Related provisions for BIPRU 3.4.59

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BIPRU 3.4.56RRP
Without prejudice to BIPRU 3.4.85 R, an exposure or any part of an exposure fully and completely secured, to the satisfaction of the firm, by mortgages on residential property which is or shall be occupied or let by the owner or the beneficial owner in the case of personal investment companies must be assigned a risk weight of 35%.[Note: BCD Annex VI Part 1 point 45]
BIPRU 3.4.56ARRP
(1) 4A firm must not treat a lifetime mortgage as an exposure fully and completely secured on residential property for the purposes of BIPRU 3.4.56 R unless the amount of the exposure is calculated according to the following formula:exposure amount =where:(a) P is the current outstanding balance on the lifetime mortgage;(b) i is the interest rate charged on the lifetime mortgage, which for the purposes of this calculation must not be lower than the discount rate referred to in
BIPRU 3.4.58RRP
Without prejudice to BIPRU 3.4.85 R, an exposure or any part of an exposure to a tenant under a property leasing transaction concerning residential property under which the firm is the lessor and the tenant has an option to purchase, must be assigned a risk weight of 35% provided that the firm is satisfied that the exposure of the firm is fully and completely secured by its ownership of the property.[Note: BCD Annex VI Part 1 point 47]
BIPRU 3.4.61RRP
BIPRU 3.4.60 R (3) does not apply to exposures fully and completely secured by mortgages on residential property which is situated within the United Kingdom.[Note: BCD Annex VI Part 1 point 49]
BIPRU 3.4.82GRP
(1) The application of BIPRU 3.4.81 R may be illustrated by an example. If a firm has a mortgage exposure of £100,000 secured on residential property in the United Kingdom that satisfies the criteria listed in BIPRU 3.4.56 R to BIPRU 3.4.80 R and the value of that property is £100,000, then £80,000 of that exposure may be treated as fully and completely secured and risk weighted at 35%. The remaining £20,000 may be risk weighted at 75% provided the exposure meets the criteria
BIPRU 3.4.91RRP
If a CRD implementation measure in another EEA State implements the discretion in point 51 of Part 1 of Annex VI of the Banking Consolidation Directive, a firm may apply the same treatment as that CRD implementation measure to exposures falling within the scope of that CRD implementation measure which are fully and completely secured by mortgages on offices or other commercial premises situated in that EEA State.[Note: BCD Annex VI Part 1 points 51 and 57]
BIPRU 3.4.94RRP
(1) If a CRD implementation measure in another EEA State implements the discretion in point 58 of Part 1 of Annex VI of the Banking Consolidation Directive to dispense with the condition in point 54(b) for exposures fully and completely secured by mortgages on commercial property situated in that EEA State, a firm may apply the same treatment as that CRD implementation measure to exposures fully and completely secured by mortgages on commercial property situated in that EEA State
BIPRU 3.4.99RRP
Exposures indicated in BIPRU 3.4.56 R to BIPRU 3.4.63 R (Exposures secured by mortgages on residential property) must be assigned a risk weight of 100% net of value adjustments if they are past due for more than 90 days. If value adjustments are no less than 20% of the exposure gross of value adjustments, the risk weight to be assigned to the remainder of the exposure is 50%.[Note: BCD Annex VI Part 1 point 64]
BIPRU 3.4.101RRP
Exposures indicated in BIPRU 3.4.89 R to BIPRU 3.4.94 R (Exposures secured by mortgages on commercial real estate) must be assigned a risk weight of 100% if they are past due for more than 90 days.[Note: BCD Annex VI Part 1 point 65]
MIPRU 4.2F.3GRP
This section is broadly organised according to the type of exposure class.(1) Exposures secured by mortgages on residential property (MIPRU 4.2F.4 R to MIPRU 4.2F.36 R)(2) Exposures secured by mortgages on commercial property (MIPRU 4.2F.37 R)(3) Exposures to other loans (MIPRU 4.2F.38 R)(4) Exposures to funds (MIPRU 4.2F.39 R to MIPRU 4.2F.49 R)(5) Exposures to past due items (MIPRU 4.2F.50 R to MIPRU 4.2F.56 G)
MIPRU 4.2F.4RRP
Without prejudice to MIPRU 4.2F.36 R, an exposure or any part of an exposure must be assigned a risk weight of 35% where: (1) the exposure is fully and completely secured, to the satisfaction of the firm, by mortgages on residential property; and(2) the residential property is, or will be, occupied or let by the owner or the beneficial owner in the case of personal investment companies.
MIPRU 4.2F.5RRP
Without prejudice to MIPRU 4.2F.36 R, an exposure, or any part of an exposure, must be assigned a risk weight of 75% where: (1) the exposure arises from a mortgage on residential property up to a limit of 100% of the value of the property which is not fully and completely secured, to the satisfaction of the firm, by that mortgage; and(2) the residential property is, or will be, occupied or let by the owner or the beneficial owner in the case of personal investment companies.
MIPRU 4.2F.6RRP
An exposure or any part of an exposure must be assigned a risk weight of 100% where the exposure arises from a mortgage on residential property that exceeds the value of the available collateral, as assessed in accordance with MIPRU 4.2F.29 R.
MIPRU 4.2F.7RRP
(1) A firm must not treat a lifetime mortgage as an exposure fully and completely secured on residential property for the purposes of MIPRU 4.2F.4 R unless the amount of the exposure is calculated according to the following formula:where:(a) P is the current outstanding balance on the lifetime mortgage;(b) i is the interest rate charged on the lifetime mortgage, which for the purposes of this calculation must not be lower than the discount rate referred to in (c);(c) d is the
MIPRU 4.2F.9RRP
Without prejudice to MIPRU 4.2F.36 R, an exposure, or any part of an exposure, to a tenant under a property leasing transaction must be assigned a risk weight of 35% where: (1) the transaction concerns residential property; (2) under the transaction, the firm is the lessor and the tenant has an option to purchase; and(3) the firm is satisfied that the exposure is fully and completely secured by its ownership of the property.
MIPRU 4.2F.10GRP
An Ijara mortgage is an example of an exposure described in MIPRU 4.2F.9 R.
MIPRU 4.2F.11RRP
(1) In exercising its judgment under MIPRU 4.2F.4 R to MIPRU 4.2F.9 R, a firm may be satisfied only if the conditions in (2) to (6) are met.(2) (a) The value of the property does not materially depend upon the credit quality of the borrower. (b) The condition in (a) does not preclude situations where purely macroeconomic factors affect both the value of the property and the performance of the borrower.(3) The minimum requirements about: (a) legal certainty in MIPRU 4.2F.12 R;
MIPRU 4.2F.33RRP
If a firm has an exposure arising through a second-charge mortgage secured on the same property as a first-charge loan from a different firm, the exposure, taking into account the first-charge mortgage, must be split into the following components and risk weighted as follows, after taking into account the seniority of the first-charge loan:(1) the amount of the exposure or any part of the exposure, up to a limit of 80% of the value of the residential property, must be assigned
MIPRU 4.2F.34GRP
  1. (1)

