Related provisions for BIPRU 4.1.12

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BIPRU 4.3.20RRP
A firm must ensure that all documentation relating to its rating systems or otherwise required by the rules governing the IRB approach are stored, arranged and indexed in such a way that the firm would be able to make them all available to the appropriate regulator, or to make any class or description of them specified by the appropriate regulator available to the appropriate regulator, immediately on demand or within a short time thereafter.
BIPRU 4.3.63RRP
(1) Elements to be taken as indications of unlikeliness to pay must include the items set out in this rule.(2) The firm putting the credit obligation on non-accrued status must be taken as an indication of unlikeliness to pay.(3) The firm making a value adjustment resulting from a significant perceived decline in credit quality subsequent to the firm taking on the exposure must be taken as an indication of unlikeliness to pay.(4) The firm selling the credit obligation at a material
BIPRU 4.3.95RRP
(1) If:(a) a firm's internal experience of exposures of a type covered by a model or other rating system is 20 defaults or fewer; and(b) in the firm's view, reliable estimates of PD cannot be derived from external sources of default data, including the use of market price related data, for all the exposures covered by the rating system;the firm must estimate PD for exposures covered by that rating system in accordance with this rule.(2) A firm must use a statistical technique
BIPRU 4.3.109RRP
A firm must retain sufficient data on both LGDs calculated on a economic downturn basis and calculated on a long-run average basis (as referred to in BIPRU 4.3.103 R) to be able to demonstrate to the appropriate regulator (if asked) that its estimates based on an economic downturn are no less conservative than the long-run average as referred to in that rule.
BIPRU 4.4.22RRP
(1) This rule, in accordance with BIPRU 4.3.57 R (4) (Definition of default), sets the exact number of days past due that a firm should abide by in the case of exposures to PSEs.(2) For counterparts that are PSEs situated within the United Kingdom the number of days past due is 180.(3) For counterparts that are PSEs situated in another EEA State the number of days past due is the lower of:(a) 180; and(b) the number of days past due fixed under the CRD implementation measure with
BIPRU 4.4.37RRP
(1) The exposure value for the items set out in this rule must be calculated as the committed but undrawn amount multiplied by the applicable conversion factor set out in this rule.(2) For credit lines which are uncommitted, that are unconditionally cancellable at any time by the firm without prior notice, or that effectively provide for automatic cancellation due to deterioration in a borrower's credit worthiness, a conversion factor of 0 % applies. To apply a conversion factor
BIPRU 4.4.43RRP
1Notwithstanding BIPRU 4.4.34 R and BIPRU 4.8.25 R, if a firm'sIRB permission permits it to use own LGD estimates under the advanced IRB approach for exposures to which BIPRU 4 applies and permits it to use the approach in this rule, unfunded credit protection may be recognised by adjusting PD and/or LGD estimates subject to the minimum IRB standards. A firm must not assign guaranteed exposures an adjusted PD or LGD such that the adjusted risk weight would be lower than that of
BIPRU 4.4.67RRP
(1) A firm must calculate maturity (M) for each of the exposures referred to in this rule in accordance with this rule and subject to BIPRU 4.4.68 R to BIPRU 4.4.70 R. In all cases, M must be no greater than 5 years.(2) For an instrument subject to a cash flow schedule M must be calculated according to the following formula:where CFt denotes the cash flows (principal, interest payments and fees) contractually payable by the obligor in period t.(3) For derivatives subject to a
BIPRU 4.4.83RRP
An institution, an insurance undertaking (including an insurance undertaking that carries out reinsurance) or an export credit agency which fulfils the following conditions may be recognised as an eligible provider of unfunded credit protection which qualifies for the treatment set out in BIPRU 4.4.79 R:(1) the protection provider has sufficient expertise in providing unfunded credit protection;(2) the protection provider is regulated in a manner equivalent to the rules laid down
BIPRU 4.10.32RRP
(1) This rule sets out how the calculations under BIPRU 5.6.11 R (Using the supervisory volatility adjustments or the own estimates volatility adjustments approaches to master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions) must be modified under the IRB approach.(2) Where risk weighted exposure amounts and expected loss amounts are calculated under the IRB approach,
BIPRU 4.10.33RRP
(1) This rule sets out how the calculations under BIPRU 5.6.24 R (Using the internal models approach to master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions) must be modified under the IRB approach.(2) Where risk weighted exposure amounts and expected loss amounts are calculated under the IRB approach E is the exposure value for each separate exposure under
BIPRU 4.10.34RRP
(1) This rule sets out how the calculations under BIPRU 5.6.29 R (Calculating risk-weighted exposure amounts and expected loss amounts for master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market driven transactions) must be modified under the IRB approach.(2) E* must be taken as the exposure value of the exposure to the counterparty arising from the transactions subject to the master
BIPRU 4.10.35RRP
(1) This rule sets out how the calculations under BIPRU 5.4.28 R (Calculating adjusted values under the financial collateral comprehensive method) must be modified under the IRB approach.(2) E as referred to in the provisions listed in (1) is the exposure value as would be determined under the IRB approach if the exposure was not collateralised. For this purpose, where a firm calculates risk weighted exposure amounts under the IRB approach, the exposure value of the items listed
BIPRU 4.10.51RRP
GA as calculated under BIPRU 5.8.11 R is then taken as the value of the protection for the purposes of calculating the effects of unfunded credit protection under the IRB approach.[Note: BCD Annex VIII Part 4 point 8 (part)]
BIPRU 4.1.20GRP
By modifying GENPRU 2.1.51 R to allow the firm to use the IRB approach to calculate all or part of its risk weighted exposure amounts, the appropriate regulator is treating it like an application rule. The modification means that the provisions of BIPRU relating to the IRB approach supersede the rules relating to the standardised approach for exposures coming within the scope of the IRB permission.
BIPRU 4.2.21GRP
(1) A firm should achieve full roll-out of the IRB approach to all its exposures, subject to the exemptions outlined in BIPRU 4.2.26 R, within the period specified in its IRB permission. A firm should not retain a permanent mix of portfolios on the standardised approach and the IRB approach, on the foundation IRB approach and the advanced IRB approach or on a mixture of all approaches with the exception of portfolios covered by those exemptions.(2) This applies to a move:(a) from
BIPRU 4.2.30RRP
(1) This rule sets out what must be treated as being non-significant business or immaterial for the purposes of BIPRU 4.2.26 R (4), for exposures that do not fall within the equity exposureIRB exposure class.(2) A firm may elect permanently to exclude exposures from the IRB approach and apply the standardised approach. However a firm may only make use of this exemption to the extent that:(a) the consolidated credit risk requirement (adjusted under (6)) so far as it is attributable
BIPRU 4.8.21RRP
The risk weights for dilution risk for purchased receivables (both corporate exposures and retail exposures) must be calculated according to this rule. The risk weights must be calculated according to the formula in BIPRU 4.4.58 R. However, for the purposes of that formula, the total annual sales referred to in BIPRU 4.4.59 R are the weighted average by individual exposures of the pool. The input parameters PD and LGD and the exposure value must be determined under the applicable
BIPRU 2.2.41RRP
A firm with an IRB permission must ensure that there is no significant risk that it will not be able to meet its capital resource requirements for credit risk under GENPRU 2.1 (Calculation of capital resources requirements) at all times throughout an economic cycle, including the capital resources requirements for credit risk indicated by any stress test carried out under BIPRU 4.3.39 R to BIPRU 4.3.40 R (Stress tests used in assessment of capital adequacy for a firm with an IRB
SUP 16.12.11RRP

