Related provisions for BIPRU 8.1.2

BIPRU 8.6.1R01/01/2007

A firm must calculate the consolidated capital resources of its UK consolidation group or its non-EEA sub-group by applying GENPRU 2.2 (Capital resources) to its UK consolidation group or non-EEA sub-group on an accounting consolidation basis, treating the UK consolidation group or non-EEA sub-group as a single undertaking. The firm must adjust GENPRU 2.2 in accordance with this section for this purpose.

BIPRU 8.6.1AR01/02/2012

3This section applies to a firm if another member of its group intends to issue a capital instrument on or after 1 March 2012 for inclusion in the firm'scapital resources or consolidated capital resources of its UK consolidation group or non-EEA sub-group.

BIPRU 8.6.1BR01/04/2013

3A firm must notify the appropriate regulator in writing of the intention of another member of its group which is not a firm to issue a capital instrument which the firm intends to include within its capital resources or the consolidated capital resources of its UK consolidation group or non-EEA sub-group as soon as it becomes aware of the intention of the groupundertaking to issue the capital instrument. When giving notice, a firm must:(1) provide details of the amount of capital

BIPRU 8.6.1DR01/04/2013

3If a groupundertaking proposes to establish a debt securities program for the issue of capital instruments which the firm intends to include within its capital resources or the consolidated capital resources of its UK consolidation group or non-EEA sub-group, it must:(1) notify the appropriate regulator of the establishment of the program; and(2) provide the information required by BIPRU 8.6.1BR (1) to (4); as soon as it becomes aware of the proposed establishment. The appropriate

BIPRU 8.6.1ER01/04/2013

3The capital instruments to which BIPRU 8.6.1B R does not apply are:(1) ordinary shares issued by a groupundertaking which:(a) are the most deeply subordinated capital instrument issued by that groupundertaking;(b) meet the criteria set out in GENPRU 2.2.83R (2) and GENPRU 2.2.83R (3) and GENPRU 2.2.83A R; and(c) are the same as ordinary shares previously issued by that groupundertaking;(2) debt instruments issued from a debt securities program established by a groupundertaking,

BIPRU 8.6.1FR01/04/2013

3A firm must notify the appropriate regulator in writing, no later than the date of issue, of the intention of a groupundertaking to issue a capital instrument listed in BIPRU 8.6.1E R which the firm intends to include within its capital resources or the consolidated capital resources of its UK consolidation group or non-EEA sub-group. When giving notice a firm must:(1) provide the information set out at BIPRU 8.6.1BR (1) to (3); and(2) confirm that the terms of the capital instrument

BIPRU 8.6.2R01/01/2007

The capital resources gearing rules apply for the purposes of calculating consolidated capital resources. They apply to the UK consolidation group or non-EEA sub-group on an accounting consolidation basis, treating the UK consolidation group or non-EEA sub-group as a single undertaking.

BIPRU 8.6.3G01/01/2007

As the various components of capital differ in the degree of protection that they offer, the capital resources gearing rules as applied on a consolidated basis place restrictions on the extent to which certain types of capital are eligible for inclusion in a UK consolidation group or non-EEA sub-group'sconsolidated capital resources. GENPRU 2.2.25 R (Limits on the use of different forms of capital: Use of higher tier capital in lower tiers) also applies.

BIPRU 8.6.8R01/01/2007

Where a firm's UK consolidation group or non-EEA sub-group does not include a bank, building society or credit institution, the firm must calculate that group's consolidated capital resources using the calculation of capital resources in GENPRU 2 Annex 4 (Capital resources table for a BIPRU investment firm deducting material holdings) or GENPRU 2 Annex 5 (Capital resources table for a BIPRU investment firm deducting illiquid assets).

