Related provisions for IFPRU 4.4.11

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IFPRU 8.1.1RRP
(1) This section applies to an IFPRU investment firm.(2) This section does not apply to an exempt IFPRU commodities firm if the conditions in (2) are met.(3) The conditions are:(a) article 498 of the EU CRR (Exemptions for commodities dealers) applies to it;(b) the exempt IFPRU commodities firm is not a member of a FCAconsolidation group or non-EEA sub-group;(c) each investment firm in the group that the exempt IFPRU commodities firm belongs to meets the conditions in article
IFPRU 8.1.2GRP
This section contains:(1) rules that exercise the discretion afforded to the FCA as competent authority under article 18 of the EU CRR (Methods of prudential consolidation); and(2) guidance on the criteria that the FCA will take into account when considering whether to grant a permission to a firm on a case-by-case basis for the individual consolidation method under article 9 of the EUCRR (Individual consolidation method).
IFPRU 8.1.4RRP
In carrying out the calculations for the purposes of Part One, Title II, Chapter 2 of the EU CRR (Prudential consolidation), a firm (for whom the FCA is the consolidating supervisor) must include the proportion according to the share of capital held of participations in institutions and financial institutions managed by an undertaking included in the consolidation together with one or more undertakings not included in the consolidation, where those undertakings' liability is limited
IFPRU 8.1.5RRP
In carrying out the calculations for the purposes of Part One, Title II, Chapter 2 of the EU CRR (Prudential consolidation), a firm (for whom the FCA is the consolidating supervisor) must carry out a full consolidation of any undertaking with whom it has an article 18(5) relationship.[Note: article 18(5) of the EU CRR]
IFPRU 8.1.6GRP
Article 9(2) of the EU CRR (Individual consolidation method) requires a firm, which is a parent institution, to demonstrate fully to the FCA, as competent authority, that there are no material practical or legal impediments to the prompt transfer of own funds of the subsidiary referred to in article 9(1) of the EUCRR, or repayment of liabilities when due by that subsidiary to the firm.
IFPRU 8.1.7GRP
The FCA will assess an application for individual consolidation against articles 9 and 396(2) (Compliance with large exposure requirements) of the EU CRR on a case-by-case basis. The FCA will assess whether it is still appropriate to permit the treatment if doing so risks conflict with its statutory objectives. The FCA will apply a high level of scrutiny to applications under article 9 of the EU CRR, consistent with the previous solo consolidation regime.
IFPRU 8.1.8GRP
When making its assessment, the FCA will consider whether any minority interest may represent an impediment of any kind to the prompt transfer of own funds or repayment of liabilities from the subsidiary to the parent undertaking. To reassure the FCA, the parent institution should demonstrate that any minority interest in a subsidiary will not result in the potential blocking or delay of prompt transfer of own funds or repayment of liabilities. Therefore, it may be possible for
IFPRU 8.1.9GRP
The FCA will consider the non-exhaustive criteria below when determining whether the condition in article 9(2) of the EU CRR is met:(1) the speed with which funds can be transferred or liabilities repaid to the firm and the simplicity of the method for the transfer or repayment; (2) whether there are any interests other than those of the firm in the subsidiary and what impact those other interests may have on the firm's control over the subsidiary and the ability of the firm to
IFPRU 8.1.10GRP
The FCA will assess applications to exclude entities from the scope of prudential consolidation against article 19(2) of the EU CRR on a case-by-case basis. The FCA will only grant this treatment with respect to undertakings where one of the conditions in article 19(2) is met. The FCA will still make a judgement as to whether it is appropriate to grant this treatment even where one of the conditions in article 19(2) is met.
IFPRU 8.1.14GRP
Article 113(6) of the EU CRR (Intra-group credit risk exemption) permits a firm, subject to conditions, to apply a 0% risk-weighting for exposures to certain entities within its FCAconsolidation group, namely its parent undertaking, its own subsidiaries and subsidiaries of its parent undertaking. Article 400(1)(f) of the EU CRR then fully exempts such exposures from the large exposures limit stipulated in article 395(1) of the EUCRR (Limits to large exposures).
IFPRU 8.1.15GRP
The FCA will assess core UK group applications against article 113(6) on a case-by-case basis. The FCA expects to approve this treatment for core UK groupundertakings if the conditions stipulated in article 113(6) are met. A firm should note that the FCA will still make a wider judgement whether it is appropriate to grant this treatment even where the conditions in article 113(6) are met. It is the FCA's intention to continue to apply a high level of scrutiny to applications under
IFPRU 8.1.19GRP
When demonstrating how article 113(6)(e) of the EU CRR is met, the FCA considers that, for a counterparty which is not a firm, the application should include a legally binding agreement between the firm and the counterparty. This agreement will be to promptly, on demand, by the firm increase the firm'sown funds by an amount required to ensure that the firm complies with the provisions contained in Part Two of the EU CRR (Own funds) and any other requirements relating to capital
IFPRU 8.1.21GRP
The FCA will expect a firm to which this section applies not to use any member of its core UK group (which is not a firm) to route lending or to have exposures to any third party in excess of the limits stipulated in article 395(1) of the EU CRR (Limits to large exposures).
IFPRU 4.8.1GRP
The FCA considers that a firm may provide own estimates of exposure at default (EAD) in place of the own estimates of conversion factors (CFs) that it is permitted or required to provide under article 151 of the EU CRR.
IFPRU 4.8.7GRP
The FCA expects firms using own estimates of EAD to have done the following in respect of EAD estimates:(1) applied EAD estimates at the level of the individual facility;(2) where there is a paucity of observations, ensured that all EAD estimates are cautious, conservative and justifiable. In accordance with article 179(1)(a) of the EU CRR, estimates must be derived using both historical experience and empirical evidence, and must not be based purely on judgemental consideration.
IFPRU 4.8.12GRP
The FCA expects the time horizon for additional drawings to be the same as the time horizon for defaults. This means that EAD estimation need cover only additional drawings that might take place in the next year, such that:(1) no own funds requirements need be held against facilities, or proportions of facilities that cannot be drawn down within the next year; and(2) where facilities can be drawn down within the next year, firms may, in principle, reduce their estimates to the
IFPRU 4.8.15GRP
The FCA considers that the use of momentum approaches in both of the ways outlined above is acceptable in principle as an alternative to direct estimation of conversion factors (see article 4(56) of the EU CRR).
IFPRU 4.8.16GRP
In cases where firms estimate conversion factors (CFs) directly using a reference data set that includes a significant number of high CFs as a result of very low undrawn limits at the observation date, the FCA expects firms to:(1) investigate the distribution of realised CFs in the reference data set;(2) base the estimated CF on an appropriate point along that distribution, that results in the choice of a CF appropriate for the exposures to which it is being applied and consistent
IFPRU 4.8.23GRP
Exposures include not only principal amounts borrowed under facilities but also interest accrued which will fluctuate between payment dates. To ensure proper coverage of interest, the FCA expects firms to take the following approach:(1) accrued interest to date should be included in current exposure for performing exposures;(2) firms may choose whether estimated increases in accrued interest up to the time of default should be included in LGD or EAD;(3) in the estimation of EAD,
IFPRU 4.8.24GRP
The FCA considers that there is scope within the EU CRR for a firm to recognise on-balance sheet netting (including in respect of cross-currency balances) through EAD as an alternative to LGD1 in cases where a firm meets the general conditions for on-balance1 sheet netting, as set out in article 205 of1 the EU CRR.11
IFPRU 4.8.25GRP
For the CF on undrawn limits, this may be applied on the basis of the net limit, provided the conditions in the EU CRR for the use of net limits are met. However, firms are reminded that the purpose of the measure is to estimate the amount that would be outstanding in the event of a default. This implies that their ability, in practice, to constrain the drawdown of credit balances will be particularly tested. Moreover, the FCA expects the appropriate conversion factor to be
