Related provisions for BIPRU 3.5.6
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'saccounting 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
96 | the Society (note 1) |
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Frequency |
Submission deadline |
Description of data item |
Frequency |
Submission deadline |
|
Annually |
6 month's after the Society'saccounting reference date |
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Annual Lloyd's return |
Annually |
6 months after the Society'saccounting reference date |
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Syndicate accounts and reports (note 2) |
Annually |
6 months after the Society'saccounting reference date |
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Quarterly reporting statement |
Quarterly |
15 business days after the quarter end |
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Balance Sheet |
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FSA001 (notes 15, 20) or 13 |
Quarterly or half yearly |
(note 14) |
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FSA029 |
Quarterly (note 14) |
(note 14) |
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Income Statement |
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FSA002 (note20), or 13 |
Quarterly or half yearly (note 14) |
(note 14) |
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FSA030 |
Quarterly |
(note 14) |
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Capital Adequacy |
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FSA003 (notes 4, 20) or |
Monthly, quarterly or half yearly (note 14) |
(note 14) |
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FSA033 (note 12) or |
Quarterly |
(note 14) |
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FSA034 (note 13) or |
Quarterly |
(note 14) |
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FSA035 (note 13) |
Quarterly |
(note 14) |
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Credit Risk |
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FSA004 (notes 5, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
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Market Risk |
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FSA005 (notes 6, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
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13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Large Exposures |
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FSA008 (Notes 20, 21)15 1513 |
Quarterly |
20 business days (note 19) |
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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. |
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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). |
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Note 3 |
[deleted]96 96 |
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Note 4 |
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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. |
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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. |
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Note 7 |
[deleted]13 13 |
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Note 8 |
[deleted]13 13 |
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Note 9 |
[deleted]13 13 |
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Note 10 |
[deleted]13 13 |
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Note 11 |
[deleted]13 13 |
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Note 12 |
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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. |
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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. |
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Note 15 |
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Note 16 |
[deleted]13 13 |
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Note 17 |
[deleted]13 13 |
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Note 18 |
[deleted]13 13 |
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Note 19 |
UK consolidation group reports have 45 business days submission. |
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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. |
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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. |
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:
11 | Firms' prudential category and applicable data items(note 1)15 |
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BIPRU firms (note 17)2 |
Firmsother thanBIPRU firms |
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730K |
125K and UCITS investment firms |
50K |
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11 | No standard format |
No standard format (note 19)2 |
No standard format2 |
No standard format3 11 |
No standard format3 |
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Annual report and accounts11 of the mixed-activity holding company (note 10) 11 |
No standard format |
|||||||
Solvency statement |
No standard format (note 11) |
No standard format (note 20) |
No standard format (note 11)2 |
No standard format (note 11)5 |
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Balance sheet |
FSA001 (note 2) |
FSA001 (note 2) |
FSA001 (note 2) |
FSA0292 11 |
FSA0292 |
FSA029 (note 1511)2 or Section A RMAR (note 1511)3 1111 |
FSA0292 11 |
|
Income statement |
FSA002 (note 2) |
FSA002 (note 2) |
FSA002 (note 2) |
FSA030 (note 18)2 11 |
FSA0302 11 |
FSA0302 |
FSA030 (note 1511)2 or Section B RMAR (note 1511)3 1111 |
FSA0302 11 |
Capital adequacy |
FSA003 (note 2) |
FSA003 (note 2) |
FSA003 (note 2) |
FSA033 (note 18)2 11 |
FSA034 or FSA035 (note 14)2 11 |
FSA0312 |
FSA032 (note 15) 2 or Sections D1 and D2 RMAR (note 1511)3 1111 |
FSA0362 11 |
Credit risk |
FSA004 (notes 2, 3) |
FSA004 (notes 2, 3) |
FSA004 (notes 2, 3) |
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Market risk |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
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Market risk - supplementary |
FSA006 (note 5) |
FSA006 (note 5) |
FSA006 (note 5) |
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Operational risk |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
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Large exposures |
FSA008 (Notes 2, 6)15 |
FSA008 (Notes 2, 6)15 |
FSA008 (Notes 2, 6)15 |
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UK integrated group large exposures |
FSA018 (note 12) |
FSA018 (note 12) |
FSA018 (note 12) |
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Solo consolidation data |
FSA016 (note 25)11 |
FSA016 (note 25)11 |
FSA016 (note 25)11 |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (note 8) |
FSA019 (note 8) |
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Non-EEA sub-group |
FSA028 (note 9) |
FSA028 (note 9) |
FSA028 (note 9) |
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3Threshold conditions |
24 | |||||||
2Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 (note 18) |
FSA039 |
FSA039 |
Section C RMAR (Note 15)24 or 3FSA039 24 |
FSA039 |
2CFTC |
FSA040 (note 24)11 |
FSA040 (note 24)11 |
FSA040 (note 24)11 |
FSA040 (note 24)11 |
FSA040 (note 24)11 |
FSA040 (note 24)11 |
FSA040 (note 24)11 |
FSA040 |
6IRB portfolio risk |
FSA045 (note 22) |
FSA045 (note 22) |
FSA045 (note 22) |
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FSA046 (note 23) |
FSA046 (note 23) |
FSA046 (note 23) |
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13Daily Flows |
FSA047 (Notes 26, 29 , 31 and 33)21 21 |
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13Enhanced Mismatch Report |
FSA048 (Notes 26, 29, 31 and 33)21 21 |
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13Liquidity Buffer Qualifying Securities |
FSA050 (Notes 27, 30, 31 and 33)21 21 |
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13Funding Concentration |
FSA051 (Notes 27, 30, 31 and 33)21 21 |
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13Pricing data |
FSA052 (Notes 27, 31, 33 and 34)2122 21 |
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13Retail and corporate funding |
FSA053 (Notes 27, 30, 31 and 33)21 21 |
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13Currency Analysis |
FSA054 (Notes 27, 30, 31 and 33)21 21 |
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13Systems and Controls Questionnaire |
FSA055 (Notes 28 and 33)21 21 |
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15Securitisation: trading book |
FSA058 (Note 32) |
FSA058 (Note 32) |
FSA058 (Note 32) |
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Note 1 |
When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25. |
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Note 2 |
Firms11 that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. 1111 |
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Note 3 |
This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.11 The11threshold is exceeded where 11data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant 11reporting date for the firm. 11111111 |
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Note 4 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The11 threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant 11reporting date for the firm11. 111111 |
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Note 5 |
Only applicable to firms with a VaR model permission.11 1111 |
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Note 6 |
This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G. |
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Note 7 |
This is only applicable to a firm that has adopted, in whole or in part,either the standardised approach, alternative standardised approach, or advanced measurement approach underBIPRU 611 11 |
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Note 8 |
Only applicable to BIPRU investment firms5 that: (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or11 (b) have been granted an investment firm consolidation waiver;or11 (c) are 11not subject to consolidated supervision under BIPRU 8. A BIPRU investment firm5 under (a) must11complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11complete the report on the basis of its solo position. 111111 |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group4 on the reporting date. 11 |
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Note 10 |
Only applicable to a firm whose ultimate parent is a mixed activity holding company. |
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Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
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Note 12 |
Members of a UK integrated group should only submit this data item at the UK integrated group level. 11 |
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2Note 13 |
This does not apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. |
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2Note 14 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R. |
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2Note 15 |
FSA029, FSA030,24 FSA032 and FSA03924 only apply to 24a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1, 24D2 and F24 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11 11242424 |
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2Note 16 |
[deleted]11 11 |
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2Note 17 |
An exempt BIPRU commodity firm will, by virtue of the definition of BIPRU TP 15, be exempt from completing FSA003 (and thus FSA004, FSA005, FSA006 and FSA007) for the duration of the transitional provision. It is however required to submit all other data items applicable according to the firm's BIPRU classification including, for the avoidance of doubt, BIPRU TP 16. |
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2Note 18 |
Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R. |
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2Note 19 |
In the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R), it is only required from partnerships and bodies corporate, and then only if the report was audited as a result of a statutory provision other than under the Act. |