BIPRU 8.6.10R01/01/2007

(1) This rule sets out how to determine whether minority interests in an undertaking in a UK consolidation group or non-EEA sub-group may be included in tier one capital, tier two capital or tier three capital for the purpose of calculating consolidated capital resources (each referred to as a "tier" of capital in this rule).(2) A firm must identify the item of capital of the undertaking in question that gives rise to that minority interest.(3) A firm must include the minority

BIPRU 8.6.12R01/01/2007

Consolidated indirectly issued capital means any capital instrument issued by a member of the UK consolidation group or non-EEA sub-group where:(1) some or all of the following conditions are satisfied:(a) that capital is issued to an SPV; or(b) that capital is issued by an SPV; or(c) the subscription for the capital issued by the member of the group in question is funded directly or indirectly by an SPV; and(2) any of the SPVs referred to in (1) is a member of the UK consolidation

BIPRU 8.6.13R01/01/2007

A firm may only include consolidated indirectly issued capital in the consolidated capital resources of its UK consolidation group or non-EEA sub-group if:(1) it is issued by an SPV that is a member of the UK consolidation group or non-EEA sub-group to persons who are not members of the UK consolidation group or non-EEA sub-group; and(2) the conditions in BIPRU 8.6.16 R to BIPRU 8.6.18 R are satisfied.

BIPRU 8.6.14R01/01/2007

Consolidated indirectly issued capital that is eligible for inclusion in the consolidated capital resources of a UK consolidation group or non-EEA sub-group may only be included as a minority interest created by the capital instrument issued by the SPV referred to in BIPRU 8.6.13 R. If it is eligible, it is innovative tier one capital.

BIPRU 8.6.15R01/01/2007

For the purposes of this section, an undertaking is an SPV if the main activity of the SPV is to raise funds for undertakings in:(1) (in the case of a UK consolidation group) that UK consolidation group; or(2) (in the case of a non-EEA sub-group) that non-EEA sub-group or any UK consolidation group of which it forms part.

BIPRU 8.6.16R01/01/2007

The SPV referred to in BIPRU 8.6.13 R must satisfy the conditions in GENPRU 2.2.127 R (Conditions that an SPV has to satisfy if indirectly issued capital is to be included in capital resources on a solo basis) as modified by the following:(1) references in GENPRU 2.2.127R (1) to being controlled by the firm are to being controlled by a member of the firm'sUK consolidation group or non-EEA sub-group as the case may be; and(2) references to the firm'sgroup are to the firm'sUK consolidation

BIPRU 8.6.18R01/01/2007

The SPV referred to in BIPRU 8.6.13 R must invest the funds raised from the issue of capital by the SPV by subscribing for capital resources issued by an undertaking that is a member of the UK consolidation group or non-EEA sub-group. Those capital resources must satisfy the following conditions:(1) those capital resources must at least comply with the requirements for lower tier two capital; and(2) the first call date or fixed maturity date (if any) of those capital resources

BIPRU 8.7.1G01/01/2007

The calculation of the consolidated capital resources requirement of a firm's UK consolidation group or non-EEA sub-group involves taking the individual components that make up the capital resources requirement on a solo basis and applying them on a consolidated basis. Those components are the capital charge for credit risk (the credit risk capital requirement), the capital charge for market risk (the market risk capital requirement), the capital charge for operational risk (the

BIPRU 8.7.10R01/01/2007

A firm must calculate the consolidated capital resources requirement of its UK consolidation group or non-EEA sub-group in accordance with the method identified by the decision tree in BIPRU 8 Annex 5 (Decision tree for identifying the consolidated capital resources requirement of a UK consolidation group or a non-EEA sub-group).

BIPRU 8.7.11R01/04/2013

A firm must calculate a consolidated requirement component by applying the risk capital requirement applicable to that consolidated requirement component to the UK consolidation group or non-EEA sub-group in accordance with BIPRU 8.7.13 R. Except where BIPRU 8.7.34 R to BIPRU 8.7.38 R allow the requirements of another regulator to be used, the risk capital requirement must be calculated in accordance with the appropriate regulator'srules. The risk capital requirement applicable

BIPRU 8.7.13R01/01/2007

(1) A firm must calculate a consolidated requirement component by using one of the methods in this rule.(2) Under the first method a firm must:(a) apply the risk capital requirement set out in BIPRU 8.7.12 R to each undertaking in the UK consolidation group or non-EEA sub-group; and(b) add the risk capital requirements together.(3) Under the second method a firm must:(a) treat the whole UK consolidation group or non-EEA sub-group as a single undertaking; and(b) apply the risk

BIPRU 8.7.16R01/04/2013

A firm must notify the appropriate regulator which method under BIPRU 8.7.13 R it applies for which consolidated requirement component and to which parts of the UK consolidation group or non-EEA sub-group it is applying an aggregation approach and to which parts it is applying an accounting consolidation approach.