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

Description of data item

45Firms' prudential category and applicable data items(note 1)

IFPRU investment firms and BIPRU firms

Firmsother thanBIPRU firms or IFPRU investment firms

IFPRU

BIPRU

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 13

UPRU

Annual report and accounts

No standard format

No standard format (note 19)

No standard format

No standard format

(Note 13)44

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)

No standard format (note 20)

No standard format (note 11)

No standard format (note 11)

Balance sheet

FSA001/FINREP (note 36)

FSA001 (Note 2)

FSA029 (note 18)

FSA029

FSA029

FSA029 (note 15) or Section A RMAR (note 15)

FSA029

Income statement

FSA00250/FINREP (note 36)

50

FSA002 (Note 2)

FSA030 (note 18)

FSA030

FSA030

FSA030 (note 15) or Section B RMAR (note 15)

FSA030

Capital adequacy

COREP (Note 36)

FSA003 (Note 2)

FSA033 (note 18)

FSA034 or FSA035 (note 14)

FSA031

FSA032 (note 15) or Sections D1 and D2 50RMAR (note 15)

50

FSA036

Supplementary capital data for collective portfolio management investment firms

FIN067 (Note 35)

FIN068 (Note 35)

Credit risk

COREP (Note 36)

FSA004 (Notes 2, 3)

Market risk

COREP (Note 36)

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (Note 5)

Operational risk

COREP (Note 36)

Large exposures

COREP (Note 36)

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

FSA018 (note 12)

Solo consolidation data

FSA016 (note 25)

FSA016 (Note 25)

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA sub-group

COREP (Note 36)

FSA028 (Note 9)

Threshold conditions

Section F RMAR (Note 15)

Client money and client assets

FSA039

FSA039

FSA039 (note 18)

FSA039

FSA039

Section C RMAR (Note 15) or FSA039

FSA039

CFTC

FSA040 (note 24)

FSA040 (Note 24)

FSA040 (note 24)

FSA040 (note 24)

FSA040 (note 24)

FSA040 (note 24)

FSA040

(note 24)

IRB portfolio risk

FSA045 (note 22)

FSA045 (Note 22)

Securitisation: non-trading book

COREP (Note 36)

FSA046 (Note 23)

Daily Flows

FSA047/COREP (Notes 26, 29 , 31, 33, and 36)

Enhanced Mismatch Report

FSA048/COREP (Notes 26, 29 , 31, 33, and 36)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 27, 30, 31, 33, and 36)

Funding Concentration

FSA051/COREP (Notes 27, 30, 31, 33, and 36)

Pricing data

FSA052/COREP (Notes 27, 31, 33, 34, and 36)

Retail and corporate funding

FSA053/COREP (Notes 27, 30, 31, 33, and 36)

Currency Analysis

FSA054/COREP (Notes 27, 30, 31, 33, and 36)

Systems and Controls Questionnaire

FSA055/COREP (Notes 28, 33, and 36)

FSA055 (Notes 28 and 33)

Securitisation: trading book

COREP (Note 36)

Note 1

All firms, except IFPRU investment firms in relation to data items reported under the EU CRR, when submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

Firms 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 time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

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 anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.

