Related provisions for BIPRU 7.8.37

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To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

SYSC 3.2.10GRP
(1) Depending on the nature, scale and complexity of its business, it may be appropriate for a firm to have a separate risk assessment function responsible for assessing the risks that the firm faces and advising the governing body and senior managers on them.(2) The organisation and responsibilities of a risk assessment function should be documented. The function should be adequately resourced and staffed by an appropriate number of competent staff who are sufficiently independent
IFPRU 4.15.1GRP
For purposes of repurchase transactions and securities lending or borrowing transactions, the FCA does not consider that there are any core market participants apart from those entities listed in article 227(3) of the UK CRR1.
IFPRU 4.6.33GRP
The FCA expects a firm to assign exposures to the risk weight category for specialised lending exposures based on the criteria set out in the tables in IFPRU 4 Annex 1G(Slotting criteria).
RCB 2.3.9GRP
Concentration risk is the risk of loss from exposures being limited in number or variety. The relevant factors the FCA may consider include:(1) the level of granularity of the asset pool (i.e. what is the number and size distribution of assets in the pool); (2) whether the borrowers or collateral is unduly concentrated in a particular industry, sector, or geographical region.
COLL 6.11.4RRP
(1) The permanent risk management function must:(a) implement the risk management policy and procedures;(b) ensure compliance with the risk limit system, including statutory limits concerning global exposure and counterparty risk, as required by COLL 5.2 (General investment powers and limits for UCITS schemes) and COLL 5.3 (Derivative exposure)2;(c) provide advice to the governing body, as regards the identification of the risk profile of each scheme it manages;(d) provide regular
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 or FIN07152 (note 14)

FSA031

FSA032 (note 15) or Section D162 RMAR (note 15)

5050		 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-UK sub-group81

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 UK CRR81, 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; or80

(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

FSA03474 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed76.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R7476.

7452

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, D1,62 D280 and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

505050

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 adviser77 (as referred to in IPRU(INV) 3-60(4)R.

Note 19

[deleted]55

55

Note 20

Only required in the case of an adviser77 (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 securitisations80 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 UK CRR82 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.
SYSC 13.7.5GRP
IT systems include the computer systems and infrastructure required for the automation of processes, such as application and operating system software; network infrastructure; and desktop, server, and mainframe hardware. Automation may reduce a firm's exposure to some 'people risks' (including by reducing human errors or controlling access rights to enable segregation of duties), but will increase its dependency on the reliability of its IT systems.
DTR 4.1.11RRP
The management report required by DTR 4.1.8 R must also give an indication of:(1) any important events that have occurred since the end of the financial year unless those events are:4(a) 4reflected in the issuer’s profit and loss account or balance sheet; or(b) 4disclosed in the notes to the issuer’s audited financial statements;(2) the issuer's likely future development;(3) activities in the field of research and development;(4) the information concerning acquisitions of own
SYSC 13.5.1GRP
In this chapter, the following interpretations of risk management terms apply:(1) a firm's risk culture encompasses the general awareness, attitude and behaviour of its employees and appointed representatives or, where applicable, its tied agents,1to risk and the management of risk within the organisation;(2) operational exposure means the degree of operational risk faced by a firm and is usually expressed in terms of the likelihood and impact of a particular type of operational
BIPRU 14.1.2GRP
(1) BIPRU 14.2 deals with the calculation of the capital requirement for CCR for trading book positions arising from financial derivative instruments, securities financing transactions and long settlement transactions. The approaches used to calculate exposure values and risk weighted exposure amounts for these positions are largely based on the approaches applicable to non-trading book positions (BIPRU 3, BIPRU 4, BIPRU 5 and BIPRU 13). However, there are some treatments that
BIPRU 9.2.1RRP
(1) Where a firm uses the standardised approach set out in BIPRU 3 (Standardised approach to credit risk) for the calculation of risk weighted exposure amount for the standardised credit risk exposure class to which the securitised exposures would otherwise be assigned under BIPRU 3, then it must calculate the risk weighted exposure amount for a securitisation position in accordance with the standardised approach to securitisations set out in BIPRU 9.9, BIPRU 9.10, BIPRU 9.11
IFPRU 10.2.1RRP
A firm must calculate a capital conservation buffer of common equity tier 1 capital equal to 2.5% of its total risk exposure amount. [Note: article 129(1) (part) of CRD]
IFPRU 10.3.2RRP
(1) To calculate the weighted average in IFPRU 10.3.1 R, a firm must apply to each applicable countercyclical buffer rate its total own funds requirements for credit risk, specific risk, incremental default and migration risk that relates to the relevant credit exposures in the jurisdiction in question, divided by its total own funds requirements for credit risk that relates to all of its relevant credit exposures.(2) For the purposes of (1), a firm must calculate its total own