Solvency statement (note 11) |
No standard format |
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38 |
Balance sheet |
FSA001/FINREP (Notes 2 and 30) |
FSA001 (Note 2) |
FSA029 |
FSA029 |
FSA029 |
Section A RMAR (note 17) or FSA029 |
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Income statement |
FSA002/FINREP (Notes 2 and 30) |
FSA002 (Note 2) |
FSA030 |
FSA030 |
FSA030 |
Section B RMAR (note 17) or FSA030 |
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Capital adequacy |
COREP (Note 30) |
FSA003 (Note 2) |
FSA033 |
FSA034 or FSA035 or FIN07152 (note 14) |
FSA031 |
Section D1 62 RMAR (note 17) or FSA 032 (note 15) 50 |
38 |
Credit risk |
COREP (Note 30 |
FSA004 (Notes 2, 3) |
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Market risk |
COREP (Note 30) |
FSA005 (Notes 2, 4) |
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Market risk - supplementary |
FSA006 (note 5) |
FSA006 (Note 5) |
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Operational risk |
COREP (Note 30) |
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Large exposures |
COREP (Note 30) |
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UK Integrated group large exposures |
FSA018 (note 12) |
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Exposures between core UK group and non-core large exposures group |
FSA016 (note 20) |
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Solo consolidation data |
FSA016 (note 20) |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (Note 8) |
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Non-EEA sub-group |
COREP (Note 30) |
FSA028 (Note 9) |
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Threshold conditions |
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Section F RMAR (note 17) |
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Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (Note 13) or FSA039 |
38 |
IRB portfolio risk |
FSA045 (note 18) |
FSA045 (Note 18) |
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Securitisation: non-trading book |
COREP (Note 30) |
FSA046 (Note 19) |
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Daily Flows |
FSA047/COREP (Notes 21, 24, 26, 28 and 30) |
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Enhanced Mismatch Report |
FSA048/COREP (Notes 21, 24, 26, 28 and 30) |
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Liquidity Buffer Qualifying Securities |
FSA050/COREP (Notes 22, 25, 26, 28 and 30) |
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Funding Concentration |
FSA051/COREP (Notes 22, 25, 26, 28 and 30) |
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Pricing data |
FSA052/COREP (Notes 22, 26, 28, 29 and 30) |
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Retail and corporate funding |
FSA053/COREP (Notes 22, 25, 26, 28 and 30) |
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Currency Analysis |
FSA054/COREP (Notes 22, 25, 26, 28 and 30) |
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Systems and Controls Questionnaire |
FSA055/COREP (Notes 23, 28 and 30) |
FSA055 (notes 23 and 28)45 |
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Securitisation: trading book |
COREP (Note 30) |
FSA058 (Note 27) |
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Note 1: |
When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G. |
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) 5.4.2R74. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74, unless it calculates its own funds requirement in accordance with IPRU(INV) 5.4.10R74, in which case FIN071 must be completed.52 |
Note 15 |
FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. |
Note 16 |
[deleted] |
Note 17 |
This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm. |
Note 18 |
Only applicable to firms that have an IRB permission. |
Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures. |
Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
Note 21 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
Note 22 |
A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. |
Note 23 |
If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. |
Note 24 |
(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona). |
Note 25 |
Note 24 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately. |
Note 26 |
Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary. |
Note 27 |
Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book. |
Note 28 |
FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054. |
Note 29 |
This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported. |
Note 30 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |