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2Note 20 |
Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader. |
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3Note 21 |
[deleted]11 11 |
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6Note 22 |
Only applicable to firms that have an IRB permission.11 11 |
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6Note 23 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations. of non-trading book exposures.15 15 |
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11Note 24 |
Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange. |
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11Note 25 |
Only applicable to a firm that has a solo consolidation waiver. |
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13Note 26 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UKlead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
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13Note 27 |
A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UKDLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group. |
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13Note 28 |
If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. |
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13Note 29 |
(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona). |
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13Note 30 |
Note 29 applies, except that paragraphs (3), (4) and (5) do 31not apply, meaning that material currencies must not be recorded separately. 31 |
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13Note 31 |
Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15 |
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15Note 32 |
Only applicable to firms that hold securitisation positions in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.2521 25 |
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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 |
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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. |
The applicable data items referred to in SUP 16.12.4 R according to type of firm are set out in the table below:
Firms'15 prudential category and applicable data items (note 1) 15 |
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Firmsother than BIPRU firms |
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730K |
125K andUCITS investment firms |
50K |
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11 | ||||||||
Annual report and accounts11 of the mixed-activity holding company (note 10) 11 |
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No standard format5 |
||||||||
Solvency statement (note 11 |
No standard format2 |
No standard format5 |
||||||
No standard format5 |
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Balance sheet |
FSA001 (note 2) |
FSA001 (note 2) |
FSA001 (note 2) |
FSA029 2 11 |
FSA029 2 11 |
FSA0292 |
FSA029 (note 1511)2 or Section A RMAR (note 1511)5 1111 |
FSA0292 30 |
Income statement |
FSA002 (note 2) |
FSA002 (note 2) |
FSA002 (note 2) |
FSA0302 11 |
FSA0302 11 |
FSA0302 |
FSA030 (note 15)2 or Section B RMAR (note 1511)5 1111 |
FSA0302 30 |
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) |
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Large exposures |
FSA008 (Notes 2, 615) 15 |
FSA008 (Notes 2, 615) 15 |
FSA008 (Notes 2, 615) 15 |
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UK integrated group large exposures |
FSA018 (note 12) |
FSA018 (note 12) |
FSA018 (note 12) |
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Solo consolidation data |
||||||||
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) |
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5Threshold conditions |
Section F RMAR (note 1511) 11 |
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FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
|
2Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (note 1511) or 5FSA039 11 |
FSA03911 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
FSA041 |
|
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
FSA042 |
|
6IRB portfolio risk |
FSA045 (note 18) |
FSA045 (note 18) |
FSA045 (note 18) |
|||||
FSA046 (note 19) |
FSA046 (note 19) |
FSA046 (note 19) |
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13Daily Flows |
FSA047 (Notes 23, 26, 28 and 30)21 21 |
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13Enhanced Mismatch Report |
FSA048 (Notes 23, 26, 28 and 30)21 21 |
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13Liquidity Buffer Qualifying Securities |
FSA050 (Notes 24, 27, 28 and 30)21 21 |
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13Funding Concentration |
FSA051 (Notes 24, 27, 28 and 30)21 21 |
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13Pricing data |
FSA052 (Notes 24, 28, 30 and 31)2122 21 |
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13Retail and corporate funding |
FSA053 (Notes 24, 27, 28 and 30)21 21 |
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13Currency Analysis |
FSA054 (Notes 24, 27, 28 and 30)21 21 |
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13Systems and Controls Questionnaire |
FSA055 (Notes 25 and 30)21 21 |
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15Securitisation: trading book |
FSA058 (Note 29) |
FSA058 (Note 29) |
FSA058 (Note 29) |
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Note 1 |
When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G. |
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Note 2 |
Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. 11 |
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Note 3 |
This applies to a firm that is required to submit data item FSA003 and at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The11 threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting datefor the firm.11 11 |
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Note 4 |
This applies to a firm that is required to submit data item FSA003 and at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded wheredata element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.11 11 |