IFPRU 4.8.28GRP
Firms are reminded that, since the basis of EAD estimation is that default by the borrower is expected to take place in a one-year time horizon and quite possibly in downturn conditions, the FCA expects any reduction in their CF in anticipation of syndication to take account of this scenario (see article 4(56) of the EU CRR).
IFPRU 4.4.1GRP
In order to be able to determine that the requirements in article 144(1) of the EU CRR have been met, the FCA would typically have the high-level expectations set out in this section.
IFPRU 4.4.7GRP
For the FCA to be satisfied that a firm documents its ratings systems appropriately, in accordance with article 144(1)(e) of the EU CRR, it would expect a firm to be able to demonstrate that it has an appropriate policy for any ratings system in relation to:(1) any deficiencies caused by its not being sensitive to movements in fundamental risk drivers or for any other reason;(2) the periodic review and action in the light of such review;(3) providing appropriate internal guidance
IFPRU 4.4.8GRP
To be satisfied that the requirements in article 179(1) of the EU CRR are met, the FCA expects a firm to collect data on what it considers to be the main drivers of the risk parameters of probability of default (PD), loss given default (LGD), conversion factors (CFs) and expected loss (EL) for each group of obligors or facilities, to document the identification of the main drivers of risk parameters, and be able to demonstrate that the process of identification is reasonable and
IFPRU 4.4.9GRP
In its processes for identifying the main drivers of risk parameters, the FCA expects that a firm should set out its reasons for concluding that the data sources chosen provide in themselves sufficient discriminative power and accuracy and why additional potential data sources do not provide relevant and reliable information that would be expected materially to improve the discriminative power and accuracy of its estimates of the risk parameter in question. This process need not
IFPRU 4.4.10GRP
To demonstrate that rating systems provide for meaningful assessment, the FCA expects that a firm's documentation relating to data should include clear identification of responsibility for data quality. A firm should set standards for data quality, aim to improve them over time and measure its performance against those standards. Furthermore, a firm should ensure that its data is of high enough quality to support its risk management processes and the calculation of its own funds
IFPRU 4.4.12GRP
In assessing whether the external data used by a firm to build models is representative of its actual obligors or exposures, the FCA expects a firm to consider whether this data is appropriate to its own experience and whether adjustments are necessary (see article 174 of the EU CRR).
IFPRU 4.4.13GRP
To estimate PDs that are long run averages of one-year default rates for obligor grades or pools, the FCA expects a firm to estimate expected default rates for the grade/pool over a representative mix of good and bad economic periods, rather than simply taking the historic average of default rates actually incurred by the firm over a period of years. The FCA expects that a long run estimate would be changed when there is reason to believe that the existing long run estimate is
IFPRU 4.4.14GRP
To demonstrate compliance with article 144(1) of the EU CRR, the FCA expects a firm to take into account the following factors in understanding differences between their historic default rates and their PD estimates, and in adjusting the calibration of their estimates as appropriate:(1) the rating philosophy of the system and the economic conditions in the period over which the defaults have been observed;(2) the number of defaults, as a low number is less likely to be representative
IFPRU 4.4.15GRP
The FCA expects a firm that is unable to produce a long run estimate, as described above, to consider what action it would be appropriate for it to take to comply with article 180(1)(a) of the EU CRR. In some circumstances, it may be appropriate for a firm to need to amend its rating system so that the PD used as an input into the IRB own funds requirement is an appropriately conservative estimate of the actual default rate expected over the next year. However, such an approach
IFPRU 4.4.16GRP
In accordance with articles 181(1)(b) and 182(1)(b) of the EU CRR, where the estimates appropriate for an economic downturn are more conservative than the long run average, the FCA expects the estimate for each of these parameters to represent the LGD or CF expected, weighted by the number of defaults, over the downturn period. Where this is not the case, the FCA expects the estimate to be used to be the expected LGD or CF, weighted by the number of defaults, over a representative
IFPRU 4.4.17GRP
To demonstrate that a rating system provides for a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk, the FCA expects a firm would have regard to the sensitivity of the rating to movements in fundamental risk drivers, in assigning exposures to grades or pools within a rating system (see article 171 of the EU CRR).
IFPRU 4.12.8GRP
A firm seeking to achieve capital relief by deducting or applying a 1250% risk weight where permitted under articles 243 or 244 of the EU CRR does not need to make the notification in IFPRU 4.12.1 R.1 However, in such cases, a firm should consider whether the characteristics of the transaction are such that the FCA would reasonably expect prior notice of it.1
IFPRU 4.12.10GRP
Notification under IFPRU 4.12.1 G should include sufficient information to enable the FCA to assess whether the possible reduction in RWEA which would be achieved by the securitisation is justified by a commensurate transfer of credit risk to third parties. The FCA expects this to include the following:(1) details of the securitisation positions, including rating, exposure value and RWEA broken down by securitisation positions sold and retained;(2) key transaction documentation
IFPRU 4.12.27GRP
(1) If a firm is found to have provided support to a securitisation, the expectation that the firm will provide future support to its securitisations is increased. The FCA will take account of this increased expectation in future assessments of commensurate risk transfer to that firm.(2) The FCA expects securitisation documentation to make clear, where applicable, that repurchase of securitisation positions by the originator beyond its contractual obligations is not mandatory
IFPRU 4.12.32GRP
Article 238 of the EU CRR (Maturity of credit protection) requires maturity to be assessed in considering significant risk transfer. When considering the effective maturity of synthetic securitisations, the FCA expects a firm to consider whether the transaction contained an option to terminate the protection at the discretion of the protection buyer.
IFPRU 4.12.35GRP
When risk transfer transactions are structured as a group of linked transactions rather than a single transaction, the FCA expects the aggregate effect of linked transactions to comply with the EU CRR. The FCA expects firms to ensure that analysis of risk transfer incorporates all linked transactions, particularly if certain transactions within a group of linked transactions are undertaken at off-market rates.
IFPRU 4.12.37GRP
To ensure continued appropriateness, the FCA expects firms to update the opinions of qualified legal counsel, required by the EU CRR, as necessary to ensure their continuing validity. For example, an opinion may need to be updated if relevant statutory provisions are amended, or where a new decision or judgment of a court has a bearing on the continuing validity of counsel's opinion.
IFPRU 4.12.42GRP
Where a firm achieves significant risk transfer for a particular transaction, the FCA expects it to continue to monitor risks related to the transaction to which it may still be exposed. The firm should consider capital planning implications of securitised assets returning to its balance sheet. The EU CRR requires a firm to conduct regular stress testing of its securitisation activities and off-balance sheet exposures. The stress tests should consider the firm-wide impact of stressed
IFPRU 4.7.3GRP
The FCA expects a firm to justify any low LGD estimates using analysis on volatility of sources of recovery, notably on collateral, and cures (see IFPRU 4.7.5 G). This includes:(1) recognising that the impact of collateral volatility on low LGDs is asymmetric, as surpluses over amounts owed need to be returned to borrowers and that this effect may be more pronounced when estimating downturn, rather than normal period LGDs; and(2) recognising the costs and discount rate associated
IFPRU 4.7.4GRP
To ensure that the impact of collateral volatility is taken into account, the FCA expects a firm's LGD framework to include non-zero LGD floors which are not solely related to administration costs (see article 179(1)(f) of the EU CRR).
IFPRU 4.7.5GRP