BIPRU 8.7.20R01/01/2007

A firm may use a combination of the CCR standardised method, the CCR mark to market method and the CCR internal model method on a permanent basis with respect to the firm's UK consolidation group or non-EEA sub-group for the purposes of calculating the consolidated credit risk requirement. In particular, where the firm is permitted to apply the CCR internal model method on a consolidated basis with respect to its UK consolidation group or non-EEA sub-group, it may combine the

BIPRU 8.7.21R01/01/2007

BIPRU 9.4.1 R (Minimum requirements for recognition of significant credit risk transfer) as applied on a consolidated basis requires the transfer to be to a person outside the UK consolidation group or non-EEA sub-group.

BIPRU 8.7.22R01/01/2007

A firm must not use both the financial collateral simple method and the financial collateral comprehensive method with respect to its UK consolidation group or non-EEA sub-group.

BIPRU 8.7.23R01/01/2007

(1) A firm may only treat an exposure as exempt under BIPRU 3.2.25 R (Zero risk-weighting for intra-group exposures) as applied on a consolidated basis if the member of the UK consolidation group or non-EEA sub-group that has the exposure:(a) is a BIPRU firm and that exposure is exempt under BIPRU 3.2.25 R as it applies to that BIPRU firm on a solo basis; or(b) meets the conditions in BIPRU 3.2.25 R (1)(d) (Condition relating to establishment in the UK) and that exposure would

BIPRU 8.7.24R01/01/2007

For the purposes of calculating the consolidated market risk requirement of a UK consolidation group or non-EEA sub-group, a firm must apply BIPRU 1.2.3 R (Definition of the trading book) and BIPRU 1.2.17 R (Size thresholds for the purposes of the definition of the trading book) to the whole UK consolidation group or non-EEA sub-group as if the group were a single undertaking.

BIPRU 8.7.25R31/12/2010

A firm may not apply the second method in BIPRU 8.7.13R (3) (accounting consolidation for the whole group) or apply accounting consolidation to parts of its UK consolidation group or non-EEA sub-group under method three as described in BIPRU 8.7.13R (4)(a) for the purposes of the calculation of the consolidated market risk requirement unless the group or sub-group and the undertakings in that group or sub-group satisfy the conditions in this rule. Instead the firm must use the

BIPRU 8.7.26R01/01/2007

For the purposes of calculating the consolidated operational risk requirement, a firm must apply BIPRU 6.2.9 R to BIPRU 6.2.12 R (Combination of different methodologies) to the whole UK consolidation group or non-EEA sub-group as if the group were a single undertaking.

BIPRU 8.7.27R01/01/2007

(1) This rule sets out how BIPRU 6.3.2 R (3) (Negative figure arising in calculation of the relevant indicator under the basic indicator approach) applies on a consolidated basis.(2) If the calculation for any individual undertaking under method one in BIPRU 8.7.13R (2) (application of aggregation approach to the whole group) or method three as described in BIPRU 8.7.13R (4)(c) (mixture of aggregation and accounting consolidation) or for any sub-group created under method three

BIPRU 8.7.28G01/01/2007

BIPRU 8.7.21 R to BIPRU 8.7.26 R are generally examples of the application of the general principles in BIPRU 8.2.1 R (Main consolidation rule for UK consolidation groups) and BIPRU 8.3.1 R (Main consolidation rule for non-EEA sub-groups). BIPRU 8.7.20 R and BIPRU 8.7.25 R are exceptions to those principles.

BIPRU 8.7.29R01/01/2007

In accordance with BIPRU 8.2.1 R and BIPRU 8.3.1 R (The basic consolidation rules for a UK consolidation group or non-EEA sub-group), a firm may exclude that part of the risk capital requirement that arises as a result of:(1) (in respect of the consolidated credit risk requirement) intra-group balances; or(2) (in respect of the consolidated operational risk requirement and consolidated fixed overheads requirement) intra-group transactions;with other undertakings in the UK consolidation

BIPRU 8.7.34R01/04/2013

A firm may calculate the risk capital requirement for an institution in the firm'sUK consolidation group or non-EEA sub-group that is an EEA firm in accordance with the CRD implementation measures in the EEA firm'sEEA State that correspond to the appropriate regulator'srules that would otherwise apply under this section if the institution is subject to those CRD implementation measures.