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Note 5 |
Only applicable to firms with a VaR model permission.11 11 |
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Note 6 |
This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G. |
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Note 7 |
This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach11under BIPRU 63. 11 |
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Note 8 |
Only applicable to BIPRU investment firms5 that :11 (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver;or11 (b) have been granted an investment firm consolidation waiver; or11 (c) are 11not subject to consolidated supervision under BIPRU 8. A BIPRU investment firm5 under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11 complete the report on the basis of its solo position. 1111 |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group4 on the reporting date. 11 |
|||||||
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, FSA030,2411 FSA032 and FSA039 only apply to24 a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. 5Sections A, B, C, D1, 24D2 and F24 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11 242424 |
|||||||
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 of15securitisations of non-trading bookexposures15. |
|||||||
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 paragraphs (3), (4), and (5) do 31not apply, meaning that material currencies must not be recorded separately. 31 |
|||||||
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.2521 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. |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firms'15 prudential category and applicable data item (note 1) 15 |
||||||
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 |
||||
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 |
|
Section K RMAR (Note 26) |
Section K RMAR (Note 26) |
Section K RMAR (Note 26) |
Section K RMAR (Note 26) |
Section K RMAR (Note 26) |
Section K RMAR (Note 26) |
|
Section L RMAR (Note 27) |
Section L RMAR (Note 27) |
Section L RMAR (Note 27) |
Section L RMAR (Note 27) |
Section L RMAR (Note 27) |
Section L RMAR (Note 27) |
|
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)2122 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 BIPRUlimited activity firms or BIPRUlimited licence firms unless they have a waiver under BIPRU 6.1.2 G. |
|||||
Note 7 |
This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach under BIPRU 6. |
|||||
Note 8 |
Only applicable to BIPRUinvestment firms that: (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or (b) have been granted an investment firm consolidation waiver; or (c) are not subject to consolidated supervision under BIPRU 8. A BIPRU investment firm under (a) must complete the report on the basis of its UK consolidation group. A BIPRU investment firm under (b) or (c) must complete the report on the basis of its solo position. |
|||||
Note 9 |
This will be applicable to firms that are members of a UK consolidation group on the reporting date. |
|||||
Note 10 |
Only applicable to a firm whose ultimate parent is a mixed-activity holding company. |
|||||
Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.24 24 |
|||||
Note 12 |
Members of a UK integrated group should only submit this data item at the UK integrated group level. |
|||||
Note 13 |
Only applicable to firms that have an IRB permission. |
|||||
Note 14 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations of non-trading bookexposures15. |
|||||
Note 15 |
This item only applies to firms that are subject to an FSA requirement to hold professional indemnity insurance and are not exempt CAD firms. |
|||||
13Note 16 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
|||||
13Note 17 |
A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. |
|||||
13Note 18 |
If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. |
|||||
13Note 19 |
(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona). |
|||||
13Note 20 |
Note 19 applies, except that paragraphs (3), (4) and (5) do 31not apply, meaning that material currencies must not be recorded separately. 31 |
|||||
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.2521 |
|||||
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.23 |
|||||
23Note 26 |
This item only applies to firms that provide advice on retail investment products. |
|||||
23Note 27 |
This item applies only to firms that provide advice and related services to employers on group personal pension schemes and/or group stakeholder pension schemes. |
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 |
|||||||
Firmsother thanBIPRU firms |
||||||||
730K |
125K |
50K |
IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 9 |
|||
11 | No standard format8 |
|||||||
Annual report and accounts11 of the mixed-activity holding company (note 10) |
No standard format |
|||||||
Solvency statement (note 11) |
No standard format |
No standard format5 |
||||||
Balance sheet |
FSA001 (note 2) |
FSA001 (note 2) |
FSA001 (note 2) |
FSA029 11 |
FSA029 11 |
FSA029 |
Section A RMAR (note 17)5or FSA02911 11 |
11 |
Income statement |
FSA002 (note 2) |
FSA002 (note 2) |
FSA002 (note 2) |
FSA030 11 |
FSA030 11 |
FSA030 |
Section B RMAR (note 17)5or FSA03011 11 |
FSA030 11 |
Capital adequacy |
FSA003 (note 2) |
FSA003 (note 2) |
FSA003 (note 2) |
FSA033 11 |
FSA034 or FSA035 (note 14) 11 |
FSA03111 |
Section D1 and D2 RMAR (note 17)5 or FSA 032 (note 15) 11 |
FSA036 11 |
Credit risk |
FSA004 (note 2, 3) |
FSA004 (note 2, 3) |
FSA004 (note 2, 3) |
|||||
Market risk |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
FSA005 (notes 2, 4) |
|||||
Market risk - supplementary |
FSA006 (note 5) |
FSA006 (note 5) |
FSA006 (note 5) |
|||||
Operational risk |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
FSA007 (notes 2, 6, 7) |
|||||
Large exposures |
FSA008 (Notes 2, 615) 15 |
FSA008 (Notes 2, 615) 15 |
FSA008 (Notes 2, 615) 15 |
|||||
UK Integrated group large exposures |
FSA018 (note 12) |
FSA018 (note 12) |
FSA018 (note 12) |
|||||
Solo consolidation data |
FSA016 (note 20)11 |
FSA016 (note 20)11 |
FSA016 (note 20)11 |
|||||
Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (note 8) |
FSA019 (note 8) |
|||||
Non-EEA sub-group |
FSA028 (note 9) |
FSA028 (note 9) |
FSA028 (note 9)3 |
|||||
5Threshold conditions |
Section F RMAR (note 17) |
|||||||
Client money and client assets11 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (Note 13) or 24FSA039 |
FSA03911 24 |
6IRB portfolio risk |
FSA045 (note 18) |
FSA045 (note 18) |
FSA045 (note 18) |
|||||
FSA046 (note 19) |
FSA046 (note 19) |
FSA046 (note 19) |
||||||
13Daily Flows |
FSA047 (Notes 21, 24, 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)2122 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 approach11under BIPRU 6.3 11 |
|||||||
Note 8 |
Only applicable to BIPRU investment firms5that : (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or11 (b) have been granted an investment firm consolidation waiver; or11 (c) are 11not subject to consolidated supervision under BIPRU 8. A BIPRU investment firm5under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11 complete the report on the basis of its solo position. 1111111111 |
|||||||
Note 9 |
This will be applicable to firms that are members of a UK consolidation group4 on the reporting date. 11 |
|||||||
Note 10 |
Only applicable to a firm whose ultimate parent is a mixed-activity holding company. |
|||||||
Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
|||||||
Note 12 |
Members of a UK integrated group should only submit this data item at the UK integrated group level. 11 |
|||||||
Note 13 |
FSA039 must only be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section C RMAR must only be completed by a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.24 24 |
|||||||
Note 14 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2) R. |
|||||||
Note 15 |
FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. |
|||||||
Note 16 |
[deleted]11 11 |
|||||||
5Note 17 |
This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm. |
|||||||
6Note 18 |
Only applicable to firms that have an IRB permission.11 11 |
|||||||
6Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of 15securitisations of non-trading bookexposures15. 15 |
|||||||
11Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
|||||||
13Note 21 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
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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. |
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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. |
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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). |
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13Note 25 |
Note 24 applies, except that paragraphs (3), (4) and (5) do 31not apply, meaning that material currencies must not be recorded separately. 31 |
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13Note 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 |
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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.2521 25 |
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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 |
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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. |
Table: specific risk position risk adjustments
This table belongs to BIPRU 7.2.43R.
Issuer |
Residual maturity |
|
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities which would qualify for credit quality step 1 or which would receive a 0% risk weight under the standardised approach to credit risk. |
Any |
0% |
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities which would qualify for credit quality step 2 or 3 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by institutions which would qualify for credit quality step 1 or 2 under the standardised approach to credit risk. (C) Debt securities issued or guaranteed by institution which would qualify for credit quality step 3 under BIPRU 3.4.34 R (Exposures to institutions: Credit assessment based method) or which would do so if it had an original effective maturity of three months or less. (D) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 1, 2 or 32 under the standardised approach to credit risk. (E) Other qualifying debt securities (see BIPRU 7.2.49R) 2 |
Zero to six months |
0.25% |
over 6 and up to and including 24 months |
1% |
|
Over 24 months |
1.6% |
|
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 4 under the standardised approach to credit risk. (C) Exposures for which a credit assessment by a nominated ECAI is not available. 2 |
Any |
8% |
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or EEA States' regional governments or local authorities or institution which would qualify for credit quality step 6 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by corporate which would qualify for credit quality step 5 or 6 under the standardised approach to credit risk. (C) An instrument that shows a particular risk because of the insufficient solvency of the issuer of liquidity. This paragraph applies even if the instrument would otherwise qualify for a lower position risk adjustment under this table. |
Any |
12% |
Note: The question of what a corporate is and of what category a debt security falls into must be decided under the rules relating to the standardised approach to credit risk. |
Table: specific risk position risk adjustments - standardised approach
3Credit quality step |
1 |
2 |
3 |
4 (only for credit assessments other than short-term credit assessments) |
All other credit quality steps |
1.6% |
4% |
8% |
28% |
100% |
|
3.2% |
8% |
18% |
52% |
100% |
|
A firm may only apply the position risk adjustments 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 position risk adjustment 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. |
Table: specific risk Position Risk Adjustments - 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% |
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A firm may only apply the position risk adjustments 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 position risk adjustment 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. |