Related provisions for BIPRU 4.6.51
This table belongs to BIPRU 3.7.1 R
[Note: BCD Annex II]
Category |
Item |
Percentage |
Full risk |
Guarantees having the character of credit substitutes Credit derivatives Acceptances Endorsements on bills not bearing the name of another credit institution Transactions with recourse Irrevocable standby letters of credit having the character of credit substitutes Assets purchased under outright forward purchase agreements Forward deposits The unpaid portion of partly-paid shares and securities Asset sale and repurchase agreements as defined in Article 12(3) and (5) of the Bank Accounts Directive Other items also carrying full risk |
100% |
Medium risk |
Documentary credits issued and confirmed (see also medium/low risk). Warranties and indemnities (including tender, performance, customs and tax bonds) and guarantees not having the character of credit substitutes. Irrevocable standby letters of credit not having the character of credit substitutes. Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year. Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs). |
50% |
Medium/low risk |
Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions. Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. |
20% |
Low risk |
Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the firm to cancel them to the full extent allowable under consumer protection and related legislation. |
0% |
Table : Simplified method of calculating risk weights
This table belongs to BIPRU 3.5.4 G.
Exposure class |
Exposure sub-class |
Risk weights |
Comments |
Central government |
Exposures to United Kingdom government or Bank of England in sterling |
0% |
|
Exposures to United Kingdom government or Bank of England in the currency of another EEA State |
0% |
See Note 2. |
|
Exposures to EEA State's central government or central bank in currency of that state |
0% |
||
Exposures to EEA State's central government or central bank in the currency of another EEA State |
0% |
See Notes 2 and 3. |
|
Exposures to central governments or central banks of certain countries outside the EEA in currency of that country |
See next column |
The risk weight is whatever it is under local law. See BIPRU 3.4.6 R for precise details. |
|
Exposures to European Central Bank |
0% |
||
Other exposures |
100% |
||
Regional/local governments |
Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in sterling |
0% |
|
Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in the currency of another EEA State |
0% |
See Note 2. |
|
Exposures to EEA States' equivalent regional/local governments in currency of that state |
0% |
See BIPRU 3.4.17 R for details of type of local/regional government covered. |
|
Exposures to EEA States' equivalent regional/local governments in the currency of another EEA State |
0% |
See BIPRU 3.4.17 R for details of type of local/regional government covered. See Notes 2 and 3. |
|
Exposures to local or regional governments of certain countries outside the EEA in currency of that country |
0% |
See BIPRU 3.4.19 R for details of type of local/regional government covered. See Note 1. |
|
Exposures to United Kingdom or EEA States' local/regional government in currency of that state if the exposure has original effective maturity of 3 months or less |
20% |
||
Exposures to United Kingdom or EEA States' local/regional government in the currency of another EEA State if the exposure has original effective maturity of 3 months or less |
20% |
See Note 2. See Note 3 for local/regional government of an EEA State other than the United Kingdom |
|
Exposures to local or regional governments of countries outside the EEA in currency of that country if the exposure has original effective maturity of 3 months or less |
20% |
See Note 1. |
|
Other exposures |
100% |
||
Exposures to a PSE of the United Kingdom or of an EEA State if that PSE is guaranteed by its central government and if the exposure is be in currency of that PSE's state. |
0% |
BIPRU 3.4.24 R describes the United KingdomPSEs covered and BIPRU 3.4.25 R describes the EEAPSEs covered. |
|
Exposures to PSE of a country outside the EEA if that PSE is guaranteed by the country's central government and if the exposure is in currency of that country. |
0% |
See BIPRU 3.4.26 R and Note 1. |
|
Exposures to a PSE of the United Kingdom or of an EEA State in currency of that state if the exposure has original effective maturity of 3 months or less |
20% |
||
Exposures to a PSEof the United Kingdom or of an EEA State in the currency of another EEA State if the exposure has original effective maturity of 3 months or less |
20% |
See Notes 2 and 3. |
|
Exposures to PSE of a country outside the EEA in currency of that country if the exposure has original effective maturity of 3 months or less |
20% |
See Note 1. |
|
Other exposures |
100% |
||
Exposures to multilateral development banks listed in paragraph (1) of the Glossary definition |
0% |
