Related provisions for MIPRU 4.2E.9

BIPRU 9.11.1R31/12/2011

Subject to BIPRU 9.11.5 R, the risk weighted exposure amount of a rated securitisation position or resecuritisation position2 must be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated, as prescribed in BIPRU 9.11.2 R .2[Note:BCD Annex IX Part 4 point 6]2

BIPRU 9.11.10R31/12/2010

When the conditions in this paragraph have been met, and in order to determine its exposure value, a conversion figure of 50% may be applied to the nominal amount of a liquidity facility. The risk weight to be applied is the highest risk weight that would be applied to any of the securitised exposures under the standardised approach by a firm holding the exposures. Those conditions are as follows:11(1) the liquidity facility documentation must clearly identify and limit the circumstances

BIPRU 9.12.8R01/01/2007

For an originator, a sponsor, or for other firms which can calculate KIRB, the risk weighted exposure amounts calculated in respect of its positions in a securitisation may be limited to that which would produce an amount in respect of its credit risk capital requirement equal to the sum of 8% of the risk weighted exposure amount which would be produced if the securitised assets had not been securitised and were on the balance sheet of the firm plus the expected loss amounts of

BIPRU 9.12.20R01/04/2013

(1) If:(a) a firm'sIRB permission allows it to use this treatment; and(b) the conditions in (2)(16) are satisfied,a firm may attribute to an unrated position in an asset backed commercial paper programme a derived rating as laid down in (3).(2) Positions in the commercial paper issued from the programme must be rated positions.(3) Under the ABCP internal assessment approach, the unrated position must be assigned by the firm to one of the rating grades described in (5). The position

BIPRU 9.12.22R31/12/2011

(1) Subject to any permission of the type described in BIPRU 9.12.28 G, the risk weight to be applied to the exposure amount must be:12.5 (S[L+T] - S[L]) / T(2) The remaining provisions of this paragraph define the terms used in the formulae in (1) and (3).(3) 2(4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) In these expressions, Beta [x; a, b]refers to the cumulative beta distribution with parameters a and b evaluated at x.(16) T (the thickness of the tranche in which the

BIPRU 14.2.11R01/01/2007

Subject to BIPRU 14.2.3 R to BIPRU 14.2.5 R and BIPRU 14.2.14 R to BIPRU 14.2.17 R, a firm must calculate exposure values and risk weighted exposure amounts for the exposures falling under BIPRU 14.2.2 R (1) to BIPRU 14.2.2R (5) in accordance with:(1) the standardised approach to credit risk; or(2) if the firm has an IRB permission, the IRB approach in accordance with the terms of the firm'sIRB permission.[Note: CAD Annex II point 6]

BIPRU 14.2.18R31/12/2011

Where a firm calculates risk weighted exposure amounts for the purposes of BIPRU 14 in accordance with the IRB approach, then for the purposes of the calculation provided for in BIPRU 4.3.8 R, the following will apply:44(1) value adjustments made to take account of the credit quality of the counterparty may be included in the sum of value adjustments and provisions made for the exposures indicated in BIPRU 14; and(2) unless the firm'sIRB permission does not permit it, if the credit

BIPRU 9.13.1R01/01/2007

Where there is a securitisation of revolving exposures subject to an early amortisation provision, the originator must calculate an additional risk weighted exposure amount in accordance with this section in respect of the risk that the levels of credit risk to which it is exposed may increase following the operation of the early amortisation provision. Accordingly this section sets out how an originator must calculate a risk weighted exposure amount when it sells revolving exposures

BIPRU 9.13.18G01/04/2013

In the case of a securitisation meeting the conditions in this paragraph, a firm may apply to the appropriate regulator for a waiver that would allow a treatment which approximates closely to that prescribed in BIPRU 9.13.13 R to BIPRU 9.13.17 R for determining the conversion figure indicated. If a firm wants such a waiver, it should satisfy the appropriate regulator that:(1) the securitisation is subject to an early amortisation provision of retail exposures;(2) those retail

BIPRU 9.9.1R01/01/2007

To calculate the risk weighted exposure amount of a securitisation position, the relevant risk weight must be assigned to the exposure value of the position in accordance with BIPRU 9.9 - BIPRU 9.14 based on the credit quality of the position.[Note:BCD Article 96(1) (part) and Annex IX1, Part 4 point 1]