Where a firm wishes to include cures in its LGD estimates, the FCA expects it to do this on a cautious basis, with reference to both its current experience and how this is expected to change in downturn conditions. In particular, this involves being able to articulate clearly both the precise course of events that will allow such cures to take place and any consequences of such actions for other elements of its risk quantification. For example:(1) where cures are driven by the
IFPRU 4.7.6GRP
To ensure that estimates of LGDs take into account the most up-to-date experience, the FCA expects a firm to take account of data for relevant incomplete workouts (ie, defaulted exposures for which the recovery process is still in progress, with the result that the final realised losses in respect of those exposures are not yet certain) (see article 179(1)(c) of the EU CRR).
IFPRU 4.7.7GRP
To ensure that sovereign LGD models are sufficiently conservative in view of the estimation error that may arise from the lack of data on losses to sovereigns, the FCA expects a firm to apply a 45% LGD floor to each unsecured exposure in the sovereign asset class (see article 179(1)(a) of the EU CRR).
IFPRU 4.7.10GRP
To ensure that its LGD estimates are oriented towards downturn conditions, the FCA expects a firm to have a process through which it:(1) identifies appropriate downturn conditions for each IRB exposure class within each jurisdiction;(2) identifies adverse dependencies, if any, between default rates and recovery rates; and(3) incorporates adverse dependencies, if identified, between default rates and recovery rates in the firm's estimates of LGD in a manner that meets the requirements
IFPRU 4.7.12GRP
If a firm intends to use a discount rate that does not take full account of the uncertainty in recoveries, the FCA expects it to be able to explain how it has otherwise taken into account that uncertainty for the purposes of calculating LGDs. This can be addressed by adjusting cash flows to certainty-equivalents or by using a discount rate that embodies an appropriate risk premium for defaulted assets, or by a combination of the two (see article 5(2) of the EU CRR).
IFPRU 4.7.13GRP
The FCA expects a firm using advanced IRB approaches to have done the following in respect of wholesale LGD estimates:(1) applied LGD estimates at transaction level;(2) ensured that all LGD estimates (both downturn and non-downturn) are cautious, conservative and justifiable, given the paucity of observations. Under article 179(1)(a) of the EU CRR, estimates must be derived using both historical experience and empirical evidence, and not be based purely on judgemental consideration.
IFPRU 4.7.17GRP
Where an independent calculation approach is adopted for the calculation of unexpected loss on defaulted assets, the FCA expects a firm to ensure that estimates are at least equal, at a portfolio level, to a 100% risk weight, ie,1 8% capital requirement on the amount outstanding net of provisions (see article 181(1)(h) of the EU CRR).
IFPRU 4.7.19GRP
The FCA expects a firm to take into account the effect of assets being substantially used as collateral for other obligations estimating LGDs for borrowers for which this is the case. The FCA expects a firm not to use unadjusted data sets that ignore this impact, and note that it is an estimate for downturn conditions that is normally required. In the absence of relevant data to estimate this effect, conservative LGDs potentially of 100% are expected to be used (see articles
IFPRU 2.3.7GRP
The FCA will review a firm'sICAAP, including the results of the firm's stress tests carried out under IFPRU and the EUCRR, as part of its SREP. Provided that the FCA is satisfied with the appropriateness of a firm's capital assessment, the FCA will take into account that firm'sICAAP and stress tests in its SREP. More material on stress tests for a firm with an IRB permission can be found in IFPRU 2.3.50 R to IFPRU 2.3.54 G.11
IFPRU 2.3.8GRP
The SREP is a process under which the FCA: (1) reviews the arrangements, strategies, processes and mechanisms implemented by a firm to comply with IFPRU, SYSC and with requirements imposed by or under the EUCRR and wider regulatory system and evaluates the risks to which the firm is, or might be, exposed;(2) determines whether the arrangements, strategies, processes and mechanisms implemented by the firm and the capital held by the firm ensures a sound management and coverage
IFPRU 2.3.10GRP
As part of its SREP, the FCA will consider whether the amount and quality of capital which a firm should hold to meet its own funds requirements in the EUCRR is sufficient for that firm to comply with the overall financial adequacy rule.
IFPRU 2.3.36GRP
(1) This paragraph applies to a proportional ICAAP in the case of a firm that is a significant IFPRU firm (see IFPRU 1.2.3 R) whose activities are complex.(2) A proportional approach to that firm'sICAAP should cover the matters identified in IFPRU 2.3.34 G and IFPRU 2.3.35 G, but is likely also to involve the use of models, most of which will be integrated into its day-to-day management and operation.(3) Models of the kind referred to in (2) may be linked to generate an overall
IFPRU 2.3.52RRP
If IFPRU 2.3.50 Rapplies to a firm on a consolidated basis, the following adjustments are made to IFPRU 2.3.50 R in accordance with the general principles of Part One, Title II, Chapter 2 of the EU CRR (Prudential consolidation): (1) references to own funds are to the consolidated own funds of the firm's FCA consolidation group or, as the case may be, its non-EEA sub-group; and(2) references to the capital requirements in Part Three of the EU CRR (Capital requirements) are to
IFPRU 4.6.5GRP
Article 169(3) of the EU CRR allows the use of direct estimates of PDs, although such a measure could be assessed over a variety of different time horizons which the EU CRR does not specify. Accordingly, the FCA considers that it acceptable in principle to use methodologies of this type in lieu of estimation of long-run averages for the grade/pool/score of the underlying rating system, where the following conditions are met. Meeting these conditions requires a firm using the
IFPRU 4.6.8GRP
Accordingly, the FCA expects a firm using a variable scalar approach should adopt a PD that is the long-run default rate expected over a representative mix of good and bad economic periods, assuming that the current lending conditions including borrower mix and attitudes and the firm's lending policies remain unchanged. If the relevant lending conditions or policies change, then the FCA would expect the long-run default rate to change (see article 180(1)(a), (b) and (2)(a) of
IFPRU 4.6.13GRP
Segmentation should be done on the basis of the main drivers of both willingness and ability to pay. In the context of residential mortgages, an example of the former is the amount of equity in the property and an example of the latter is the ratio of debt to income. The FCA expects a firm to:(1) incorporate an appropriate number of drivers of risk within the segmentation to maximise the accuracy of the system;(2) provide detailed explanations supporting its choices of drivers,
IFPRU 4.6.22GRP
Where a firm has not chosen to apply the definition of default at the level of an individual credit facility in accordance with article 178(1) of the EU CRR, the FCA expects it to ensure that the PD associated with unsecured exposures is not understated as a result of the presence of any collateralised exposures.
IFPRU 4.6.23GRP
The FCA expects the PD of a residential mortgage would typically be lower than the PD of an unsecured loan to the same borrower (see article 178(1) of the EU CRR).
IFPRU 4.6.24GRP
Where a firm chooses to apply the definition of default at the level of an individual credit facility, in accordance with article 178(1) of the EU CRR, and a customer has defaulted on a facility, then default on that facility is likely to influence the PD assigned to that customer on other facilities. The FCA expects a firm to take this into account in its estimates of PD (see article 178(1) of the EU CRR).
IFPRU 4.6.29GRP
The FCA expects a firm using a rating agency grades as the primary driver in its IRB models to be able to demonstrate (and document) compliance with the following criteria:(1) the firm has its own internal rating scale;(2) the firm has a system and processes in place that allow it to continuously collect and analyse all relevant information, and the 'other relevant information' considered by the firm in accordance with article 171(2) of the EU CRR reflects the information collected
IFPRU 4.6.31GRP
The FCA expects a firm to estimate PD for a rating system in line with this section where the firm's internal experience of defaults for that rating system was 20 defaults or fewer, and reliable estimates of PD cannot be derived from external sources of default data, including the use of market price-related data. In PD estimation for all exposures covered by the rating system, the FCA expects the firm to:(1) use a statistical technique to derive the distribution of defaults implied