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

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

Note 13

For firms subject to IPRU(INV) Chapter 13, this only applies to firms that are exempt-CAD firms.50[deleted]

50

Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in

IPRU(INV) 5.2.3(2)R.

Note 15

FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1, D250and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

5050

Note 16

[deleted]

Note 17

An exempt BIPRU commodity firm will, by virtue of the definition of BIPRU TP 15, be exempt from completing FSA003 (and thus FSA004, FSA005, FSA006 and FSA007) for the duration of the transitional provision. It is however required to submit all other data items applicable according to the firm's BIPRU classification including, for the avoidance of doubt, BIPRU TP 16.

Note 18

Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R.

Note 19

In the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R), it is only required from partnerships and bodies corporate, and then only if the report was audited as a result of a statutory provision other than under the Act.

Note 20

Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader.

Note 21

[deleted]

Note 22

Only applicable to firms that have an IRB permission.

Note 23

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations. of non-trading book exposures.

Note 24

Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.

Note 25

Only applicable to a firm that has a solo consolidation waiver.

Note 26

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UKlead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

Note 27

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UKDLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group.

Note 28

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

Note 29

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

Note 30

Note 29 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 31

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15

Note 32

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 33

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note 34

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

Note 35

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

Note 36

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.
SUP 16.12.25ARRP

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 of data item

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

IFPRU investment firms and BIPRU firms

Firmsother thanBIPRU firms or IFPRU investment firms

IFPRU

BIPRU

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 13

UPRU

Annual report and accounts

No standard format

Annual report and accounts of the mixed-activity holding company (note 10)

No standard format

Solvency statement (note 11)

No standard format

No standard format

Balance sheet

FSA001/FINREP (Notes 2 and 30)

FSA001 (Note 2)

FSA029

FSA029

FSA029

Section A RMAR (note 17) or FSA029

Income statement

FSA002/FINREP (Notes 2 and 30)

FSA002 (Note 2)

FSA030

FSA030

FSA030

Section B RMAR (note 17) or FSA030

Capital adequacy

COREP (Note 30)

FSA003 (Note 2)

FSA033

FSA034 or FSA035 (note 14)

FSA031

Sections D1 and D250 RMAR (note 17) or FSA 032 (note 15)

FSA036

Credit risk

COREP (Note 30

FSA004 (Notes 2, 3)

Market risk

COREP (Note 30)

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (Note 5)

Operational risk

COREP (Note 30)

Large exposures

COREP (Note 30)

UK Integrated group large exposures

FSA018 (note 12)

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

FSA016 (note 20)

Solo consolidation data

FSA016 (note 20)

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA sub-group

COREP (Note 30)

FSA028 (Note 9)

Threshold conditions

Section F RMAR (note 17)

Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

Section C RMAR (Note 13) or FSA039

FSA039

IRB portfolio risk

FSA045 (note 18)

FSA045 (Note 18)

Securitisation: non-trading book

COREP (Note 30)

FSA046 (Note 19)

Daily Flows

FSA047/COREP (Notes 21, 24, 26, 28 and 30)

Enhanced Mismatch Report

FSA048/COREP (Notes 21, 24, 26, 28 and 30)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 22, 25, 26, 28 and 30)

Funding Concentration

FSA051/COREP (Notes 22, 25, 26, 28 and 30)

Pricing data

FSA052/COREP (Notes 22, 26, 28, 29 and 30)

Retail and corporate funding

FSA053/COREP (Notes 22, 25, 26, 28 and 30)

Currency Analysis

FSA054/COREP (Notes 22, 25, 26, 28 and 30)

Systems and Controls Questionnaire

FSA055/COREP (Notes 23, 28 and 30)

FSA055 (notes 23 and 28)45

Securitisation: trading book

COREP (Note 30)

FSA058 (Note 27)

Note 1:

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

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

FSA039 must only be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section C RMAR must only be completed by a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in

IPRU(INV) 5.2.3(2) R.

Note 15

FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

Note 16

[deleted]

Note 17

This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm.

Note 18

Only applicable to firms that have an IRB permission.

Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures.

Note 20

Only applicable to a firm that has a solo consolidation waiver.

Note 21

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

Note 22

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

Note 23

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

Note 24

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

Note 25

Note 24 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 26

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.

Note 27

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 28

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note 29

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

Note 30

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.