BIPRU 9.9.8R31/12/2011

(1) Where a firm has two or more overlapping positions in a securitisation the firm must, to the extent that the positions overlap, include in its calculation of risk weighted exposure amounts only the position, or portion of a position, producing the higher risk weighted exposure amounts. The firm may also recognise such an overlap between capital charges for specific risk in relation to positions in the trading book and capital charges for positions in the non-trading book,

BIPRU 9.9.9R01/01/2007

Subject to the provisions of GENPRU that deal with the deduction of securitisation positions at stage M in the relevant capital resources table, the risk weighted exposure amount must be included in the firm's total of risk weighted exposure amounts for the purposes of the calculation of its credit risk capital requirement.[Note:BCD Article 96(4)]

BIPRU 13.3.12R01/01/2007

Notwithstanding BIPRU 13.3.1 R and BIPRU 13.3.5 R, a firm may determine the exposure value of a credit risk exposure outstanding with a central counterparty in accordance with BIPRU 13.3.13 R, provided that the central counterparty'scounterparty credit riskexposure with all participants in its arrangements are fully collateralised on a daily basis.[Note: BCD Article 78(4) in respect of financial derivatives and long settlement transactions]

BIPRU 13.3.16R01/01/2007

A firm must set the exposure value for CCR from sold credit default swaps in the non-trading book, where they are treated as credit protection provided by the firm and subject to a capital requirement for credit risk for the full notional amount, to zero.[Note: BCD Annex III Part 2 point 4]

BIPRU 9.14.8R01/01/2007

A firm must determine the effective risk weight of the position. It must do this by dividing the risk weighted exposure amount of the position by the exposure value of the position and multiplying the result by 100.[Note:BCD Annex IX Part 4 point 63 (part)]

BIPRU 9.14.9R01/01/2007

In the case of funded credit protection, the risk weighted exposure amount of the securitisation position must be calculated by multiplying the funded protection-adjusted exposure amount of the position (E*, as calculated under BIPRU 5.4.28 R (3), taking the amount of the securitisation position to be E) by the effective risk weight.[Note:BCD Annex IX Part 4 point 64]

BIPRU 5.8.1R01/01/2007

For the purposes of calculating risk weighted exposure amounts, a maturity mismatch occurs when the residual maturity of the credit protection is less than that of the protected exposure. Protection of less than three months residual maturity, the maturity of which is less than the maturity of the underlying exposure, must not be recognised.[Note: BCD Annex VIII Part 4 point 1]

BIPRU 5.8.11R01/01/2007

(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the credit protection according to the following formula:GA = G* x (t-t*)/(T-t*)where:(a) G* is the amount of the protection adjusted for any currency mismatch;(b) GA is G* adjusted for any maturity mismatch;(c) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5 R, or the value of

IFPRU 2.3.42G01/01/2014

A firm should assess and monitor, in detail, its exposure to sectoral, geographic, liability and asset concentrations. The FCA considers that concentrations in these areas increase a firm's exposure to credit risk. Where a firm identifies such concentrations it should consider the adequacy of its own funds requirements.

IFPRU 2.3.64G01/01/2014

Where a securities firm deals in illiquid securities (eg, unlisted securities or securities listed on illiquid markets) or holds illiquid assets, potentially large losses can arise from trades that have failed to settle or because of large unrealised market losses. Therefore, a securities firm may consider the impact of liquidity risk on its exposure to: (1) credit risk; and(2) market risk.

BIPRU 9.3.1R01/01/2007

(1) Where significant credit risk associated with securitised exposures has been transferred from the originator in accordance with the terms of BIPRU 9.4 or BIPRU 9.5, that originator may:(a) in the case of a traditional securitisation, exclude from its calculation of risk weighted exposure amounts and, as relevant, expected loss amounts, the exposures which it has securitised; and(b) in the case of a synthetic securitisation, calculate risk weighted exposure amounts and, as

BIPRU 9.3.7R31/12/2010

1Significant credit risk will be considered to have been transferred for originators in the following cases:(1) the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate

BIPRU 9.3.8R01/04/2013

1An originator must notify the appropriate regulator that it is relying on the deemed transfer of significant credit risk under BIPRU 9.3.7R within a reasonable period before or after a relevant transfer, not being later than one month after the date of the transfer. The notification must include the following information: (1) the risk weighted exposure amount of the securitised exposures and retained securitisation positions; (2) the exposure value of the securitised exposures

BIPRU 9.3.9G01/04/2013

1In the event that the appropriate regulator decides that the possible reduction in risk weighted exposure amounts which the originator would achieve by the securitisation referred to in BIPRU 9.3.7R is not justified by a commensurate transfer of credit risk to third parties, it will use its powers under section 55J of the Act (Variation etc on the Authority's own initiative) to require the firm to increase its risk weighted exposure amount to an amount commensurate with the appropriate

BIPRU 14.4.4R01/01/2007

(1) In the case of the non-trading book, a firm must treat an exposure falling into columns 2 and 3 of the table in BIPRU 14.4.3 R in accordance with the relevant provisions of the standardised approach to credit risk or the IRB approach, as the case may be.(2) In the case of the trading book, a firm must apply the treatment set out in BIPRU 14.4.5 R.[Note: CAD Annex II point 3 (part)]

BIPRU 14.4.5R01/01/2007

(1) In applying a risk weight to free deliveryexposures treated according to column 3 of the table in BIPRU 14.4.3 R, a firm using the IRB approach may assign PD to counterparties, for which they have no other non-trading bookexposure, on the basis of the counterparty's external rating.(2) A firm using own estimates of LGDs may apply the LGD set out in BIPRU 4.4.34 R to BIPRU 4.4.35 RBIPRU 4.4.35 R (IRB foundation approach: LGDs) to free deliveryexposures treated according to

BIPRU 4.6.30R01/01/2007

A firm must identify and analyse expected changes of risk parameters over the life of credit exposures (seasoning effects).[Note:BCD Annex VII Part 4 point 72]

BIPRU 13.2.1R01/01/2007

If the calculation of the amount of an exposure or of a combination of exposures under BIPRU 13 would materially understate the amount of the counterparty credit risk the firm must increase the amount of the credit risk capital requirement by an amount sufficient to compensate for that understatement.

BIPRU 13.2.2R01/04/2013

If a firm in relation to an exposure covered by BIPRU 13:(1) has an exposure of a non-standard type; or(2) an exposure that is part of a non-standard arrangement; or(3) has an exposure that, taken together with other exposures (whether or not they are subject to BIPRU 13), gives rise to a non-standard counterparty credit risk; or(4) is subject to the rule in BIPRU 13.2.1 R;it must notify the appropriate regulator as soon as practicable of that fact, the counterparty involved,

SUP 16.12.9R31/12/2014

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's accounting 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

11	Member's adviser 97		the Society (note 1)
Description of data item and data item	Frequency	Submission deadline	Description of data item	Frequency	Submission deadline
			Annual Lloyd's return	Annually	6 months after the Society's accounting reference date
			Syndicate accounts and reports (note 2)	Annually	6 months after the Society's accounting 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 15 13	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	Only firms subject to IPRU(INV) 4 report data item FSA003.
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	FSA033 is only applicable to firms subject to IPRU(INV) 3
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 firms 37report 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	This data item only applies to BIPRU firms.
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 firms 37. 37 37

SUP 16.12.11R01/01/2015

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	45 Firms' 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	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 50 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, D250and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm. 50 50
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 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 27	A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
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.

SUP 16.12.15R31/12/2014

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

48Description of data item	Firms' prudential category and applicable data items (note 1)
	IFPRU investment firms and BIPRU firms		Firms other than BIPRU firms or IFPRU investment firms
	IFPRU	BIPRU	IPRU(INV) Chapter 3	IPRU(INV) Chapter 5	IPRU(INV) Chapter 9	IPRU(INV) Chapter 11 (collective portfolio management firms only)	IPRU(INV) Chapter 1248	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 agreements 48							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 investments permission.
Note 34	Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.

SUP 16.12.18BR31/12/2015

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's accounting 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.