Simplified approach does not apply. Normal rules apply. |
|
Other exposures |
Various |
Treated as an institution |
|
EU2, the International Monetary Fund and the Bank for International Settlements 2 |
0% |
Simplified approach does not apply. Normal rules apply. |
|
Exposures to United Kingdominstitution in sterling with original effective maturity of three months or less |
20% |
||
Exposures to United Kingdominstitution in the currency of another EEA State with original effective maturity of three months or less |
20% |
See Note 2. |
|
Exposures to institution whose head office is in another EEA State in the currency of that state with original effective maturity of three months or less |
20% |
||
Exposures to institution whose head office is in another EEA State in the currency of another EEA State with original effective maturity of three months or less |
20% |
See Notes 2 and 3. |
|
Exposures to institution with a head office in a country outside the EEA in the currency of that country with original effective maturity of three months or less |
20% |
See Note 1. |
|
Exposures to United Kingdominstitution in sterling with original effective maturity of over three months |
50% |
||
Exposures to United Kingdominstitution in the currency of another EEA State with original effective maturity of over three months |
50% |
See Note 2. |
|
Exposures to an EEAinstitution with a head office in another EEA State in the currency of that state with original effective maturity of over three 1months |
50% |
||
Exposures to an EEAinstitution with a head office in another EEA State in the currency of another EEA State with original effective maturity of over three1 months |
50% |
See Notes 2 and 3. |
|
Exposures to institution with a head office in a country outside the EEA in the currency of that country with original effective maturity of over three1 months |
50% |
See Note 1. |
|
Other exposures |
100% |
||
100% |
|||
75% |
Simplified approach does not apply. Normal rules apply. |
||
Mortgages on residential or commercial property |
Various |
Simplified approach does not apply. Normal rules apply. |
|
Past due items |
Various |
Simplified approach does not apply. Normal rules apply. |
|
High risk items |
150% |
Simplified approach does not apply. Normal rules apply. |
|
Various |
Risk weights are based on the risk weight of issuer as described in BIPRU 3.4.110 R. The risk weight of the issuer for this purpose should be calculated under the simplified approach. |
||
Generally 1250%. May look through to underlying exposures if BIPRU 9 allows. |
Use the BIPRU 9rules for unrated exposures under the standardised approach |
||
Short term exposures with rating |
See BIPRU 3.4.112 R. Not applicable as uses ECAI ratings. |
||
May look through to underlying under BIPRU 3.4.123 R |
Various |
Simplified approach does not apply. Normal rules apply. May use simplified approach to underlying if simplified approach applies to underlying. |
|
May use average risk weight under BIPRU 3.4.124 R |
Various |
Simplified approach does not apply. Normal rules apply. May use simplified approach to underlyings if simplified approach applies to underlying. |
|
High risk under BIPRU 3.4.118 R |
150% |
Simplified approach does not apply. Normal rules apply. |
|
Others |
100% |
||
Other items under BIPRU 3.2.9 R (16) |
Various |
Simplified approach does not apply. Normal rules apply. |
|
Note 1: The risk weight should not be lower than the risk weight that applies for national currency exposures of the central government of the third country in question under BIPRU 3.5. That means that this risk weight only applies if the third country is one of those to which BIPRU 3.4.6 R (Preferential risk weight for exposures of the central government of countries outside the EEA that apply equivalent prudential standards) applies. |
|||
Note 2: This is a transitional measure. It lasts until 31 December 2012. |
|||
Note 3: The risk weight should not be lower than the risk weight that applies for exposures of the central government of the EEA State in question in the currency of another EEA State under BIPRU 3.5. |
Table: Capital treatment for free deliveries
This table belongs to BIPRU 14.4.2 R.
Transaction Type |
Up to first contractual payment leg or delivery leg |
From first contractual payment leg or delivery leg up to four days after second contractual payment leg or delivery leg |
From 5 business days post second contractual payment leg or delivery leg until extinction of the transaction |
No capital charge in the trading book |
Treat as an exposure |
Deduct value transferred plus current positive exposure from capital resources |
[Note: CAD Annex II Table 2]
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below.11
The applicable reporting frequencies for submission of data items and periods referred to in SUP 16.12.4 R are set out in the table below and are calculated from a firm'saccounting reference date, unless indicated otherwise.