BIPRU 8.7.37R01/04/2013

(1) This rule applies if:(a) a firm is applying an accounting consolidation approach to part of its UK consolidation group or non-EEA sub-group under method three as described in BIPRU 8.7.13R (4)(a); and(b) the part of the group in (a) constitutes the whole of a group subject to the consolidated capital requirements of a competent authority under the CRD implementation measures relating to consolidation under the Banking Consolidation Directive or the Capital Adequacy Directive.(2)

BIPRU 8.7.38AR31/12/2011

(1) 2This rule applies to a firm if:(a) an institution in its UK consolidation group or non-EEA sub-group is subject to any of the rules or requirements of, or administered by, a third-country competent authority applicable to its financial sector that correspond to the sectoral rules applicable to that financial sector (“corresponding sectoral rules”); or(b) a part of its UK consolidation group or non-EEA sub-group constitutes the whole of a group subject to the consolidated

BIPRU 8.3.7G01/01/2007

A firm will not be a member of a non-EEA sub-group unless it is1 also a member of a UK consolidation group. So the first step is to identify each undertaking in the firm'sUK consolidation group that satisfies the following conditions:(1) it isan institution, financial institution or asset management company whose head office is outside the EEA (a third country banking or investment services undertaking);(2) one of the following applies:(a) it is a subsidiary undertaking of a BIPRU

BIPRU 8.3.18G01/01/2007

Having identified potential non-EEA sub-groups for each third country banking or investment services undertaking in its UK consolidation group the firm should then eliminate overlapping potential non-EEA sub-groups in the following way. If:(1) one potential non-EEA sub-group is 1contained within a wider potential non-EEA sub-group; and(2) the third country banking or investment services undertakings in the two potential non-EEA sub-groups are the same;then the smaller potential

BIPRU 8.3.22G01/01/2007

If a UK consolidation group is headed by a parent financial holding company in a Member State the result of the elimination process may be that a firm'sUK consolidation group contains only one non-EEA sub-group and that the non-EEA sub-group is the same as the UK consolidation group. In theory that means that there are two sets of consolidation requirements, one in relation to the UK consolidation group and one in relation to the non-EEA sub-group. However as the UK consolidation

BIPRU 8.3.23G01/01/2007

Even where the requirements for a non-EEA sub-group are absorbed into those for the UK consolidation group a firm should still make clear in its regulatory reporting that the consolidation figures relate to a UK consolidation group and a non-EEA sub-group and that they both contain the same members.

BIPRU 8.3.24G01/04/2013

The examples in this section have so far assumed that the only EEA State involved is the United Kingdom. If a potential non-EEA sub-group that would otherwise be regulated by the appropriate regulator contains a potential non-EEA sub-group in another EEA State then the United Kingdom one is eliminated if the third country banking or investment services undertaking in the UK potential non-EEA sub-group and the potential non-EEA sub-group in the other EEA State are the same. The

BIPRU 8.5.1R10/06/2013

A firm must include only the following types of undertaking in a UK consolidation group or non-EEA sub-group for the purposes of this chapter:(1) a BIPRU firm;(2) an institution;(3) a financial institution;(4) an asset management company;(5) a financial holding company;3(6) a mixed financial holding company; and33(7) an ancillary services undertaking.3

BIPRU 8.5.2G01/01/2007

Although an undertaking falling outside BIPRU 8.5.1 R will not be included in a UK consolidation group or non-EEA sub-group it may be relevant in deciding whether one undertaking in the banking sector or the investment services sector is a subsidiary undertaking of another with the result that they should be included in the same UK consolidation group or non-EEA sub-group.

BIPRU 8.5.4R01/01/2007

A firm must include any subsidiary undertaking in the UK consolidation group or non-EEA sub-group in full in the calculations in this chapter.

