Related provisions for BIPRU 12.6.8
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firms' prudential category and applicable data item (note 1) |
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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 |
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Solvency statement |
No standard format (note 11) |
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Balance Sheet |
FSA001/FINREP (Notes 2 and 29) |
FSA001 (Note 2) |
FSA029 |
Section A RMAR |
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Income Statement |
FSA002/FINREP (Notes 2 and 29) |
FSA002 (Note 2) |
FSA030 |
Section B RMAR |
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Capital Adequacy |
COREP (Note 29) |
FSA003 (Note 2) |
FSA032 |
Section D1 62 RMAR (Note 23) 5050 |
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Credit risk |
COREP (Note 29) |
FSA004 (Notes 2, 3) |
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Market risk |
COREP (Note 29) |
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 29) |
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Large exposures |
COREP (Note 29) |
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Exposures between core UK group and non-core large exposures group |
FSA018 (note 12) |
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Solo consolidation data |
FSA016 |
FSA016 |
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Pillar 2 questionnaire |
FSA019 (note 8) |
FSA019 (Note 8) |
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Non-EEA sub-group |
COREP (Note 29) |
FSA028 (Note 9) |
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Professional indemnity insurance (note 15) |
Section E RMAR |
Section E RMAR |
Section E RMAR |
Section E RMAR |
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Threshold Conditions |
Section F RMAR |
Section F RMAR |
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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 |
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Fees and levies |
Section J RMAR |
Section J RMAR |
Section J RMAR |
Section J RMAR |
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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) |
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IRB portfolio risk |
FSA045 (note 13) |
FSA045 (Note 13) |
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Securitisation: non-trading book |
COREP (note 29) |
FSA046 (Note 14) |
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Daily Flows |
FSA047/COREP (Notes 16, 19, 21, 24 and 29) |
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Enhanced Mismatch Report |
FSA048/COREP (Notes 16, 19, 21, 24 and 29) |
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Liquidity Buffer Qualifying Securities |
FSA050/COREP (Notes 17, 20, 21, 24 and 29) |
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Funding Concentration |
FSA051/COREP (Notes 17, 20, 21, 24 and 29) |
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Pricing data |
FSA052/COREP (Notes 17, 20, 21, 24 and 29) |
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Retail and corporate funding |
FSA053/COREP (Notes 17, 20, 21, 24 and 29) |
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Currency Analysis |
FSA054/COREP (Notes 17, 20, 21, 24 and 29) |
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Systems and Controls Questionnaire |
FSA055/COREP (Notes 18, 24 and 29) |
FSA055 (Notes 18 and 24) |
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Securitisation: trading book |
COREP (Note 29) |
FSA058 (Note 22) |
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Supplementary capital data for collective portfolio management investment firms |
FIN067 (Note 28) |
FIN068 (Note 28) |
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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, 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. |
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Note 2 |
Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. |
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Note 3 |
This applies to a firm that is required to submit data item FSA003 and, at any 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 |
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Note 4 |
This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
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Note 5 |
Only applicable to firms with a VaR model permission. |
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Note 6 |
[deleted] |
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Note 7 |
[deleted] |
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Note 8 |
Only applicable to IFPRU investment firms and BIPRU firms that: (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or (b) have been granted an investment firm consolidation waiver; or (c) are not subject to consolidated supervision under BIPRU 8. An IFPRU investment firm and 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. |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group on the reporting date. |
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Note 10 |
[deleted]55 55 |
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Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
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Note 12 |
Only applicable to a firm that has both a core UK group and a non-core large exposures group. |
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Note 13 |
Only applicable to firms that have an IRB permission. |
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Note 14 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures. |
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Note 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. |
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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. |
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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. |
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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. |
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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). |
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Note 20 |
Note 19 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately. |
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Note 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. |
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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. |
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Note 23 |
Where a firm submits data items for both RAG 7 and RAG 9, the firm must complete Section D1.73 |
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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. |
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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. |
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Note 26 |
This item only applies to firms that provide advice on retail investment products and P2P agreements67. |
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Note 27 |
[deleted]51 |
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Note 28 |
Only applicable to firms that are collective portfolio management investment firms. |