The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period. 11
97 | the Society (note 1) |
||||
Frequency |
Submission deadline |
Description of data item |
Frequency |
Submission deadline |
|
Annual Lloyd's return |
Annually |
6 months after the Society'saccounting reference date |
|||
Syndicate accounts and reports (note 2) |
Annually |
6 months after the Society'saccounting reference date |
|||
Quarterly reporting statement |
Quarterly |
15 business days after the quarter end |
|||
Balance Sheet |
|||||
FSA001 (notes 15, 20) or 13 |
Quarterly or half yearly |
(note 14) |
|||
FSA029 |
Quarterly (note 14) |
(note 14) |
|||
Income Statement |
|||||
FSA002 (note20), or 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
FSA030 |
Quarterly |
(note 14) |
|||
Capital Adequacy |
|||||
FSA003 (notes 4, 20) or |
Monthly, quarterly or half yearly (note 14) |
(note 14) |
|||
FSA033 (note 12) or |
Quarterly |
(note 14) |
|||
FSA034 (note 13) or |
Quarterly |
(note 14) |
|||
FSA035 (note 13) |
Quarterly |
(note 14) |
|||
Credit Risk |
|||||
FSA004 (notes 5, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
Market Risk |
|||||
FSA005 (notes 6, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Large Exposures |
|||||
FSA008 (Notes 20, 21)15 1513 |
Quarterly |
20 business days (note 19) |
|||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Note 1 |
The Society must prepare its reports in the format specified in IPRU(INS) Appendix 9.11, unless Note 2 applies. |
||||
Note 2 |
The Society must ensure that the annual syndicate accounts and reports are prepared in accordance with the Insurance Accounts Directive (Lloyd's Syndicate and Aggregate Accounts) Regulations 2008 (S.I. 2008/1950). |
||||
Note 3 |
[deleted]97 97 |
||||
Note 4 |
|||||
Note 5 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm. |
||||
Note 6 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
||||
Note 7 |
[deleted]13 13 |
||||
Note 8 |
[deleted]13 13 |
||||
Note 9 |
[deleted]13 13 |
||||
Note 10 |
[deleted]13 13 |
||||
Note 11 |
[deleted]13 13 |
||||
Note 12 |
|||||
Note 13 |
Only applicable to firms subject to IPRU(INV) 5. FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R. |
||||
Note 14 |
BIPRU firms37report half yearly on 30 business days submission37. All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission. 37 |
||||
Note 15 |
|||||
Note 16 |
[deleted]13 13 |
||||
Note 17 |
[deleted]13 13 |
||||
Note 18 |
[deleted]13 13 |
||||
Note 19 |
UK consolidation group reports have 45 business days submission. |
||||
Note 20 |
Firms that are members of a UK consolidation group are also required to submit FSA001, FSA002, FSA003, FSA004, FSA005 and FSA008 on a UK consolidation group basis. |
||||
15Note 21 |
This will not be applicable to BIPRU firms37. 3737 |
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) |
|||||||
Firmsother thanBIPRU firms or IFPRU investment firms |
||||||||
IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 9 |
IPRU(INV)Chapter 13 |
38 | ||||
Solvency statement |
No standard format (note 11) |
No standard format (note 20) |
No standard format (note 11) |
38 | ||||
Balance sheet |
FSA001/FINREP (note 36) |
FSA001 (Note 2) |
FSA029 (note 18) |
FSA029 |
FSA029 |
FSA029 (note 15) or Section A RMAR (note 15) |
38 | |
Income statement |
FSA00250/FINREP (note 36) 50 |
FSA002 (Note 2) |
FSA030 (note 18) |
FSA030 |
FSA030 |
FSA030 (note 15) or Section B RMAR (note 15) |
38 | |
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 |
38 | |
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 |
38 | |
CFTC |
FSA040 (note 24) |
FSA040 (Note 24) |
FSA040 (note 24) |
FSA040 (note 24) |
FSA040 (note 24) |
FSA040 (note 24) |
38 | |
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) |
|||||||
46Liquidity Questionnaire |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
MLA-M (Note 37) |
|
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 |
[deleted]55 55 |
|||||||
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 |
[deleted]55 5055 |
|||||||
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 |
[deleted]55 55 |
|||||||
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. |
|||||||
46Note 37 |
Only applicable to RAG 3 firms carrying on home financing or home finance administration connected to regulated mortgage contracts, unless as at 26 April 2014 its Part 4A permission was and continues to remain subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts. |
The applicable data items referred to in SUP 16.12.4 R according to type of firm are set out in the table below:
Firms' prudential category and applicable data items (note 1) |
||||||||||
Firms other than BIPRU firms or IFPRU investment firms |
||||||||||
IPRU(INV) Chapter 3 |
IPRU(INV) Chapter 5 |
IPRU(INV) Chapter 9 |
IPRU(INV) Chapter 11 (collective portfolio management firms only) |
IPRU(INV) Chapter 13 |
38 | |||||
Solvency statement |
No standard format |