IFPRU 4.6.32GRP
The FCA expects a firm to take into account only defaults that occurred during periods that are relevant to the validation under the EU CRR of the model or other rating system in question when determining whether there are 20 defaults or fewer.
IFPRU 4.3.4GRP
Article 20(6) of the EU CRR states that, where the IRB approach is used on a unified basis by those entities which fall within the scope of article 20(6) (EEA group), the FCA is required to permit certain IRB requirements to be met on a collective basis by members of that group. In particular, the FCA considers that, where a firm is reliant upon a rating system or data provided by another member of its group, it will not meet the condition that it is using the IRB approach on
IFPRU 4.3.7GRP
Where a firm seeks to demonstrate to the FCA that the effect of its non-compliance with the requirements of Part Three, Title II Chapter 3 of the EU CRR (Internal ratings based approach) is immaterial under article 146(b) of the EU CRR (Measures to be taken where the requirements cease to be met), the FCA expects the firm to have taken into account all instances of non-compliance with the requirements of the IRB approach and to have demonstrated that the overall effect of non-compliance
IFPRU 4.3.8GRP
(1) Where the firm's rating systems are used on a unified basis under article 20(6) of the EU CRR, the FCA considers that the governance requirements in article 189 of the EU CRR can only be met if the subsidiaries have delegated to the governing body or designated committee of the EEA parent institution, EEA parent financial holding company or EEA parent mixed financial holding company responsibility for approval of the firm's rating systems.(2) The FCA expects an appropriate
IFPRU 4.3.10GRP
(1) The FCA may permit the exemption of exposures to sovereigns and institutions under article 150(1)(a) and (b) of the EU CRR respectively only if the number of material counterparties is limited and it would be unduly burdensome to implement a rating system for such counterparties.(2) The FCA considers that the 'limited number of material counterparties' test is unlikely to be met if for the UK group total outstandings to 'higher risk' sovereigns and institutions exceed either
IFPRU 4.3.14GRP
Where a firm wishes to permanently apply the Standardised Approach to exposures to connected counterparties in accordance with article 150(1)(e) of the EU CRR, the FCA would normally expect to grant permission to do so only if the firm had a policy that provided for the identification of connected counterparties exposures that would be permanently exempted from the IRB approach and also identified connected counterparty exposures (if any) that would not be permanently exempted
IFPRU 4.3.17GRP
The FCA expects a firm to ensure that all documentation relating to its rating systems (including any documentation referenced in this chapter or required by the EU CRR that relate to the IRB approach) is stored, arranged and indexed in such a way that it could make them all, or any subset thereof, available to the FCA immediately on demand or within a short time thereafter.
IFPRU 8.2.3GRP
This section contains the rules that exercise the discretion afforded to the FCA as competent authority under article 400(2)(c) and (3) of the EU CRR (Large exposures: exemptions). The FCA does not intend to exercise its discretion for any of the other exemptions in article 400(2).
IFPRU 8.2.4GRP
Article 400(2) of the EU CRR permits the FCA to fully or partially exempt exposures incurred by a firm to intra-group undertakings that meet the specified criteria from the limit stipulated in article 395(1) of the EU CRR in relation to a firm's group of connected clients that represent its wider group. The FCA will consider exempting non-trading book and trading book exposures to intra-group undertakings if specified conditions throughout IFPRU 8.2 are met.
IFPRU 8.2.5GRP
The FCA expects that applications for exemptions under article 400(2)(c) of the EU CRR will be for firms established in the UK where the intra-group undertakings to which they have exposures meet the criteria for the core UK group in article 113(6) of the EU CRR, except for article 113(6)(d) (established in the same EEA State as the firm).
IFPRU 8.2.7RRP
A firm may only make use of the non-core large exposure group exemption where the following conditions are met: (1) the total amount of the non-trading book exposures from the firm to its non-core large exposures group does not exceed 100% of the firm'seligible capital; or (if the firm has a core UK grouppermission) the total amount of non-trading book exposures from its core UK group (including the firm) to its non-core large exposures group does not exceed 100% of the core
IFPRU 8.2.11GRP
The FCA will assess core UK group and non-core large exposure group applications against article 400(2)(c) on a case-by-case basis. The FCA will only approve this treatment for non-core large exposure group undertakings where the conditions in article 400(2)(c) are met. A firm should note that the FCA will still make a wider judgement whether it is appropriate to grant this treatment even where the conditions in article 400(2)(c) are met.
IFPRU 6.3.17GRP
In accordance with article 363(3) of the EU CRR (Permission to use internal models), the FCA expects a firm to provide and discuss with us details of any significant planned changes to the VaR model before those changes are implemented. These details must include detailed information about the nature of the change, including an estimate of the impact on VaR numbers and the incremental risk charge.
IFPRU 6.3.18GRP
The use of overlapping intervals of 10-day holding periods for article 365 of the EU CRR (VaR and stressed VaR calculation) introduces an autocorrelation into the data that would not exist should truly independent 10-day periods be used. This may give rise to an under-estimation of the volatility and the VaR at the 99% confidence level. To obtain clarity on the materiality of the bias, a firm should measure the bias arising from the use of overlapping intervals for 10-day VaR
IFPRU 6.3.19GRP
Article 365 of the EU CRR requires a firm that uses an internal model for calculating its own funds requirement to calculate, at least weekly, a stressed VaR (sVaR) of their current portfolio. When the FCA considers a firm's application to use a sVaR internal model it would expect the features in IFPRU 6.3.20 G to IFPRU 6.3.24 G to be present prior to permission being granted, as indicative that the conditions for granting permission have been met.
IFPRU 6.3.25GRP
Article 372 of the EU CRR (Requirement to have an internal IRC model) requires a firm that use an internal model for calculating own funds requirements for specific risk of traded debt instruments to also have an internal incremental default and migration risk (IRC) model in place to capture the default and migration risk of its trading book positions that are incremental to the risks captured by its VaR model. When the FCA considers a firm's application to use an IRC internal
IFPRU 4.11.8GRP
The FCA expects that firms will not be compliant with the calibration requirements relating to use of a long-run default rate, unless it can demonstrate that:(1) the internal data series is the longest relevant and accurate data series, on a EU CRR compliant definition of default, that is available;(2) the determination of long-run default rate includes reference to an appropriate source of downturn data (this may require the use of external data);(3) the relevance of any external
IFPRU 4.11.14GRP
Because assumptions in the model build process are likely to materially impact the resulting PDs, the FCA would expect these choices to be clearly justified in the model documentation and to have been independently reviewed. To be satisfied that a firm is complying with article 176(1)(d) of the EU CRR, the FCA expects a firm to support justification for all assumptions with analysis of the sensitivity of the model outputs to changes in the assumptions.
IFPRU 4.11.18GRP
The FCA also expects that a firm will be compliant with the validation requirements only where1it can demonstrate that:11(1) appropriate stability metrics should be considered across a range of economic environments (ie, longest period possible including most recent data);(2) the tolerances for the degree of divergence, and associated actions for what should happen when they are not met, is pre-defined; and(3) subsections of portfolios by characteristics affecting risk profile,
IFPRU 4.11.19GRP
The FCA expects that a firm will1 be able to comply with certain other EU CRR requirements only where it can1demonstrate that:11(1) in relation to article 144(1)(e) of the EU CRR, where more than one model is used, the rationale, and the associated boundary issues, is clearly articulated and justified and the criteria for assigning an asset to a rating model are objective and clear;(2) in relation to article 173(1)(c) of the EU CRR, the firm has a process in place to ensure valuations
SUP 16.12.22ARRP