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Note 29 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:
Firmsother thanBIPRU firms or IFPRU investment firms |
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IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 9 |
IPRU(INV)Chapter 13 |
38 | ||||
Solvency statement (note 11) |
No standard format |
38 | ||||||
Balance sheet |
FSA001/FINREP (Notes 2 and 30) |
FSA001 (Note 2) |
FSA029 |
FSA029 |
FSA029 |
Section A RMAR (note 17) or FSA029 |
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Income statement |
FSA002/FINREP (Notes 2 and 30) |
FSA002 (Note 2) |
FSA030 |
FSA030 |
FSA030 |
Section B RMAR (note 17) or FSA030 |
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Capital adequacy |
COREP (Note 30) |
FSA003 (Note 2) |
FSA033 |
FSA034 or FSA035 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 |
Section F RMAR (note 17) |
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Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (Note 13) or FSA039 |
38 | |
IRB portfolio risk |
FSA045 (note 18) |
FSA045 (Note 18) |
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Securitisation: non-trading book |
COREP (Note 30) |
FSA046 (Note 19) |
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Daily Flows |
FSA047/COREP (Notes 21, 24, 26, 28 and 30) |
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Enhanced Mismatch Report |
FSA048/COREP (Notes 21, 24, 26, 28 and 30) |
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Liquidity Buffer Qualifying Securities |
FSA050/COREP (Notes 22, 25, 26, 28 and 30) |
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Funding Concentration |
FSA051/COREP (Notes 22, 25, 26, 28 and 30) |
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Pricing data |
FSA052/COREP (Notes 22, 26, 28, 29 and 30) |
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Retail and corporate funding |
FSA053/COREP (Notes 22, 25, 26, 28 and 30) |
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Currency Analysis |
FSA054/COREP (Notes 22, 25, 26, 28 and 30) |
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Systems and Controls Questionnaire |
FSA055/COREP (Notes 23, 28 and 30) |
FSA055 (notes 23 and 28)45 |
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Securitisation: trading book |
COREP (Note 30) |
FSA058 (Note 27) |
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Note 1: |
When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G. |
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Note 2 |
Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis. |
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Note 3 |
This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm. |
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Note 4 |
This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
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Note 5 |
Only applicable to firms with a VaR model permission. |
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Note 6 |
[deleted] |
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Note 7 |
[deleted] |
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Note 8 |
Only applicable to IFPRU investment firms and BIPRU firms that: (a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or (b) have been granted an investment firm consolidation waiver; or (c) are not subject to consolidated supervision under BIPRU 8. An IFPRU investment firm and BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and BIPRU firm under (b) or (c) must complete the report on the basis of its solo position. |
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Note 9 |
This will be applicable to firms that are members of a UK consolidation group on the reporting date. |
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Note 10 |
[deleted]55 55 |
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Note 11 |
Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner. |
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Note 12 |
Only applicable to a firm that has both a core UK group and a non-core large exposures group. |
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Note 13 |
FSA039 must only be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section C RMAR must only be completed by a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm. |
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Note 14 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74. 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 |
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Note 15 |
FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. |
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Note 16 |
[deleted] |
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Note 17 |
This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm. |
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Note 18 |
Only applicable to firms that have an IRB permission. |
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Note 19 |
Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures. |
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Note 20 |
Only applicable to a firm that has a solo consolidation waiver. |
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Note 21 |
A firm must complete this item separately on each of the following bases (if applicable). (1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group. (3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. (4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group. |
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Note 22 |
A firm must complete this item separately on each of the following bases that are applicable. (1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. (2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group. |
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Note 23 |
If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone. |
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Note 24 |
(1) This item must be reported in the reporting currency. (2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency. (3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if: (a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or (b) the only material currency is the reporting currency; (3) does not apply. (4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure. (a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency. (b) Take the three largest figures from the resulting list of amounts. (5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question. (6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona). |
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Note 25 |
Note 24 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately. |
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Note 26 |
Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary. |
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Note 27 |
Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book. |
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Note 28 |
FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054. |
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Note 29 |
This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported. |
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Note 30 |
Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards. |
Table: This table belongs to COLL 6.3.2 G (2) (a) and COLL 6.3.3 R (Valuation)1.