No standard format (Note 11) |
No standard format |
No standard format |
38 | |||||
Balance sheet |
FSA001/FINREP (Notes 2 and 34) |
FSA001 (Note 2) |
FSA029 |
FSA029 |
FSA029 |
FSA029 |
FSA02948 |
FSA029 (note 15) or Section A RMAR (note 15) |
38 | |
Income statement |
FSA002/FINREP (Notes 2 and 34) |
FSA002 (Note 2) |
FSA030 |
FSA030 |
FSA030 |
FSA030 |
FSA03048 |
FSA030 (note 15) or Section B RMAR (note 15) |
38 | |
Capital adequacy |
COREP (Note 34) |
FSA003 (Note 2) |
FSA033 |
FSA034 or FSA035 (note 14) |
FSA031 |
FIN066 |
FIN06948 |
SectionD1 and D250 RMAR or FSA032 (note 15) |
38 | |
Supplementary capital data for collective portfolio management investment firms |
FIN067 (Note 32) |
FIN068 (Note 32) |
||||||||
Credit risk |
COREP (Note 34) |
FSA004 (Notes 2, 3) |
||||||||
Market risk |
COREP (Note 34)50 |
FSA005 (Notes 2, 4) |
||||||||
Market risk - supplementary |
FSA006 (note 5) |
FSA006 (note 5) |
||||||||
Operational risk |
COREP (Note 34) |
|||||||||
Large exposures |
COREP (Note 34) |
|||||||||
Exposures between core UK group and non-core large exposures group |
FSA018 (note 12) |
|||||||||
Solo consolidation data |
FSA016 (note 20) |
FSA016 (Note 20) |
||||||||
Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (Note 8) |
||||||||
Non-EEA subgroup |
COREP (Note 34) |
FSA028 (Note 9) |
||||||||
Threshold conditions |
Section F RMAR (note 15) |
|||||||||
Volumes and types of business (note 21) |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
38 | ||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA03948 |
Section C RMAR (note 15) or FSA039 |
38 | |
UCITS (note 22) |
FSA042 |
38 | ||||||||
IRB portfolio risk |
FSA045 (note 18) |
FSA045 (Note 18) |
||||||||
Securitisation: non-trading book |
COREP (Note 34) |
FSA046 (Note 19) |
||||||||
Daily Flows |
FSA047/COREP (Notes 23, 26, 28, 30 and 34) |
|||||||||
Enhanced Mismatch Report |
FSA048/COREP (Notes 23, 26, 28, 30 and 34) |
|||||||||
Liquidity Buffer Qualifying Securities |
FSA050/COREP (Notes 24, 27, 28, 30 and 34) |
|||||||||
Funding Concentration |
FSA051/COREP (Notes 24, 27, 28, 30 and 34) |
|||||||||
Pricing data |
FSA052/COREP (Notes 24, 28, 30, 31 and 34) |
|||||||||
Retail and corporate funding |
FSA053/COREP (Notes 24, 27, 28, 30 and 34) |
|||||||||
Currency Analysis |
FSA054/COREP (Notes 24, 27, 28, 30 and 34) |
|||||||||
Systems and Controls Questionnaire |
FSA055/COREP (Notes 25, 30 and 34) FSA055 (Notes 25 and 30) |
FSA055 (Notes 25 and 30) |
||||||||
Securitisation: trading book48 |
COREP (Note 34) |
FSA058 (Note 29) |
||||||||
Information on P2P agreements48 |
FIN07048 |
|||||||||
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 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G. |
|||||||||
Note 2 |
Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. |
|||||||||
Note 3 |
This applies to a firm that is required to submit data item FSA003 and at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm. |
|||||||||
Note 4 |
This applies to a firm that is required to submit data item FSA003 and at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
|||||||||
Note 5 |
Only applicable to firms with a VaR model permission. |
|||||||||
Note 6 |
[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 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 |
[deleted]55 55 |
|||||||||
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 |
[deleted]55 55 |
|||||||||
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, D250 and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm. |
|||||||||
Note 16 |
[deleted] |
|||||||||
Note 17 |
[deleted] |
|||||||||
Note 18 |
Only applicable to firms that have an IRB permission. |
|||||||||
Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading book exposures. |
|||||||||
Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
|||||||||
Note 21 |
[deleted] |
|||||||||
Note 22 |
Only applicable to firms that have permission for managing a UCITS. |
|||||||||
Note 23 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
|||||||||
Note 24 |
A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. |
|||||||||
Note 25 |
If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. |
|||||||||
Note 26 |
(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona). |
|||||||||
Note 27 |
Note 26 applies, except that paragraphs (3), (4), and (5) do not apply, meaning that material currencies must not be recorded separately. |
|||||||||
Note 28 |
Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary. |
|||||||||
Note 29 |
Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book. |
|||||||||
Note 30 |
FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054. |
|||||||||
Note 31 |
This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported. |
|||||||||
Note 32 |
Only applicable to firms that are collective portfolio management investment firms. |
|||||||||
Note 33 |
Only applicable to firms that have a managing investmentspermission. |