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

45Description ofData item

Firms' prudential category and applicable data item (note 1)

IFPRU

BIPRU 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/FINREP (Notes 2 and 29)

FSA001 (Note 2)

FSA029

Section A RMAR

Income Statement

FSA002/FINREP (Notes 2 and 29)

FSA002 (Note 2)

FSA030

Section B RMAR

Capital Adequacy

COREP (Note 29)

FSA003 (Note 2)

FSA032

Section D6 RMAR (Note 23)

Credit risk

COREP (Note 29)

FSA004 (Notes 2, 3)

Market risk

COREP (Note 29)

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (Note 5)

Operational risk

COREP (Note 29)

Large exposures

COREP (Note 29)

Exposures between core UK group and non-core large exposures group

FSA018 (note 12)

Solo consolidation data

FSA016

FSA016

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA sub-group

COREP (Note 29)

FSA028 (Note 9)

Professional indemnity insurance (note 15)

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

COBS data

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

Fees and levies

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR

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)

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)

IRB portfolio risk

FSA045 (note 13)

FSA045 (Note 13)

Securitisation: non-trading book

COREP (note 29)

FSA046 (Note 14)

Daily Flows

FSA047/COREP (Notes 16, 19, 21, 24 and 29)

Enhanced Mismatch Report

FSA048/COREP (Notes 16, 19, 21, 24 and 29)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 17, 20, 21, 24 and 29)

Funding Concentration

FSA051/COREP (Notes 17, 20, 21, 24 and 29)

Pricing data

FSA052/COREP (Notes 17, 20, 21, 24 and 29)

Retail and corporate funding

FSA053/COREP (Notes 17, 20, 21, 24 and 29)

Currency Analysis

FSA054/COREP (Notes 17, 20, 21, 24 and 29)

Systems and Controls Questionnaire

FSA055/COREP (Notes 18, 24 and 29)

FSA055 (Notes 18 and 24)

Securitisation: trading book

COREP (Note 29)

FSA058 (Note 22)

Supplementary capital data for collective portfolio management investment firms

FIN067 (Note 28)

FIN068 (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 tinewithin 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

[deleted]

Note 7

[deleted]

Note 8

Only applicable to IFPRU investment firms and BIPRU 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.

An IFPRU investment firm and a BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and a BIPRU 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

Only applicable to a firm that has both a core UK group and a non-core large exposures group.

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 of securitisations of non-trading bookexposures.

Note 15

This item only applies to firms that are subject to an FCA requirement to hold professional indemnity insurance and are not exempt CAD firms.

Note 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.

Note 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.

Note 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.

Note 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).

Note 20

Note 19 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 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.

Note 22

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 23

Where a firm submits data items for both RAG 7 and RAG 9, the firm must complete both SectionsD1 and D6 RMAR.

Note 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.

Note 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.

Note 26

This item only applies to firms that provide advice on retail investment products.

Note 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.

Note 28

Only applicable to firms that are collective portfolio management investment firms.

Note 29

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.
IFPRU 2.2.37RRP
(1) As part of its obligation under the overall Pillar 2 rule, a firm that is a significant IFPRU firm must:(a) for the major sources of risk identified in line with IFPRU 2.2.7R(2), carry out stress tests and scenario analyses that are appropriate to the nature, scale and complexity of those major sources of risk and to the nature, scale and complexity of the firm's business; and(b) carry out the reverse stress testing under SYSC 20 (Reverse stress testing).(2) In carrying out
IFPRU 2.2.56GRP
The purpose of IFPRU 2.2.52 R to IFPRU 2.2.55 G is to enable the FCA to assess the extent, if any, to which a firm's assessment, calculated on a consolidated basis, is lower than it would be if each separate legal entity were to assess the amount of capital it would require to mitigate its risks (to the same level of confidence) were it not part of a group subject to consolidated supervision under Part One, Title II, Chapter 2 of the EUCRR (Prudential consolidation). The reason
IFPRU 2.2.73GRP
(1) In identifying an appropriate range of adverse circumstances and events in accordance with IFPRU 2.2.37 R (2):(a) a firm will need to consider the cycles it is most exposed to and whether these are general economic cycles or specific to particular markets, sectors or industries;(b) for the purposes of IFPRU 2.2.37 R (2)(a), the amplitude and duration of the relevant cycle should include a severe downturn scenario based on forward-looking hypothetical events, calibrated against
IFPRU 3.2.4GRP
For the purposes of article 4(1)(126) (Definition of synthetic holding) and Part Two (Own funds) of the EUCRR, the FCA considers the holdings described in IFPRU 3.2.5 G to be examples of indirect or synthetic holdings by an IFPRU investment firm of own common equity tier 1 instruments.
IFPRU 3.2.10RRP
A firm must notify the FCA of the following:(1) its intention; or(2) the intention of another member of its group that is not a firm, but is included in the supervision on a consolidated basis of the firm;to issue a capital instrument that it believes will qualify under the EUCRR as own funds other than a common equity tier 1 capital at least one month before the intended date of issue.
IFPRU 3.2.17RRP
A firm must notify the FCA of its intention, or the intention of another member of its group included in the supervision on a consolidated basis of the firm, to carry out any of the actions described in article 77 of the EUCRR (Conditions for reducing own funds) for an own funds instrument.
IFPRU 4.2.2GRP
Where the FCA has published evidence showing that a well-developed and long-established residential property market is present in that territory with loss rates which do not exceed the limits in article 125(3) of the EU CRR (Exposures fully and completely secured by mortgages on residential property), a firm does not need to meet the condition in article 125(2)(b) of the EU CRR in order to consider an exposure, or any part of an exposure, as fully and completely secured for the
IFPRU 4.2.3RRP
For the purposes of articles 124(2) and 126(2) of the EU CRR, and in addition to the conditions in those regulations, a firm may only treat exposures as fully and completely secured by mortgages on commercial immovable property in line with article 126 where annual average losses stemming from lending secured by mortgages on commercial property in the UK did not exceed 0.5% of risk-weighted exposure amounts over a representative period. A firm must calculate the loss level in
IFPRU 4.2.5GRP
The FCA confirms that, in relation to the concessionary treatment set out in article 119(5) of the EU CRR, there are no financial institutions currently authorised and supervised by it (other than those to which the EU CRR applies directly) that are subject to prudential requirements that it considers to be comparable in terms of robustness to those applied to institutions under the EU CRR.[Note: article 119(5) of the EU CRR]
IFPRU 4.2.6GRP
Where an exposure is denominated in a currency other than the euro, the FCA expects a firm to use appropriate and consistent exchange rates to determine compliance with relevant thresholds in the EU CRR. Accordingly, a firm should calculate the euro equivalent value of the exposure for the purposes of establishing compliance with the aggregate monetary limit of €1 million for retail exposures using a set of exchange rates the firm considers to be appropriate. The FCA expects a
IFPRU 4.2.8GRP
The FCA expects a firm with exposure to a lifetime mortgage to inform the FCA of the difference in the own funds requirements on those exposures under the EU CRR and the credit risk capital requirement that would have applied under BIPRU 3.4.56A R.The FCA will use this information in its consideration of relevant risks in its supervisory assessment of the firm (see articles 124, 125 and 208 of the EU CRR).
IFPRU 4.2.9GRP
When determining the portion of a past due item that is secured, the FCA expects the secured portion of an exposure covered by a mortgage indemnity product that is eligible for credit risk mitigation purposes under Part Three, Title II, Chapter 4 of the EU CRR (Credit risk mitigation) to qualify as an eligible guarantee (see article 129(2) of the EU CRR).
IFPRU 4.2.10GRP
When determining whether exposures in the form of units or shares in a CIU are associated with particularly high risk, the FCA expects the following features would be likely to give rise to such risk:(1) an absence of external credit assessment of such CIU from an ECAI recognised under article 132(2) of the EU CRR (Items representing securitisation positions) and where such CIU has specific features (such as high levels of leverage or lack of transparency) that prevent it from
IFPRU 4.5.1GRP
The FCA expects that if a firm ordinarily assigns exposures in the corporate, institution or central government and central bank exposure classes to a member of a group, substantially on the basis of membership of that group and a common group rating, and the firm does so in the case of a particular obligor group, the firm should consider whether members of that group should be treated as a single obligor for the purpose of the definition of default in article 178(1) of the EU
IFPRU 4.5.3GRP
Under article 178(1)(b)1 of the EU CRR, the FCA is empowered to replace 90 days with 180 days in the days past due component of the definition of default for exposures secured by residential or SME commercial real estate in the retail exposure class, as well as exposures to public sector entities (PSEs).1
IFPRU 4.5.5GRP
The FCA expects that a credit obligation be considered as a distressed restructuring if an independent third party, with expertise in the relevant area, would not be prepared to provide financing on substantially the same terms and conditions (see article 178(2)(d) of the EU CRR).
IFPRU 4.5.6GRP
To be satisfied that a firm complies with the documentation requirements in article 175(3) of the EU CRR, the FCA expects a firm should have a clear and documented policy for determining whether an exposure that has been in default should subsequently be returned to performing status (see article 175(3) of the EU CRR).
IFPRU 7.1.2GRP
This section contains rules that exercise the discretion afforded to the FCA as competent authority under article 6(4) of the EU CRR (Exemption for certain investment firms).
IFPRU 7.1.3GRP
The FCA's liquidity regime and liquidity reporting in BIPRU 12 (Liquidity standards) and SUP 16 (Reporting requirements) continue to apply to an IFPRU investment firm until the liquidity coverage requirement in article 412 of the EU CRR becomes applicable in 2015.
IFPRU 7.1.6RRP
For the purpose of article 11(3) of the EU CRR, a FCA consolidation group that meets the condition in IFPRU 7.1.7 R is exempt from compliance with the obligations in Part Six of the EU CRR (Liquidity) on a consolidated basis.
IFPRU 6.1.2GRP
This chapter:(1) implements article 101 of CRD; (2) contains the rule that exercises the discretion afforded to the FCA as competent authority under article 327(2) of the EU CRR; and(3) contains the guidance for market risk.
IFPRU 4.14.1RRP
For the purpose of article 282(6) of the EU CRR (Hedging sets), a firm must apply the CCR Mark-to-market method as set out in Part Three, Title II, Chapter 6, Section 3 (Mark-to-market method) of the EU CRR to:(1) transactions with non-linear risk profile; or(2) payment legs and transactions with debt instruments as underlying;for which it cannot determine the delta or the modified duration, as the case may be, using an internal model approved by the FCA under Part Three Title
IFPRU 4.14.4GRP
(1) This guidance sets out the FCA's expectations for granting permission to a firm to use its own one-sided credit valuation adjustment internal models (an "internal CVA model") for the purpose of estimating the maturity factor "M", as proposed under article 162(2)(h) of the EU CRR (Maturity).(2) In the context of counterparty credit risk, the maturity factor "M" is intended to increase the own funds requirements to reflect potential higher risks associated with medium and long-term
IFPRU 4.14.5GRP
(1) This guidance sets out the FCA's expectations for permitting a firm with the permission to use the Internal Model Method set out in Part Three, Title II, Chapter 6, Section 6 (Internal model method) and the permission to use an internal VaR model for specific risk set out in Part Three, Title IV, Chapter 5 (Use of internal models) associated with traded debt instruments to set to 1 the maturity factor "M" defined in article 162 of the EU CRR.(2) In the context of counterparty
FEES 3.2.7RRP