Valuation and pricing |
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1 |
The valuation of scheme property |
|
(1) |
Where possible, investments should be valued using a reputable source. The reliability of the source of prices should be kept under regular review. |
|
(2) |
For some or all of the investments comprising the scheme property, different prices may quoted according to whether they are being bought (offer prices) or sold (bid prices). The valuation of a single-priced authorised fund should reflect the mid-market value of such investments. In the case of a dual-priced authorised fund, the issue basis of the valuation will be carried out by reference to the offer prices of investments and the cancellation basis by reference to the bid prices of those same investments. The prospectus should explain how investments will be valued for which a single price is quoted for both buying and selling.1 1 |
|
3(2A) |
Schemes investing in approved money-market instruments5should value such instruments on an amortised cost basis on condition that:5
|
|
[Note:CESR's UCITS eligible assets guidelines with respect to article 4(2) of the UCITS eligible assets Directive] |
||
(2B) |
Short-term money market funds may value approved money-market instruments on an amortised cost basis.7 |
|
[Note: paragraph 21 of CESR's guidelines on a common definition of European money market funds]7 |
||
(3) |
Any part of the scheme property of an authorised fund that is not an investment should be valued at a fair value, but for immovables this is subject to COLL 5.6.20 R (3) (f) (Standing independent valuer and valuation). |
|
(4) |
For the purposes of (2) and (3), any fiscal charges, commissions, professional fees or other charges that were paid, or would be payable on acquiring or disposing of the investment or other part of the scheme property should, in the case of a single-priced authorised fund,2 be excluded from the value of an investment or other part of the scheme property. In the case of a dual-priced authorised fund, any such payments should be added to the issue basis of the valuation, or subtracted from the cancellation basis of the valuation, as appropriate. Alternatively, the prospectus of a dual-priced authorised fund may prescribe any other method of calculating unitprices that ensures an equivalent treatment of the effect of these payments.2 |
|
(5) |
Where the authorised fund manager has reasonable grounds to believe that:
|
|
(6) |
The circumstances which may give rise to a fair value price being used include:
|
|
(7) |
In determining whether to use such a fair value price , the authorised fund manager should include in his consideration:
|
|
4(7A) |
Where the authorised fund manager, the depositary or the standing independent valuer have reasonable grounds to believe that the most recent valuation of an immovable does not reflect the current value of that immovable, the authorised fund manager should consult and agree with the standing independent valuer a fair and reasonable value for the immovable. |
|
(8) |
The authorised fund manager should document the basis of valuation (including any fair value pricing policy) and, where appropriate, the basis of any methodology and ensure that the procedures are applied consistently and fairly. |
|
(9) |
Where a unit price is determined using properly applied fair value prices in accordance with policies in (8), subsequent information that indicates the price should have been different from that calculated will not normally give rise to an instance of incorrect pricing. |
|
2 |
The pricing controls of the authorised fund manager |
|
(1) |
An authorised fund manager needs to be able to demonstrate that it has effective controls over its calculations of unit prices. |
|
(2) |
The controls referred to in (1) should ensure that:
|
|
(3) |
In exercising its pricing controls, the authorised fund manager may exercise reasonable discretion in determining the appropriate frequency of the operation of the controls and may choose a longer interval, if appropriate, given the level of activity on the authorised fund1or the materiality of any effect on the price. |
|
(4) |
Evidence of the exercise of the pricing controls should be retained. |
|
(5) |
Evidence of persistent or repetitive errors in relation to these matters, and in particular any evidence of a pattern of errors working in an authorised fund manager's favour, will make demonstrating effective controls more difficult. |
|
(6) |
Where the pricing1function is delegated to a third party, COLL 6.6.15 R (1) (Committees and delegation) will apply. |
|
3 |