    The application of MIPRU 4.2F.33 R may be illustrated by an example. Where a first-charge mortgage exposure of £50,000 from another lender is secured on residential property in the United Kingdom that satisfies the criteria in MIPRU 4.2F.4 R to MIPRU 4.2F.29 R and the value of that property is £100,000, then a firm with a second-charge mortgage of £60,000 on the same property may treat £30,000 of that exposure as fully and completely secured and risk weight it at 35%, treat a further £20,000 as unsecured and risk weight it at 75%, and risk weight the remaining £10,000 at 100%. A diagrammatic illustration of this example is in (2).

  2. (2)

    A diagrammatic illustration of the example in (1)

    Property value

    Exposure and risk weightings

    Example

    £10,000 of second-charge - risk weighted at 100%

    • Remaining second-charge mortgage, i.e. £10,000

    £100,000

    £20,000 of second-charge - risk weighted at 75%

    • Second-charge mortgage up to maximum of 100% of property value, i.e. £20,000

    £30,000 of second-charge - risk weighted at 35%

    • Second-charge mortgage up to maximum of 80% of property value, i.e. £30,000

    First-charge mortgage (£50,000)

    • Other lender has first-charge over property with outstanding loan balance of £50,000
MIPRU 4.2F.37RRP
Exposures, or any part of an exposure, secured by mortgages on offices or other commercial premises must be assigned a risk weight of 100% where the exposure:(1) cannot properly be considered to fall within any other standardised credit risk exposure class specified in MIPRU 4.2A.6A R (Exposure classes); or (2) does not qualify for a lower risk weight under this section.
MIPRU 4.2F.51RRP
Where value adjustments are taken against the secured part of an exposure secured by a mortgage on residential property and that is past due, the secured part net of value adjustments must be assigned a risk weight of: (1) 100% if value adjustments are less than 20% of the secured part of the exposure gross of value adjustments; or(2) 50% if value adjustments are no less than 20% of the secured part of the exposure gross of value adjustments.
MIPRU 4.2F.52GRP
A firm may treat the secured part of an exposure covered by a mortgage indemnity product that meets the relevant eligibility criteria for credit risk mitigation as secured for the purposes of MIPRU 4.2F.51 R.
MIPRU 4.2F.56GRP

The application of value adjustments to either the secured or the unsecured component of an exposure secured on residential property may be illustrated on the basis of a £110,000 loan on a property valued at £100,000, where £80,000 of the loan is secured, £30,000 of the exposure is unsecured and a value adjustment of £20,000 is taken.

  1. (1)

    Value adjustment applied to unsecured component:

    1. (a)

      Value adjustment of £20,000 taken on £30,000 unsecured exposure.

    2. (b)

      Value adjustment exceeds 20%, so the firm should risk weight the remaining £10,000 unsecured exposure at 100% (as per MIPRU 4.2F.55 R).