Table of application, notification and vetting fees payable to the FCA78

(1) Fee payer

(2) Fee payable

Due date

(a) Any applicant for Part 4A permission (including an incoming firm applying for top-up permission) whose fee is not payable pursuant to sub- paragraph (ga) of this table26

(1) Unless (2) applies, in1 respect of a particular application, the highest of the tariffs set out in FEES 3 Annex 1 part 11 which apply to that application.

(2) In respect of a particular application which is:

(i) a straightforward or moderately complex case for the purposes of FEES 3 Annex 1 part 1, and

(ii) only involves a simple change of legal status as set out in FEES 3 Annex 1 part 6,

the fee payable is 50% of the tariff that would otherwise be payable in FEES 3 Annex 1 part 11

1

On or before the application is made

(b) Any Treaty firm that wishes to exercise a Treaty right to qualify for authorisation under Schedule 4 to the Act (Treaty rights) in respect of regulated activities for which it does not have an EEA right, except for a firm providing cross border services only4

(1) Where no certificate has been issued under paragraph 3(4) of Schedule 4 to the Act the fee payable is, in respect of a particular exercise, set out in FEES 3 Annex 1, part 4

(2) Where a certificate in (i) has been issued no fee is payable

On or before the notice of exercise is given

(c) Any applicant for a certificate under article 54 of the Regulated Activities Order

2,000

On or before the application is made

(d) Applicants for an authorisation order for, or recognition under section 272 of the Act27 of, a collective investment scheme

FEES 3 Annex 2R, part 227

27

On or before the application is made

28(ea)

(i) An AIFM (other than a UK AIFM or an EEA AIFM with a branch in the UK) notifying the FCA of its intention to market an AIF in the UK under regulation 57 of the AIFMD UK regulation

(ii) An AIFM notifying the FCA of its intention to market an AIF in the UK under regulation 58 or 59 of the AIFMD UK regulation

FEES 3 Annex 2 R, part 4

On or before the date the notification is made

28(eb) An applicant for registration on the register of small registered UK AIFM which the FCA is required to maintain under regulation 10 of the AIFMD UK regulation

£750

On or before the date the application is made

(f) Any person seeking an order under section 326(1) of the Act to become a designated professional body.

10,000

30 days after the order is granted

(g) Any applicant for recognition as a UK recognised body:17

(i) under section 287 of the Act; or17

(ii) under regulation 2(1) of the RAP regulations17

78

FEES 3 Annex 3, part 1

On or before the date the application is made26

26(ga) Any applicant for:

(i) a Part 4A permission to carry out the regulated activity of administering a specified benchmark; or

(ii) varying its Part 4A permission to carry out the regulated activity of administering a specified benchmark

FEES 3 Annex 3, part 1

On or before the date the application is made

(h) Any applicant for recognition as an ROIE78 under section 287 or section 292 of the Act

7878

FEES 3 Annex 3, part 2

On or before the date the application is made

(i) An applicant for listing (under the listing rules)

FEES 3 Annex 4, part 1

On or before the date the application is made

(j) Applicant for approval as sponsor (under the listing rules)

FEES 3 Annex 4, part 2

On or before the date the application is made

(k) Issuers of tranches from debt issuance programmes and securitised derivative tranches

FEES 3 Annex 4, part 1

An upfront fee is required per tranche for draw downs in the following 12 months

(l) Under the listing rules, an issuer involved in specific events or transactions during the year where documentation is subject to a transaction vetting

FEES 3 Annex 5, part 1, unless the transaction would come within the definition of significant transaction under category (v) or super transaction under category 7(q) in this table, in which case the fee payable under that category.2

On or before the date that relevant documentation is first submitted to the FCA

(m) Under the prospectus rules, an issuer or person requesting approval or vetting of the documents arising in relation to specific events or transactions that it might be involved in during the year

FEES 3 Annex 5, part 2, unless the transaction would come within the definition of significant transaction under category (v) or super transaction under category 7(q) in this table, in which case the fee payable under that category.2