|||||||||
Note 34 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |
The applicable data items, reporting frequencies and submission deadlines referred to in SUP 16.12.4 R are set out in the table below. Reporting frequencies are calculated from a firm'saccounting reference date, unless indicated otherwise. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.
Data item (note 1) |
Frequency |
Submission deadline |
|
Balance Sheet |
Sections A.1 and A.2 MLAR |
Quarterly |
|
Income Statement |
Sections B.0 and B.1 MLAR |
Quarterly |
|
Capital Adequacy |
Section C MLAR |
Quarterly |
|
Lending - Business flow and rates |
Section D MLAR |
Quarterly |
|
Residential Lending to individuals - New business profile |
Section E MLAR |
Quarterly |
|
Lending - arrears analysis |
Section F MLAR |
Quarterly |
|
Mortgage Administration - Business Profile |
Section G MLAR |
Quarterly |
|
Mortgage Administration - Arrears analysis |
Section H MLAR |
Quarterly |
|
Analysis of loans to customers |
Section A3 MLAR |
Quarterly |
|
Provisions analysis |
Section B2 MLAR |
Quarterly |
|
Fees and Levies |
Section J MLAR |
Annually |
|
Sale and rent back |
Section K MLAR |
Annually |
|
Credit Risk (note 2) |
Section L MLAR |
Quarterly |
|
Liquidity (note 3) |
Section M MLAR |
Quarterly |
|
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 19A. Guidance notes for the completion of the data items are set out in SUP 16 Annex 19B. |
||
Note 2 |
Only applicable to a firm that has one or more exposures that satisfy the conditions set out in MIPRU 4.2A.4 R, and: - has permission to carry on any home financing which is connected to regulated mortgage contracts; or - has permission to carry on home financing and home finance administration which is connected to regulated mortgage contracts (and no other activity); or - has permission to carry on home finance administration which is connected to regulated mortgage contracts and has all or part of the home finance transactions that it administers on its balance sheet. |
||
Note 3 |
Only applicable to a firm that has no restriction to its Part 4A permission preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts, and: - has permission to carry on any home financing or home finance administration connected to regulated mortgage contracts. |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firms' prudential category and applicable data item (note 1) |
||||||
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 |
||||
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 D1 and D250 RMAR (Note 23) 50 |
||
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 |
||
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) |
||
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 time55within 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. 55 |
|||||
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 |
[deleted]55 55 |
|||||
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 |
[deleted]51 |
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Note 28 |
Only applicable to firms that are collective portfolio management investment firms. |
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Note 29 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firmsother thanBIPRU firms or IFPRU investment firms |
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IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 9 |
IPRU(INV)Chapter 13 |
38 | ||||
Solvency statement (note 11) |
No standard format |
38 | ||||||
Balance sheet |
FSA001/FINREP (Notes 2 and 30) |
FSA001 (Note 2) |
FSA029 |
FSA029 |
FSA029 |
Section A RMAR (note 17) or FSA029 |
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Income statement |
FSA002/FINREP (Notes 2 and 30) |
FSA002 (Note 2) |
FSA030 |
FSA030 |
FSA030 |
Section B RMAR (note 17) or FSA030 |
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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) |
38 | |
Credit risk |
COREP (Note 30 |
FSA004 (Notes 2, 3) |
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Market risk |
COREP (Note 30) |
FSA005 (Notes 2, 4) |
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Market risk - supplementary |
FSA006 (note 5) |
FSA006 (Note 5) |
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Operational risk |
COREP (Note 30) |
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Large exposures |
COREP (Note 30) |
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UK Integrated group large exposures |
FSA018 (note 12) |
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Exposures between core UK group and non-core large exposures group |
FSA016 (note 20) |
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Solo consolidation data |
FSA016 (note 20) |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (Note 8) |
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Non-EEA sub-group |
COREP (Note 30) |
FSA028 (Note 9) |
