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' prudential category and applicable data items (note 1) |
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Firms other than BIPRU firms |
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730K |
50K |
IPRU(INV) Chapter 3 |
IPRU(INV) Chapter 5 |
IPRU(INV) Chapter 9 |
IPRU(INV) Chapter 11 |
IPRU(INV) Chapter 13 |
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No standard format (note 13) |
No standard format (note 13) |
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Annual report and accounts of the (note 10) |
No standard format (note 13) |
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Solvency statement (note 11) |
No standard format |
No standard format |
No standard format |
No standard format |
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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) |
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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) |
FSA008 (Notes 2, 6) |
FSA008 (Notes 2, 6) |
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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 20) |
FSA016 (note 20) |
FSA016 (note 20) |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (note 8) |
FSA019 (note 8) |
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Non-EEA subgroup |
FSA028 (note 9) |
FSA028 (note 9) |
FSA028 (note 9) |
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Threshold conditions |
Section F RMAR (note 15) |
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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 |
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IRB portfolio risk |
FSA045 (note 18) |
FSA045 (note 18) |
FSA045 (note 18) |
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Securitisation: non-trading book |
FSA046 (note 19) |
FSA046 (note 19) |
FSA046 (note 19) |
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Daily Flows |
FSA047 (Notes 23, 26, 28 and 30) |
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Enhanced Mismatch Report |
FSA048 (Notes 23, 26, 28 and 30) |
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Liquidity Buffer Qualifying Securities |
FSA050 (Notes 24, 27, 28 and 30) |
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Funding Concentration |
FSA051 (Notes 24, 27, 28 and 30) |
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Pricing data |
FSA052 (Notes 24, 28, 30 and 31) |
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Retail and corporate funding |
FSA053 (Notes 24, 27, 28 and 30) |
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Currency Analysis |
FSA054 (Notes 24, 27, 28 and 30) |
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Systems and Controls Questionnaire |
FSA055 (Notes 25 and 30) |
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Securitisation: 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. |
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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. 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 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. |
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Note 5 |
Only applicable to firms with a VaR model permission. |
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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 under BIPRU 6. |
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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. |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group on the reporting date. |
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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. |
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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. |
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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. |
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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. |
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Note 16 |
[deleted] |
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Note 17 |
[deleted] |
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Note 18 |
Only applicable to firms that have an IRB permission. |
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Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading book exposures. |
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Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
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Note 21 |
[deleted] |
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Note 22 |
Only applicable to firms that have permission for managing a UCITS. |
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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. |
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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. |
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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. |
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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). |
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Note 27 |
Note 26 applies, except that paragraphs (3), (4), and (5) do not apply, meaning that material currencies must not be recorded separately. |
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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. |
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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. |
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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. |
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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. |
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Note 32 |
Only applicable to firms that are collective portfolio management investment firms. |