    3. (c)

      The risk weight to be applied to the secured exposure of £80,000 is 100% (as per MIPRU 4.2F.51 R).

  2. (2)

    Value adjustment applied to secured component:

    1. (a)

      Value adjustment of £20,000 taken on £80,000 secured exposure.

    2. (b)

      Value adjustment exceeds 20%, so the firm should risk weight the remaining £60,000 secured exposure at 50% (as per MIPRU 4.2F.51 R).

    3. (c)

      The risk weight to be applied to the unsecured exposure of £30,000 is 150% (as per MIPRU 4.2F.55 R).

  3. (3)

    A diagrammatic illustration of how MIPRU 4.2F.56G (1) and MIPRU 4.2F.56G (2) operate is as follows:

    Value adjustment applied to unsecured component (MIPRU 4.2F.51 R)

    Risk weightings

    Exposure

    Risk weightings

    Value adjustment to secured component (MIPRU 4.2F.55 R)

    £20,000

    Unsecured component of £30,000

    £30,000 risk weighted at 150%

    £10,000 risk weighted at 100%

    £80,000 risk weighted at 100%

    Secured component of £80,000

    £20,000

    £60,000 risk weighted at 50%
BIPRU 4.10.9RRP
(1) The condition in BIPRU 4.10.6 R (3) does not apply for exposures secured by residential real estate property situated within the territory of another EEA State.(2) However (1) only applies if and to the extent that the CRD implementation measures for that EEA State in relation to the IRB approach implement the option set out in paragraph 16 of Part 1 of Annex VIII of the Banking Consolidation Directive (waiver for residential real estate property) with respect to residential
IFPRU 4.2.2GRP
Where the FCA has published evidence showing that a well-developed and long-established residential property market is present in that territory with loss rates which do not exceed the limits in article 125(3) of the EU CRR (Exposures fully and completely secured by mortgages on residential property), a firm does not need to meet the condition in article 125(2)(b) of the EU CRR in order to consider an exposure, or any part of an exposure, as fully and completely secured for the
IFPRU 4.2.3RRP
For the purposes of articles 124(2) and 126(2) of the EU CRR, and in addition to the conditions in those regulations, a firm may only treat exposures as fully and completely secured by mortgages on commercial immovable property located in the UK1 in line with article 126 where annual average losses stemming from lending secured by mortgages on commercial property in the UK did not exceed 0.5% of risk-weighted exposure amounts over a representative period. A firm must calculate
IFPRU 4.2.7GRP
The FCA considers an Ijara mortgage to be an example of an exposure to a tenant under a property leasing transaction concerning residential property under which the firm is the lessor and the tenant has an option to purchase. Accordingly, the FCA expects exposures to Ijara mortgages to be subject to all of the requirements that apply to exposures secured by mortgages on residential property, including in respect of periodic property revaluation (see articles 124 and 125 of the
IFPRU 4.2.8GRP
The FCA expects a firm with exposure to a lifetime mortgage to inform the FCA of the difference in the own funds requirements on those exposures under the EU CRR and the credit risk capital requirement that would have applied under BIPRU 3.4.56A R.The FCA will use this information in its consideration of relevant risks in its supervisory assessment of the firm (see articles 124, 125 and 208 of the EU CRR).
IFPRU 4.2.9GRP
When determining the portion of a past due item that is secured, the FCA expects the secured portion of an exposure covered by a mortgage indemnity product that is eligible for credit risk mitigation purposes under Part Three, Title II, Chapter 4 of the EU CRR (Credit risk mitigation) to qualify as an eligible guarantee (see article 129(2) of the EU CRR).
BIPRU 4.3.68GRP
(1) If an obligor approach is being taken with respect to retail exposures (that is, the application of the definition of default at an obligor level rather than at a facility level as set out in BIPRU 4.6.21 R,) a firm should ensure that the PD associated with unsecured exposures is not understated as a result of the presence of any collateralised exposures. A firm should be able to explain to the appropriate regulator, if asked, how it has ensured that its estimate of PD is
MIPRU 4.2A.10RRP
To calculate risk weighted exposure amounts on exposures secured by mortgages on residential property, risk weights must be applied to all such exposures, in accordance with MIPRU 4.2F.4 R to MIPRU 4.2F.10 G3.33
MIPRU 4.2A.10ARRP
3To calculate risk weighted exposure amount on exposures secured by mortgages on commercial property, risk weights must be applied to all such exposures in accordance with MIPRU 4.2F.37 R.
MIPRU 4.2C.1RRP
This section applies to a firm carrying on any home financing connected to regulated mortgage contracts or home financing and home financing administration connected to regulated mortgage contracts see 1MIPRU 4.2.23 R where it applies credit risk mitigation1 to the calculation of its risk weighted exposure amounts under MIPRU 4.2A (Credit risk capital requirement)1.11
SUP 16.12.11RRP

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

Description of data item

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

IFPRU investment firms and BIPRU firms

Firmsother thanBIPRU firms or IFPRU investment firms

IFPRU

BIPRU

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 13

 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.