Related provisions for BIPRU 9.13.16

BIPRU 7.2.48DR31/12/2011

Table: specific risk PRAs- standardised approach

3Credit quality step	1	2	3	4 (only for credit assessments other than short-term credit assessments)	All other credit quality steps
Securitisations	1.6%	4%	8%	28%	100%
Resecuritisations	3.2%	8%	18%	52%	100%
A firm may only apply the PRAs in this table where it would have to calculate a risk weighted exposure amount in accordance with the standardised approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate PRA is calculated as 8% of the risk weight that would apply to the position under the standardised approach in BIPRU 9.11.2 R, subject to the requirements of BIPRU 9.9 to BIPRU 9.11, where appropriate.

BIPRU 7.2.48ER31/12/2011

Table: specific risk PRAs - IRB approach

3Credit Quality Step		Securitisation positions			Resecuritisation positions
Credit assessments other than short term	Short-term credit assessments	A	B	C	D	E
1	1	0.56%	0.96%	1.6%	1.6%	2.4%
2		0.64%	1.20%	2%	2%	3.2%
3		0.8%	1.44%	2.8%	2.8%	4%
4	2	0.96%	1.6%		3.2%	5.2%
5		1.60%	2.8%		4.8%	8%
6		2.8%	4%		8%	12%
7	3	4.8%	6%		12%	18%
8		8%			16%	28%
9		20%			24%	40%
10		34%			40%	52%
11		52%			60%	68%
all other unrated		100%
A firm may only apply the PRAs in this table where it would have to calculate a risk weighted exposure amount in accordance with the IRB approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate PRA is calculated as 8% of the risk weight that would apply to the position under the IRB approach in BIPRU 9.12.11 R, subject to the requirements in BIPRU 9.12 where appropriate.

SUP 16.12.11R31/12/2011

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 , 31 and 33)21 21
13Enhanced Mismatch Report	FSA048 (Notes 26, 29, 31 and 33)21 21
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 27, 30, 31 and 33)21 21
13Funding Concentration	FSA051 (Notes 27, 30, 31 and 33)21 21
13Pricing data	FSA052 (Notes 27, 31, 33 and 34)21 22 21
13Retail and corporate funding	FSA053 (Notes 27, 30, 31 and 33)21 21
13Currency Analysis	FSA054 (Notes 27, 30, 31 and 33)21 21
13Systems and Controls Questionnaire	FSA055 (Notes 28 and 33)21 21
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 in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.25 21 25
21Note 33	FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.22
22Note 34	This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

SUP 16.12.15R31/12/2011

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, 28 and 30)21 21
13Enhanced Mismatch Report	FSA048 (Notes 23, 26, 28 and 30)21 21
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 24, 27, 28 and 30)21 21
13Funding Concentration	FSA051 (Notes 24, 27, 28 and 30)21 21
13Pricing data	FSA052 (Notes 24, 28, 30 and 31)21 22 21
13Retail and corporate funding	FSA053 (Notes 24, 27, 28 and 30)21 21
13Currency Analysis	FSA054 (Notes 24, 27, 28 and 30)21 21
13Systems and Controls Questionnaire	FSA055 (Notes 25 and 30)21 21
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 in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.25 21 25
21Note 30	FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.22
22Note 31	This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

SUP 16.12.22AR31/12/2011

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, 21 and 24)21 21
13Enhanced Mismatch Report	FSA048 (Notes 16, 19, 21 and 24)21 21
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 17, 20, 21 and 24)21 21
13Funding Concentration	FSA051 (Notes 17, 20, 21 and 24)21 21
13Pricing data	FSA052 (Notes 17, 20, 24 and 25)21 22 21
13Retail and corporate funding	FSA053 (Notes 17, 20, 21 and 24)21 21
13Currency Analysis	FSA054 (Notes 17, 20, 21 and 24)21 21
13Systems and Controls Questionnaire	FSA055 (Notes 18 and 24)21 21
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 in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.25 21
21Note 24	FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.22
22Note 25	This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