46Description of data item	Data item (note 1)	Frequency	Submission deadline
Balance Sheet	Sections A.1 and A.2 MLAR	Quarterly	20 business days
Income Statement	Sections B.0 and B.1 MLAR	Quarterly	20 business days
Capital Adequacy	Section C MLAR	Quarterly	20 business days
Lending - Business flow and rates	Section D MLAR	Quarterly	20 business days
Residential Lending to individuals - New business profile	Section E MLAR	Quarterly	20 business days
Lending - arrears analysis	Section F MLAR	Quarterly	20 business days
Mortgage Administration - Business Profile	Section G MLAR	Quarterly	20 business days
Mortgage Administration - Arrears analysis	Section H MLAR	Quarterly	20 business days
Analysis of loans to customers	Section A3 MLAR	Quarterly	20 business days
Provisions analysis	Section B2 MLAR	Quarterly	20 business days
Fees and Levies	Section J MLAR	Annually	30 business days
Sale and rent back	Section K MLAR	Annually	30 business days
Credit Risk (note 2)	Section L MLAR	Quarterly	20 business days
Liquidity (note 3)	Section M MLAR	Quarterly	20 business days
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:64 – is subject to MIPRU 4.2D;64 – 64has 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.

SUP 16.12.22AR31/12/2014

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

45Description ofData item	Firms' prudential category and applicable data item (note 1)
	IFPRU	BIPRU firm	Exempt CAD firmssubject toIPRU(INV)Chapter 13	Firms(other thanexempt CAD firms) subject toIPRU(INV)Chapter 13	Firmsthat are also in one or more ofRAGs1 to 6 and not subject toIPRU(INV)Chapter 13
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
Adviser charges	Section K RMAR (Note 26)	Section K RMAR (Note 26)	Section K RMAR (Note 26)	Section K RMAR (Note 26)	Section K RMAR (Note 26)
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 book exposures.
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
Note 28	Only applicable to firms that are collective portfolio management investment firms.
Note 29	Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.

SUP 16.12.25AR31/12/2014

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	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
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)	38
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	38
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	[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	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 book exposures.
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.

BIPRU 9.1.8AG01/04/2013

(1) The appropriate regulator expects firms to conduct regular stress testing in relation to their securitisation activities and off-balance sheet exposures. The stress tests should consider the firm-wide impact of those activities and exposures in stressed market conditions and the implications for other sources of risk, for example, credit risk, concentration risk, counterparty risk, market risk, liquidity risk and reputational risk. Stress testing of securitisation activities

BIPRU 9.1.9G31/12/2011

BIPRU 9 deals with:(1) requirements for investors,3originators and sponsors of securitisations of non-trading bookexposures;3(2) the calculation of risk weighted exposure amount for securitisation positions for the purposes of calculating either the credit risk capital component or the counterparty risk capital component; and3(3) the requirements that investors, originators and sponsors of securitisations in the trading book will have to meet (BIPRU 9.3.1AR, BIPRU 9.3.15R to BIPRU

IFPRU 4.2.8G01/01/2014

The FCA expects a firm with exposure to a lifetime mortgage to inform the FCA of the difference in the own funds requirements on those exposures under the EU CRR and the credit risk capital requirement that would have applied under BIPRU 3.4.56A R.The FCA will use this information in its consideration of relevant risks in its supervisory assessment of the firm (see articles 124, 125 and 208 of the EU CRR).

BIPRU 4.5.7R01/01/2007

Notwithstanding BIPRU 4.3.5 R (Use of relevant parameters for calculating risk weighted exposure amounts), the calculation of risk weighted exposure amounts for credit risk for specialised lending exposures may be calculated in accordance with BIPRU 4.5.8 R.[Note:BCD Article 87(5)]

IFPRU 2.2.18R01/01/2014

A firm must have internal methodologies that:(1) enable it to assess the credit risk of exposures to individual obligors, securities or securitisation positions and credit risk at the portfolio level;(2) do not rely solely or mechanistically on external credit ratings;(3) where its own funds requirements under Part Three of the EUCRR (Capital Requirements) are based on a rating by an ECAI or based on the fact that an exposure is unrated, enable the firm to consider other relevant

IFPRU 2.2.19R01/01/2014

A firm must operate through effective systems the ongoing administration and monitoring of its various credit risk-bearing portfolios and exposures, including for identifying and managing problem credits and for making adequate value adjustments and provisions.[Note: article 79(c) of CRD]

Related provisions for MIPRU 4.2E.9

Search Term(s)

Filter by Topics

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To