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Threshold conditions |
Section F RMAR (note 17) |
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Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (Note 13) or FSA039 |
38 | |
IRB portfolio risk |
FSA045 (note 18) |
FSA045 (Note 18) |
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Securitisation: non-trading book |
COREP (Note 30) |
FSA046 (Note 19) |
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Daily Flows |
FSA047/COREP (Notes 21, 24, 26, 28 and 30) |
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Enhanced Mismatch Report |
FSA048/COREP (Notes 21, 24, 26, 28 and 30) |
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Liquidity Buffer Qualifying Securities |
FSA050/COREP (Notes 22, 25, 26, 28 and 30) |
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Funding Concentration |
FSA051/COREP (Notes 22, 25, 26, 28 and 30) |
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Pricing data |
FSA052/COREP (Notes 22, 26, 28, 29 and 30) |
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Retail and corporate funding |
FSA053/COREP (Notes 22, 25, 26, 28 and 30) |
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Currency Analysis |
FSA054/COREP (Notes 22, 25, 26, 28 and 30) |
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Systems and Controls Questionnaire |
FSA055/COREP (Notes 23, 28 and 30) |
FSA055 (notes 23 and 28)45 |
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Securitisation: trading book |
COREP (Note 30) |
FSA058 (Note 27) |
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Note 1: |
When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G. |
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Note 2 |
Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. |
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Note 3 |
This applies to a firm that is required to submit data item FSA003 and, at 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. |
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Note 4 |
This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
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Note 5 |
Only applicable to firms with a VaR model permission. |
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Note 6 |
[deleted] |
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Note 7 |
[deleted] |
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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. |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group on the reporting date. |
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Note 10 |
[deleted]55 55 |
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Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
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Note 12 |
Only applicable to a firm that has both a core UK group and a non-core large exposures group. |
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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. |
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Note 14 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2) R. |
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Note 15 |
FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. |
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Note 16 |
[deleted] |
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Note 17 |
This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm. |
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Note 18 |
Only applicable to firms that have an IRB permission. |
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Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures. |
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Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
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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. |
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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. |
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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. |
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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). |
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Note 25 |
Note 24 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately. |
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Note 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. |
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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. |
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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. |
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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. |
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Note 30 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |