquidity resources contain an adequate buffer of high quality, unencumbered assets. BIPRU 12.7 describes in more detail the nature of the assets that are eligible for inclusion in that buffer. The rules in this section provide that some types of assets are eligible for use only by a simplified ILAS BIPRU firm.

BIPRU 12.7.2R01/12/2009

For the purpose of satisfying BIPRU 12.2.8R, a firm to which this section applies may only include in its liquid assets buffer:(1) high quality debt securities issued by a government or central bank;(2) securities issued by a designated multilateral development bank;(3) reserves in the form of sight deposits with a central bank of the kind specified in BIPRU 12.7.5R and BIPRU 12.7.6R; and(4) in the case of a simplified ILAS BIPRU firm only, investments in a designated money market

BIPRU 8.1.1R30/04/2011

1This chapter applies to:(1) a BIPRU firm that is a member of a UK consolidation group;(2) a BIPRU firm that is a member of a non-EEA sub-group; and2(3) [deleted]22(4) a firm that is not a BIPRU firm and is a parent financial holding company in a Member State in a UK consolidation group.

Related provisions for GENPRU 2.2.123

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