On or before the date that relevant documentation is first submitted to the FCA

(n) Applicants to be added to the list of designated investment exchanges

50,000

On or before the date the application is made

2(o) In relation to a BIPRU firm, either:29

(i) a firm applying to the FCA29 for permission to use one of the advanced prudential calculation approaches listed in FEES 3 Annex 6 R (or guidance on its availability), including any future proposed amendments to those approaches or (in the case of any application being made for such permission to the FCA29 as EEA consolidated supervisor under the (transposing parts of the BCD and CAD, as applicable under article 95(2) of the EUCRR29)) any firm making such an application ;5 or

(ii) in the case of an application to 5a Home State regulator other than the FCA295for the use of the Internal Ratings Based approach and the Home State regulator requesting the FCA's29 assistance in accordance with the Capital Requirements Regulations 2006 (transposing parts of the BCD and CAD, as applicable under article 95(2) of the EUCRR29), any firm to which the FCA29 would have to apply any decision to permit the use of that approach.5

1122957829578295782978297829

(1) Unless5 (2) applies, FEES 3 Annex 6.5

(2) (a) Unless5 (b) applies a1firm submitting a second application for the permission or5guidance described in column (1) within 12 months of the first application (where the fee was paid in accordance with (1)) must pay 50% of the fee applicable to it under FEES 3 Annex 6, but only in respect of that second application

(b) No fee is payable by a firm in relation to a successful application for a permission5 based on a minded to grant decision in respect of the same matter following a complete application for guidance in accordance with prescribed submission requirements.1

(c) No fee is payable where the Home State regulator has requested the assistance described in paragraph (o)(ii) of column 1 except in the cases specified in 5FEES 3 Annex 6.2

52512555785785

Where the firm has made an application directly to the FCA29, on or before the date the application is made, otherwise within 30 days after the FCA29 notifies the firm that its EEA parent's Home State regulator has requested assistance.229

27829782978

29(oa) Either:

(i) a firm applying to the

appropriate regulator

for permission to use one of the internal approaches listed in FEES 3 Annex 6A (or guidance on its availability), including any future proposed amendments to those approaches or (in the case of any application being made for such permission to the

appropriate regulator

as consolidating supervisor under the EU CRR) any firm making such an application; or

(ii) in the case of an application to the consolidating supervisor other than the

appropriate regulator

for the use of the IRB approach and the consolidating supervisor requesting the

appropriate regulator's

assistance in accordance with the EU CRR, any firm to which the appropriate regulator would have to apply any decision to permit the use of that approach.

(1) Unless (2) applies, FEES 3 Annex 6A.

(2) (a) Unless (b) applies a firm submitting a second application for the permission or guidance described in column (1) within 12 months of the first application (where the fee was paid in accordance with (1)) must pay 50% of the fee applicable to it under FEES 3 Annex 6A, but only in respect of that second application.

(b) No fee is payable by a firm in relation to a successful application for a permission based on a minded to grant decision in respect of the same matter following a complete application for guidance in accordance with prescribed submission requirements.

(c) No fee is payable where the consolidating supervisor has requested the assistance described in paragraph (oa)(ii) of column 1.

except in the cases specified in FEES 3 Annex 6A

Where the firm has made an application directly to the appropriate regulator, on or before the date the application is made, otherwise within 30 days after the appropriate regulator notifies the firm that its EEA parent's consolidating supervisor has requested assistance.

(p) A firm applying for a variation of its Part 4A permission whose fee is not payable pursuant to sub- paragraph (ga) of this table26

(1) Unless (2) or (3)11 applies, if the proposed new1 business of the firm would1 fall within one or more activity groups specified in Part 1 of FEES 4 Annex 1A or Part 1 of 78 not applicable before the application1, the fee is 50% of the highest of the tariffs set out in which apply to that application.

(2) If the only change is that the1 A.12 activity group tariff applied to the firm's business before the variation and the A.13 activity group will apply after variation, no fee is payable

(3) If the firm is in the A.1 fee-block at the date of the application and the variation involves adding any of the regulated activities of meeting of repayment claims or managing dormant account funds (including the investment of such funds), the fee is 50% of the fee in FEES 3 Annex 1 R that applies to that application11

(4) 11 In all other cases, other than applications by credit unions, the fee payable is 250 for firms which are not, or are not seeking to become, a PRA-authorised person, and 125 for firms which are, or are seeking to become, a PRA-authorised person,78 unless the variation involves only the reduction (and no other increases) in the scope of a Part 4A permission in which case no fee is payable.1

17878111

On or before the date the application is made

2(q) A super7transaction, being one where:

(i) the issuer has a market capitalisation in excess of 1.5 billion and it is a new applicant for a premium listing1379 under the listing rules, or involved in a reverse or hostile takeover or a significant restructuring; or

(ii) the issuer has a market capitalisation in excess of 5 billion and is involved in a class 1 transaction,7 a transaction requiring vetting of an equity prospectus or equivalent document or a transaction requiring vetting of a prospectus or listing particulars in relation to a Depositary Receipt.22

713797227

50,000

On or before the date that the relevant documentation is first submitted to the FCA.3

33

2(r) Providers of reporting or trade matching systems applying for recognition under MiFID as an Approved Reporting Mechanism.

100,0006

6

Having received its application, within 30 days after the FCA has notified the applicant that it is to commence testing of the applicants systems.6

56

5(s) In the case of an insurance business transfer scheme, a transferor.

Note - for the purpose of this paragraph an insurance business transfer scheme consists of a single transferor and a single transferee. Where however such a scheme is part of a single larger scheme, that larger scheme is treated as a single insurance business transfer scheme. If an insurance business transfer scheme includes more than one transferor in accordance with this paragraph, the transferors are liable to pay the fee under column (2) jointly.

Either (1) or (2) as set out below:

(1) In the case of an insurance business transfer scheme involving long term insurance business, 9,250 to the PRA and 9,250 to the FCA77 ; or

(2) in the case of an insurance business transfer scheme not involving long term insurance business, 5,000. to the PRA and 5,000 is payable to the FCA.77

77The amount payable to the PRA above is collected by the FCA as agent of the PRA.

7777

On or before any application is made to the PRA for the appointment of a person as an independent expert.

6(t) A firm, a third party acting on a firm's behalf, an operator of a regulated market or an operator of an MTF applying to the FCA to report transaction reports directly to the FCA.

20

100,000

Having received its application, within 30 days after the FCA has notified the applicant that it is to commence testing of the applicants systems.

7(u) Any of the following:

(i) an operator of an approved reporting mechanism;

(ii) a firm;

(iii) a third party acting on behalf of a firm;

(iv) a market operator; or

(v) an MTF operator;

that satisfies the following conditions:

(1) it provides transaction reports directly to the FCA; and

(2) having made changes to its reporting systems, it asks the FCA to support the testing of the compatibility of its systems with the FCA's systems.

As set out in FEES 3 Annex 7.

Within 30 days of the date of the invoice.

(v) A significant transaction, being one where:

(i) the issuer has a market capitalisation in excess of 500 million and is producing an equity prospectus or equivalent document, a prospectus or listing particulars22 in relation to a Depository Receipt or a document in relation to a class 1 transaction; or

(ii) the issuer is producing a document for vetting in relation to a reverse takeover, a hostile takeover or a significant restructuring.

A significant transaction does not include a super transaction.

22

20,000

On or before the date that the relevant documentation is first submitted to the FCA.

(w) A listed issuer that requests or whose representative requests the FSAFCA to amend the Official List, or any records held by the FSAFCA in relation to the Official List, otherwise than pursuant to an application for listing.

FEES 3 Annex 4 part 3

On or before the date the request is made.