SUP 16.12.25AR31/12/2011

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)21 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, 26 and 28)21 21
13Enhanced Mismatch Report	FSA048 (Notes 21, 24, 26 and 28)21 21
13Liquidity Buffer Qualifying Securities	FSA050 (Notes 22, 25, 26 and 28)21 21
13Funding Concentration	FSA051 (Notes 22, 25, 26 and 28)21 21
13Pricing data	FSA052 (Notes 22, 26, 28 and 29)21 22 21
13Retail and corporate funding	FSA053 (Notes 22, 25, 26 and 28)21 21
13Currency Analysis	FSA054 (Notes 22, 25, 26 and 28)21 21
13Systems and Controls Questionnaire	FSA055 (Notes 23 and 28)21 21
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 in the trading book and/25or are the originator or sponsor of securitisations held in the trading book.25 21 25
21Note 28	FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.22
22Note 29	This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

BIPRU 9.12.11R31/12/2011

Table:

This table belongs to BIPRU 9.12.10 R

4

4Credit Quality Step		Securitisation positions			Resecuritisation positions
Credit assessments other than short term	Short-term credit assessments	A	B	C	D	E
1	1	7%	12%	20%	20%	30%
2		8%	15%	25%	25%	40%
3		10%	18%	35%	35%	50%
4	2	12%	20%		40%	65%
5		20%	35%		60%	100%
6		35%	50%		100%	150%
7	3	60%	75%		150%	225%
8		100%			200%	350%
9		250%			300%	500%
10		425%			500%	650%
11		650%			750%	850%
all other, unrated		1250%

[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, referto: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]

[Note:BCD, Annex IX, Part 4, point 46]4

BIPRU 9.11.2R31/12/2011

Table:

This table belongs to BIPRU 9.11.1 R

2

Credit Quality step

1

2

3

4 (only for credit assessments other than short-term credit assessments)2

All other credit quality steps2

2

Securitisation positions 2

2

20%

50%

100%

350%

1250%2

2 Resecuritisation positions

40%

100%

225%

650%

1250%

[Note: For mapping of the credit quality step to the credit assessments of eligible ECAIs, refer to: www.fsa.gov.uk/pubs/international/ecais_securitisation.pdf ]

[Note: BCD, Annex IX, Part 4, point 6, Table 1]2

BIPRU 9.9.9R01/01/2007

Subject to the provisions of GENPRU that deal with the deduction of securitisation positions at stage M in the relevant capital resources table, the risk weighted exposure amount must be included in the firm's total of risk weighted exposure amounts for the purposes of the calculation of its credit risk capital requirement.[Note:BCD Article 96(4)]

BIPRU 3.5.5G01/12/2009

Table : Simplified method of calculating risk weights

This table belongs to BIPRU 3.5.4 G.