The depositary's review of the authorised fund manager's systems and controls |
|
(1) |
This section provides details of the types of checks a depositary should carry out to be satisfied that the authorised fund manager adopts systems and controls which are appropriate to ensure that prices of units are calculated in accordance with this section and to ensure that the likelihood of incorrect prices will be minimised. These checks also apply where an authorised fund manager has delegated all or some of its pricing1 functions to one or more third parties5. 5 |
|
(2) |
A depositary should thoroughly review an authorised fund manager's systems and controls to confirm that they are satisfactory. The depositary's review should include an analysis of the controls in place to determine the extent to which reliance can be placed on them. |
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(3) |
A review should be performed when the depositary is appointed and thereafter as it feels appropriate given its knowledge of the robustness and the stability of the systems and controls and their operation. |
|
(4) |
A review should be carried out more frequently where a depositary knows or suspects that an authorised fund manager's systems and controls are weak or are otherwise unsatisfactory. |
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(5) |
Additionally, a depositary should from time to time review other aspects of the valuation of the scheme property of each authorised fund for which it is responsible, verifying, on a sample basis, if necessary, the assets, liabilities, accruals, units in issue1, securities prices (and in particular the prices of OTC derivatives,5unapproved securities and the basis for the valuation of unquoted securities) and any other relevant matters, for example an accumulation factor or a currency conversion factor. |
|
(6) |
A depositary should ensure that any issues, which are identified in any such review, are properly followed up and resolved. |
|
4 |
The recording and reporting of instances of incorrect pricing |
|
(1) |
An authorised fund manager should record each instance where the price of a unit is incorrect as soon as the error is discovered, and report the fact to the depositary together with details of the action taken, or to be taken, to avoid repetition as soon as practicable. |
|
(2) |
In accordance with COLL 6.6.11 G (Duty to inform the FCA), the depositary should report any breach of the rules in COLL 6.3 immediately to the FCA. However, notification should relate to instances which the depositary considers material only. |
|
(3) |
A depositary should also report to the FCA immediately any instance of incorrect pricing1where the error is 0.5% or more of the price of a unit, where a depositary believes that reimbursement or payment is inappropriate and should not be paid by an authorised fund manager. |
|
(4) |
In accordance with SUP 16.6.8 R, a depositary should also make a return to the FCA on a quarterly basis which summarises the number of instances of incorrect pricing1 during a particular period. |
|
5 |
The rectification of pricing breaches |
|
(1) |
COLL 6.6.3R(3)(c)10(Functions of the authorised fund manager) places a duty on the authorised fund manager to take action to reimburse affected unitholders, former unitholders, and the scheme itself, for instances of incorrect pricing1, except if it appears to the depositary that the breach is of minimal significance. |
|
(2) |
A depositary may consider that the instance of incorrect pricing1is of minimal significance if:
|
|
(3) |
In determining (2), if the instance of incorrect pricing1 is due to one or more factors or exists over a period of time, each price should be considered separately. |
|
(4) |
If a depositary deems it appropriate, it may, in spite of the circumstances outlined in (2), require a payment from the authorised fund manager or from the authorised fund to the unitholders, former unitholders, the authorised fund or the authorised fund manager (where appropriate). |
|
(5) |
The depositary should satisfy itself that any payments required following an instance of incorrect pricing1 are accurately and promptly calculated and paid. |
|
(6) |
If a depositary considers that reimbursement or payment is inappropriate, it should report the matter to the FCA, together with its recommendation and justification. The depositary should take into account the need to avoid prejudice to the rights of unitholders, or the rights of unitholders in a class of units. |
|
(7) |