(x)

(i) An issuer or person who:

(1) is a fee payer under one or more of the categories set out in (ii); and

(2) requests the FCA's approval or vetting of a document that includes a mineral expert's report.

(ii) The categories are (1), (m) (q), and (v) of this table.

(iii) A fee under this category is payable in addition to any fee payable under the categories set out in (ii).

5,000

On or before the date the relevant documentation is first submitted to the FCA.8

8(y) An applicant for authorisation as an authorised payment institution under regulation 5 of the Payment Services Regulations

The highest of the tariffs set out in FEES 3 Annex 8 which apply to that application.

Where an application only involves a simple change of legal status as set out in FEES 3 Annex 1 Part 6, the fee payable is 50% of the tariff that would otherwise be payable in

FEES 3 Annex 8R

On or before the date the application is made.

(z) An application by a small payment institution for authorisation as an authorised payment institution because regulation 15 of the Payment Services Regulations applies

The highest of the tariffs set out in FEES 3 Annex 8R which apply to that application.

On or before the date the application is made.

(za) An applicant for registration as a small payment institution under regulation 12 of the Payment Services Regulations

FEES 3 Annex 8R, paragraph (1). Where an application only involves a simple change of legal status as set out in FEES 3 Annex 1 R Part 6, the fee payable is 50% of the tariff that would otherwise be payable in FEES 3 Annex 8R.

On or before the date the application is made.

(zb) An authorised payment institution applying to vary its authorisation under regulation 8 of the Payment Services Regulations.

(1) If the payment services carried on by the authorised payment institution prior to the variation only fall within paragraph (f) or (g) or (h) of Part 1 of Schedule 1 to the Payment Services Regulations and any of the payment services in paragraphs (a) to (e) of that Schedule will apply after variation, the fee is 50% of the highest of the tariffs set out in FEES 3 Annex 8R which apply to that application.

(2) Where the

authorised payment institution:(i) already has authorisation to provide payment services within any one or more of paragraphs (a) to (e) of Part 1 of Schedule 1 to the Payment Services Regulations and wishes to add one or more other services in (a) to (g); or

(ii) has authorisation to provide payment services in either paragraph (f) or (g) of Part 1 of Schedule 1 to the Payment Services Regulations and wishes to extend its authorisation to include the other paragraph ((f) or (g));

the fee payable is 250 irrespective of the number of agents it has.

(3) In cases where the variation involves only the reduction (and no increases) of the types of payment services to be carried on after the variation, no fee is payable.

On or before the date the application is made.

(zc) A small payment institution applying to vary its registration under regulation 12 of the Payment Services Regulations

(1) If the payment services carried on by the small payment institution prior to the variation only fall within paragraph (f) or (g) of Part 1 of Schedule 1 to the Payment Services Regulations and any of the payment services in paragraphs (a) to (e) of that Schedule will apply after variation, the fee is 50% of the highest of the tariffs set out in FEES 3 Annex 8Rwhich apply to that application.

(2) Where the small payment institution:

(i) is already registered to provide payment services within any one or more of paragraphs (a) to (e) of Part 1 of Schedule 1 to the Payment Services Regulations and wishes to add one or more other of the services in (a) to (g); or

(ii) is registered to provide payment services in either paragraph (f) or (g) of Part 1 of Schedule 1 to the Payment Services Regulations and wishes to extend its registration to include the other paragraph ((f) or (g));the fee payable is 250 irrespective of the number of agents it has.

(2)

(3) In cases where the variation involves only the reduction (and no increases) of the types of payment services to be carried on after the variation, no fee is payable.

On or before the date the application is made.

A financial institution notifying the FSAFCA in accordance with regulation 121(2)(a) of the Payment Services Regulations.

50% of the highest of the tariffs set out in FEES 3Annex 8R, paragraphs (2) to (5) which apply to that application.

On or before the date the application is made.

(ze) Any person to which the Special Project Fee for restructuring applies under FEES 3 Annex 9.12

12

Special Project Fee for restructuring in accordance with FEES 3 Annex 9 .

30 days of the date of the invoice.9

(zf) [deleted]78

78		 78 91678

16(zg) An applicant for authorisation as an authorised electronic money institution under regulation 5 of the Electronic Money Regulations.

The amount set out in FEES 3 Annex 10 R. Where an application only involves a simple change of legal status as set out in FEES 3 Annex 1 R Part 6, the fee payable is 50% of the tariff that would otherwise be payable in FEES 3 Annex 10 R.

On or before the date the application is made.

16(zh) An applicant for registration as a small electronic money institution under regulation 12 of the Electronic Money Regulations.

The amount set out in FEES 3 Annex 10 R. Where an application only involves a simple change of legal status as set out in FEES 3 Annex 1 R Part 6, the fee payable is 50% of the tariff that would otherwise be payable in FEES 3 Annex 10 R.

On or before the date the application is made.

16(zi) An application by a small electronic money institution for authorisation as an authorised electronic money institution14because regulation 16 of the Electronic Money Regulations applies.

The amount set out in FEES 3 Annex 10 R.

On or before the date the application is made.

16(zj) An authorised electronic money institution applying to vary its authorisation under regulation 8 of the Electronic Money Regulations.

The amount set out in FEES 3 Annex 10 R.

On or before the date the application is made.

16(zk) A small electronic money institution applying to vary its registration under regulation 12 of the Electronic Money Regulations.

The amount set out in FEES 3 Annex 10 R.

On or before the date the application is made.

15(zl) An applicant for recognition as an accredited body.

2,500

On or before the date the application is made.18

18(zm) An issuer applying for registration of a regulated covered bond.

(1) Unless (2) applies, 45,000.

(2) In the case of a proposed covered bond or programme where the assets in the asset pool will consist primarily of UK residential mortgages, 25,000.

On or before the date the application is made.

18(zn) An issuer who proposes to make a material change to the contractual terms of a regulated covered bond under RCB 3.5.4 D.

6,500

On or before the date the notification under RCB 3.5.4 D is made.21

21(zo) In the case of persons in respect of which the FCA has given notice of its intention to take, or appoint a competent person to take, any steps under CONRED 2.5.12R, either:

(i) a Firm (as defined in CONRED 2.1.1R(1); or

(ii) a person falling within CONRED 2.1.2R(1).

An amount equal to:

(1) a sum determined by the number of hours, or part of an hour, taken by the FCA in relation to work conducted in taking steps under recorded on the FCA's systems, multiplied by the rate in FEES 3 Annex 9 (11)R; or

(2) any amount invoiced to the FCA by a competent person in relation to any work carried out by that competent person in connection with its appointment by the FCA under CONRED 2.5.12R.

Within 30 days of the date of the invoice.

78(zp) A person in respect of which the appropriate regulator has given notice of its intention to itself appoint a skilled person to provide it with a report pursuant to section 166(3)(b) of the Act and SUP 5.2.

Any amount invoiced to the appropriate regulator by a skilled person in relation to any work carried out by that skilled person in connection with its appointment by the appropriate regulator pursuant to section 166(3)(b) of the Act.

Within 30 days of the date of the invoice.

78(zq) A person in respect of which the appropriate regulator has given notice of its intention to itself appoint a skilled person to collect or update information pursuant to section 166A(2)(b) of the Act .

Any amount invoiced to the appropriate regulator by a skilled person in relation to any work carried out by that skilled person in connection with its appointment by the appropriate regulator pursuant to section 166A(2)(b) of the Act.

Within 30 days of the date of the invoice.33

33(zr) An applicant for approval as a primary information provider.

1,500

On or before the application for approval is made.

[Note:Guidance on how a firm liable to pay a fee under both rows (s) and (ze) of this table for the same transaction should expect to be treated is set out in FEES 3 Annex 11 G.]19