Exposure class	Exposure sub-class	Risk weights	Comments
Central government	Exposures to United Kingdom government or Bank of England in sterling	0%
	Exposures to United Kingdom government or Bank of England in the currency of another EEA State	0%	See Note 2.
	Exposures to EEA State's central government or central bank in currency of that state	0%
	Exposures to EEA State's central government or central bank in the currency of another EEA State	0%	See Notes 2 and 3.
	Exposures to central governments or central banks of certain countries outside the EEA in currency of that country	See next column	The risk weight is whatever it is under local law. See BIPRU 3.4.6 R for precise details.
	Exposures to European Central Bank	0%
	Other exposures	100%
Regional/local governments	Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in sterling	0%
	Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in the currency of another EEA State	0%	See Note 2.
	Exposures to EEA States' equivalent regional/local governments in currency of that state	0%	See BIPRU 3.4.17 R for details of type of local/regional government covered.
	Exposures to EEA States' equivalent regional/local governments in the currency of another EEA State	0%	See BIPRU 3.4.17 R for details of type of local/regional government covered. See Notes 2 and 3.
	Exposures to local or regional governments of certain countries outside the EEA in currency of that country	0%	See BIPRU 3.4.19 R for details of type of local/regional government covered. See Note 1.
	Exposures to United Kingdom or EEA States' local/regional government in currency of that state if the exposure has original effective maturity of 3 months or less	20%
	Exposures to United Kingdom or EEA States' local/regional government in the currency of another EEA State if the exposure has original effective maturity of 3 months or less	20%	See Note 2. See Note 3 for local/regional government of an EEA State other than the United Kingdom
	Exposures to local or regional governments of countries outside the EEA in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note 1.
	Other exposures	100%
PSE	Exposures to a PSE of the United Kingdom or of an EEA State if that PSE is guaranteed by its central government and if the exposure is be in currency of that PSE's state.	0%	BIPRU 3.4.24 R describes the United Kingdom PSEs covered and BIPRU 3.4.25 R describes the EEA PSEs covered.
	Exposures to PSE of a country outside the EEA if that PSE is guaranteed by the country's central government and if the exposure is in currency of that country.	0%	See BIPRU 3.4.26 R and Note 1.
	Exposures to a PSE of the United Kingdom or of an EEA State in currency of that state if the exposure has original effective maturity of 3 months or less	20%
	Exposures to a PSEof the United Kingdom or of an EEA State in the currency of another EEA State if the exposure has original effective maturity of 3 months or less	20%	See Notes 2 and 3.
	Exposures to PSE of a country outside the EEA in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note 1.
	Other exposures	100%
Multilateral development banks	Exposures to multilateral development banks listed in paragraph (1) of the Glossary definition	0%	Simplified approach does not apply. Normal rules apply.
Multilateral development banks	Other exposures	Various	Treated as an institution
EU 2, the International Monetary Fund and the Bank for International Settlements 2		0%	Simplified approach does not apply. Normal rules apply.
Institutions	Exposures to United Kingdom institution in sterling with original effective maturity of three months or less	20%
	Exposures to United Kingdom institution in the currency of another EEA State with original effective maturity of three months or less	20%	See Note 2.
	Exposures to institution whose head office is in another EEA State in the currency of that state with original effective maturity of three months or less	20%
	Exposures to institution whose head office is in another EEA State in the currency of another EEA State with original effective maturity of three months or less	20%	See Notes 2 and 3.
	Exposures to institution with a head office in a country outside the EEA in the currency of that country with original effective maturity of three months or less	20%	See Note 1.
	Exposures to United Kingdom institution in sterling with original effective maturity of over three months	50%
	Exposures to United Kingdom institution in the currency of another EEA State with original effective maturity of over three months	50%	See Note 2.
	Exposures to an EEA institution with a head office in another EEA State in the currency of that state with original effective maturity of over three 1months	50%
	Exposures to an EEA institution with a head office in another EEA State in the currency of another EEA State with original effective maturity of over three1 months	50%	See Notes 2 and 3.
	Exposures to institution with a head office in a country outside the EEA in the currency of that country with original effective maturity of over three1 months	50%	See Note 1.
	Other exposures	100%
Corporates		100%
Retail exposures		75%	Simplified approach does not apply. Normal rules apply.
Mortgages on residential or commercial property		Various	Simplified approach does not apply. Normal rules apply.
Past due items		Various	Simplified approach does not apply. Normal rules apply.
High risk items		150%	Simplified approach does not apply. Normal rules apply.
Covered bonds		Various	Risk weights are based on the risk weight of issuer as described in BIPRU 3.4.110 R. The risk weight of the issuer for this purpose should be calculated under the simplified approach.
Securitisation exposures		Generally 1250%. May look through to underlying exposures if BIPRU 9 allows.	Use the BIPRU 9rules for unrated exposures under the standardised approach
Short term exposures with rating			See BIPRU 3.4.112 R. Not applicable as uses ECAI ratings.
CIUs	May look through to underlying under BIPRU 3.4.123 R	Various	Simplified approach does not apply. Normal rules apply. May use simplified approach to underlying if simplified approach applies to underlying.
	May use average risk weight under BIPRU 3.4.124 R	Various	Simplified approach does not apply. Normal rules apply. May use simplified approach to underlyings if simplified approach applies to underlying.
	High risk under BIPRU 3.4.118 R	150%	Simplified approach does not apply. Normal rules apply.
	Others	100%
Other items under BIPRU 3.2.9 R (16)		Various	Simplified approach does not apply. Normal rules apply.
Note 1: The risk weight should not be lower than the risk weight that applies for national currency exposures of the central government of the third country in question under BIPRU 3.5. That means that this risk weight only applies if the third country is one of those to which BIPRU 3.4.6 R (Preferential risk weight for exposures of the central government of countries outside the EEA that apply equivalent prudential standards) applies.
Note 2: This is a transitional measure. It lasts until 31 December 2012.
Note 3: The risk weight should not be lower than the risk weight that applies for exposures of the central government of the EEA State in question in the currency of another EEA State under BIPRU 3.5.

Related provisions for BIPRU 9.13.16

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