It may not be practicable, or in some cases legally permissible, for the authorised fund manager to obtain reimbursement from unitholders, where the unitholders have benefited from the incorrect price. |
|
(8) |
In all cases where reimbursement or payment is required, amounts due to be reimbursed to unitholders for individual sums which are reasonably considered by the authorised fund manager and depositary to be immaterial, need not normally be paid. |
Table: Items which are eligible to contribute to the capital resources of a firm
Item |
Additional explanation |
|||
1. |
Share capital |
This must be fully paid and may include: |
||
(1) |
ordinary share capital; or |
|||
(2) |
preference share capital (excluding preference shares redeemable by shareholders within two years). |
|||
2. |
Capital other than share capital (for example, the capital of a sole trader, partnership or limited liability partnership) |
The capital of a sole trader is the net balance on the firm's capital account and current account. The capital of a partnership is the capital made up of the partners': |
||
(1) |
capital account, that is the account: |
|||
(a) |
into which capital contributed by the partners is paid; and |
|||
(b) |
from which, under the terms of the partnership agreement, an amount representing capital may be withdrawn by a partner only if: |
|||
(i) he ceases to be a partner and an equal amount is transferred to another such account by his former partners or any person replacing him as their partner; or |
||||
(ii) the partnership is otherwise dissolved or wound up; and |
||||
(2) |
current accounts according to the most recent financial statement. |
|||
For the purpose of the calculation of capital resources, in respect of a defined benefit occupational pension scheme: |
||||
(1) |
a firm must derecognise any defined benefit asset; |
|||
(2) |
a firm may substitute for a defined benefit liability the firm'sdeficit reduction amount, provided that the election is applied consistently in respect of any one financial year. |
|||
3. |
Reserves (Note 1) |
These are, subject to Note 1, the audited accumulated profits retained by the firm (after deduction of tax, dividends and proprietors' or partners' drawings) and other reserves created by appropriations of share premiums and similar realised appropriations. Reserves also include gifts of capital, for example, from a parent undertaking. |
||
For the purposes of calculating capital resources, a firm must make the following adjustments to its reserves, where appropriate: |
||||
(1) |
a firm must deduct any unrealised gains or, where applicable, add back in any unrealised losses on debt instruments held, or formerly held,3 in the available-for-sale financial assets category; |
|||
(2) |
a firm must deduct any unrealised gains or, where applicable, add back in any unrealised losses on cash flow hedges of financial instruments measured at cost or amortised cost; |
|||
(3) |
in respect of a defined benefit occupational pension scheme: |
|||
(a) |
a firm must derecognise any defined benefit asset; |
|||
(b) |
a firm may substitute for a defined benefit liability the firm'sdeficit reduction amount, provided that the election is applied consistently in respect of any one financial year. |
|||
4. |
Interim net profits (Note 1) |
If a firm seeks to include interim net profits in the calculation of its capital resources, the profits have, subject to Note 1, to be verified by the firm's external auditor, net of tax, anticipated dividends or proprietors' drawings and other appropriations. |
||
5. |
Revaluation reserves |
|||
6. |
General/ collective provisions (Note 1) |
These are provisions that a firm carrying on home financing1or home finance administration1holds against potential losses that have not yet been identified but which experience indicates are present in the firm's portfolio of assets. Such provisions must be freely available to meet these unidentified losses wherever they arise. Subject to Note 1, general/collective provisions must be verified by external auditors and disclosed in the firm's annual report and accounts. 1111 |
||
7. |
Subordinated loans |
Subordinated loans must be included in capital on the basis of the provisions in this chapter that apply to subordinated loans. |
||
Note: |
||||
1 |
Reserves must be audited and interim net profits, general and collective provisions must be verified by the firm's external auditor unless the firm is exempt from the provisions of Part VII of the Companies Act 1985 (section 249A (Exemptions from audit)) or, where applicable, Part 16 of the Companies Act 2006 (section 477 (Small companies: Conditions for exemption from audit))2 relating to the audit of accounts. 2 |