BIPRU 8.5.5R01/01/2007

In carrying out the calculations for the purposes of this chapter a firm must only include the relevant proportion of an undertaking that is a member of the UK consolidation group or non-EEA sub-group:(1) by virtue of a consolidation Article 12(1) relationship;(2) by virtue of an Article 134 relationship; or(3) because the group holds a participation in it.

BIPRU 8.5.6R01/04/2013

In BIPRU 8.5.5 R, the relevant proportion is either:(1) (in the case of a participation) the proportion of shares issued by the undertaking held by the UK consolidation group or the non-EEA sub-group; or(2) (in the case of a consolidation Article 12(1) relationship or an Article 134 relationship), such proportion (if any) as stated in the Part 4A permission of the firm.

BIPRU 8.5.9R01/04/2013

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

BIPRU 8.5.11G01/04/2013

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

BIPRU 8.5.14G01/04/2013

The appropriate regulator may require a firm to provide information about the undertakings excluded from consolidation of the UK consolidation group or non-EEA sub-group pursuant to this section.

SUP 16.12.11R23/07/2013

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 andcollective portfolio management investment firms 38 38	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 38 11
38Supplementary capital data for collective portfolio management investment firms		FIN067 (note 35)
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 paragraphs (3), (4) and (5) do 31not apply, meaning that material currencies must not be recorded separately. 31
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.38
38Note 35	Only applicable to firms that are collective portfolio management investment firms.

SUP 16.12.15R23/07/2013

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

38Description of data item	Firms' prudential category and applicable data items (note 1)
	BIPRU			Firms other than BIPRU firms
	730K	125K and collective portfolio management investment firms	50K	IPRU(INV) Chapter 3	IPRU(INV) Chapter 5	IPRU(INV) Chapter 9	IPRU(INV) Chapter 11	IPRU(INV) Chapter 13	UPRU
Annual report and accounts	No standard format (note 13)						No standard format (note 13)
Annual report and accounts of the (note 10)	No standard format (note 13)
Solvency statement (note 11)	No standard format				No standard format		No standard format		No standard format
Balance sheet	FSA001 (note 2)	FSA001 (note 2)	FSA001 (note 2)	FSA029	FSA029	FSA029	FSA029	FSA029 (note 15) or Section A RMAR (note 15)	FSA029
Income statement	FSA002 (note 2)	FSA002 (note 2)	FSA002 (note 2)	FSA030	FSA030	FSA030	FSA030	FSA030 (note 15) or Section B RMAR (note 15)	FSA030
Capital adequacy	FSA003 (note 2)	FSA003 (note 2)	FSA003 (note 2)	FSA033	FSA034 or FSA035 (note 14)	FSA031	FIN066	Section D1 and D2 RMAR or FSA032 (note 15)	FSA036
Supplementary capital data for collective portfolio management investment firms		FIN067 (note 32)
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)	FSA008 (Notes 2, 6)	FSA008 (Notes 2, 6)
UK integrated group large exposures	FSA018 (note 12)	FSA018 (note 12)	FSA018 (note 12)
Solo consolidation data	FSA016 (note 20)	FSA016 (note 20)	FSA016 (note 20)
Pillar 2 questionnaire	FSA019 (note 8)	FSA019 (note 8)	FSA019 (note 8)
Non-EEA subgroup	FSA028 (note 9)	FSA028 (note 9)	FSA028 (note 9)
Threshold conditions								Section F RMAR (note 15)
Volumes and types of business (note 21)	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038	FSA038
Client money and client assets	FSA039	FSA039	FSA039	FSA039	FSA039	FSA039	FSA039	Section C RMAR (note 15) or FSA039	FSA039
UCITS (note 22)		FSA042					FSA042		FSA042
IRB portfolio risk	FSA045 (note 18)	FSA045 (note 18)	FSA045 (note 18)
Securitisation: non-trading book	FSA046 (note 19)	FSA046 (note 19)	FSA046 (note 19)
Daily Flows	FSA047 (Notes 23, 26, 28 and 30)
Enhanced Mismatch Report	FSA048 (Notes 23, 26, 28 and 30)
Liquidity Buffer Qualifying Securities	FSA050 (Notes 24, 27, 28 and 30)
Funding Concentration	FSA051 (Notes 24, 27, 28 and 30)
Pricing data	FSA052 (Notes 24, 28, 30 and 31)
Retail and corporate funding	FSA053 (Notes 24, 27, 28 and 30)
Currency Analysis	FSA054 (Notes 24, 27, 28 and 30)
Systems and Controls Questionnaire	FSA055 (Notes 25 and 30)
Securitisation: 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.
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. 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 8BIPRU 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.
Note 12	Members of a UK integrated group should only submit this data item at the UK integrated group level.
Note 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.
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	FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1, D2 and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.
Note 16	[deleted]
Note 17	[deleted]
Note 18	Only applicable to firms that have an IRB permission.
Note 19	Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading book exposures.
Note 20	Only applicable to a firm that has a solo consolidation waiver.
Note 21	[deleted]
Note 22	Only applicable to firms that have permission for managing a UCITS.
Note 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.
Note 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.
Note 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.
Note 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).
Note 27	Note 26 applies, except that paragraphs (3), (4), and (5) do not apply, meaning that material currencies must not be recorded separately.
Note 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.
Note 29	Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book.
Note 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.
Note 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.
Note 32	Only applicable to firms that are collective portfolio management investment firms.

SUP 16.12.22AR23/07/2013

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 firmandcollective portfolio management investment firm 38 38	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	23
23 Adviser charges	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)
23 Consultancy charges	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)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)38
38Supplementary capital data for collective portfolio management investment firms		FIN067 (note 28)
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 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.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.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.38
38Note 28	Only applicable to firms that are collective portfolio management investment firms.

SUP 16.12.25AR01/07/2012

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 paragraphs (3), (4) and (5) do 31not apply, meaning that material currencies must not be recorded separately. 31
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 8.4.4G01/04/2013

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

BIPRU 8.4.7R01/01/2007

If a firm has an investment firm consolidation waiver with respect to its UK consolidation group or non-EEA sub-group but that UK consolidation group or non-EEA sub-group ceases to meet the definition of a CAD Article 22 group the firm must comply with the rest of this chapter rather than this section notwithstanding the investment firm consolidation waiver.

BIPRU 8.4.9R01/01/2007

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

BIPRU 8.4.11R01/01/2007

If a firm has an investment firm consolidation waiver, it must ensure that any financial holding company in the UK consolidation group or the non-EEA sub-group that is the UKparent financial holding company in a Member State of a CAD investment firm in the UK consolidation group or non-EEA sub-group has capital resources, calculated under BIPRU 8.4.12 R, in excess of the sum of the following (or any higher amount specified in the investment firm consolidation waiver):(1) the sum

BIPRU 8.4.18R01/04/2013

If a firm has an investment firm consolidation waiver, it must:(1) ensure that each CAD investment firm in the UK consolidation group or non-EEA sub-group which is a firm or an EEA firm has in place systems to monitor and control the sources of capital and funding of all the members in the UK consolidation group or non-EEA sub-group;(2) notify the FCA of any serious risk that could undermine the financial stability of the UK consolidation group or non-EEA sub-group, as soon as

BIPRU 8.4.19G01/04/2013

Although an investment firm consolidation waiver switches off most of this chapter, a firm should still carry out the capital adequacy calculations in BIPRU 8.3 to BIPRU 8.8 as if those parts of this chapter still applied to the UK consolidation group or non-EEA sub-group and report these to the FCA. It should also still monitor large exposure risk on a consolidated basis.

SYSC 12.1.4R01/04/2013

(1) This rule applies in respect of the following rules:(a) SYSC 12.1.8R (2);(b) SYSC 12.1.10R (1), so far as it relates to SYSC 12.1.8R (2);(c) SYSC 12.1.10R (2); and(d) SYSC 12.1.11 R to SYSC 12.1.15 R.(2) The rules referred to in (1):(a) only apply with respect to a financial conglomerate if it is a UK-regulated EEA financial conglomerate;1919(b) (so far as they apply with respect to a group that is not a financial conglomerate) do not apply with respect to a group for

SYSC 12.1.13R01/01/2011

If this rule applies under SYSC 12.1.14 R to a firm, the firm must:(1) comply with SYSC 12.1.8R (2) in relation to any UK consolidation group or non-EEAsub-group of which it is a member, as well as in relation to its group; and(2) ensure that the risk management processes and internal control mechanisms at the level of any UK consolidation group or non-EEAsub-group of which it is a member comply with the obligations set out in the following provisions on a consolidated (or

SYSC 19A.3.1R01/01/2011

(1) A firm must apply the requirements of this section at group, parent undertaking and subsidiary undertaking levels, including those subsidiaries established in a country or territory which is not an EEA State.(2) Paragraph (1) does not limit SYSC 12.1.13 R (2)(dA) (which relates to the application of the Remuneration Code within UK consolidation groups and non-EEA sub-groups).[Note: Paragraph 23 (final, unnumbered point) of Annex V to the Banking Consolidation Directive]

SYSC 19A.3.2G01/04/2013

SYSC 12.1.13 R (2)(dA) requires the firm to ensure that the risk management processes and internal control mechanisms at the level of any UK consolidation group or non-EEA sub-group of which a firm is a member comply with the obligations set out in this section on a consolidated (or sub-consolidated) basis. In the appropriate regulator's view, the requirement to apply this section at group, parent undertaking and subsidiary undertaking levels (as provided for in SYSC 19A.3.1

BIPRU 8.1.1R30/04/2011

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

GENPRU 1.2.89G14/12/2009

6A firm should satisfy itself that the systems (including IT) ofthe insurance group, the UK consolidation group or the non-EEA sub-group of which it is a member are sufficiently sound to support the effective management and, where applicable, the quantification of the risks that could affectthe insurance group, the UK consolidation group or the non-EEA sub-group, as the case may be.

LR App 2.1.2G01/01/2006

[deleted]

BIPRU 2.2.19G01/01/2007

(1) Individual capital guidance may also be given with respect to group capital resources. This paragraph explains how such guidance should be interpreted unless the individual capital guidance specifies another interpretation.(2) If BIPRU 8.2.1 R (General consolidation rule for a UK consolidation group) applies to the firm the guidance relates to its UK consolidation group. If BIPRU 8.3.1 R (General consolidation rule for a non-EEA sub-group) applies to the firm the guidance

BIPRU 2.2.43R01/01/2007

If BIPRU 2.2.41 R applies to a firm on a consolidated basis the following adjustments are made to BIPRU 2.2.41 R in accordance with the general principles of BIPRU 8 (Group risk - consolidation):(1) references to capital resources are to the consolidated capital resources of the firm'sUK consolidation group or, as the case may be, its non-EEA sub-group; and(2) references to the capital requirements in GENPRU 2.1 (Calculation of capital resources requirements) are to the consolidated

BIPRU 2.1.8R01/01/2007

(1) A firm that has a solo consolidation waiver must meet the obligations in SYSC 12.1.13 R (Application of certain systems and controls rules on a consolidated basis) on a consolidated basis with respect to the firm and each subsidiary undertaking to which the firm'ssolo consolidation waiver applies.(2) If (1) applies, SYSC 12.1.13 R applies to the group made up of the firm and its subsidiary undertakings referred to in (1) in the same way as it applies to a UK consolidation

BIPRU 8.8.9G01/01/2007

The governance arrangements that apply to the governing body, the senior management and any designated committee of a firm in relation to the IRB approach or the AMA also apply to the body or persons with equivalent powers with respect to the UK consolidation group or non-EEA sub-group. Where the parent undertaking and its subsidiary undertakings use rating systems on a unified basis, the approval and reporting process described in BIPRU 4.3.12 G (Approval and reporting arrangements

BIPRU 8.9A.3R31/12/2010

In relation to a firm, intra-group exposures that are exempt under a non-core large exposures group waiver may be excluded when calculating the limits in BIPRU 10.5 (Limits on exposures) that apply to the UK consolidation group or non-EEA sub-group, provided that the total amount of such exposures and the other exposures which are exempt under a non-core large exposures group waiver do not exceed the limit in BIPRU 10.9A.7 R (Non-trading book backstop large exposure limit for

Related provisions for BIPRU 8.1.2

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