Related provisions for BIPRU 7.3.43
Table: general market risk Position Risk Adjustments
This table belongs to BIPRU 7.2.56R.
Zone |
Maturity band |
||
Coupon of 3% or more |
Coupon of less than 3% |
||
One |
0 ≤ 1 month |
0 ≤ 1 month |
0.00% |
> 1 ≤ 3 months |
> 1 ≤ 3 months |
0.20% |
|
> 3 ≤ 6 months |
> 3 ≤ 6 months |
0.4% |
|
> 6 ≤ 12 months |
> 6 ≤ 12 months |
0.7% |
|
Two |
> 1 ≤ 2 years |
> 1.0 ≤ 1.9 years |
1.25% |
> 2 ≤ 3 years |
> 1.9 ≤ 2.8 years |
1.75% |
|
> 3 ≤ 4 years |
> 2.8 ≤ 3.6 years |
2.25% |
|
Three |
> 4 ≤ 5 years |
> 3.6 ≤ 4.3 years |
2.75% |
> 5 ≤ 7 years |
> 4.3 ≤ 5.7 years |
3.25% |
|
> 7 ≤ 10 years |
> 5.7 ≤ 7.3 years |
3.75% |
|
> 10 ≤ 15 years |
> 7.3 ≤ 9.3 years |
4.5% |
|
> 15 ≤ 20 years |
> 9.3 ≤ 10.6 years |
5.25% |
|
> 20 years |
> 10.6 ≤ 12.0 years |
6.00% |
|
> 12.0 ≤ 20.0 years |
8.00% |
||
> 20 years |
12.50% |
Table: Assumed interest rate change in the interest rate duration method
This table belongs to BIPRU 7.2.64R
Zone |
Modified Duration |
Assumed interest rate change (percentage points) |
1 |
0 ≤ 12 months |
1.00 |
2 |
> 12 months ≤ 3.6 years |
0.85 |
3 |
> 3.6 years |
0.70 |
Table: Capital charges relating to consolidated requirement components
This table belongs to BIPRU 8.7.11 R
Rules on which the consolidated requirement component are based (the applicable risk capital requirement) |
|
Table: Net underwriting position reduction factors
This table belongs to BIPRU 7.8.27R
Underwriting timeline |
Debt |
Equity |
|
Time of initial commitment until working day 0 |
0% |
100% |
90% |
0% |
90% |
90% |
|
0% |
75% |
75% |
|
0% |
75% |
75% |
|
0% |
50% |
50% |
|
0% |
25% |
25% |
|
Working day 6 and onwards |
0% |
0% |
0% |
Table: Appropriate position risk adjustment
This table belongs to BIPRU 7.6.7R
Underlying position |
|
The position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method) |
|
Interest rate |
The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position |
Debt securities |
The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in the table in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position |
18% (unless BIPRU 7.6.7R requires otherwise) |
|
Currency |
8% |
Gold |
8% |
32% (subject to BIPRU 7.6.6R and BIPRU 7.6.7R) |
Table: Derived positions
This table belongs to BIPRU 7.6.9R
Underlying |
Option (or warrant) |
Derived position |
Option (warrant) on a single equity or option on a future/forward on a single equity |
A notional position in the actual equity underlying the contract valued at the current market price of the equity. |
|
Option (warrant) on a basket of equities or option on a future/forward on a basket of equities |
A notional position in the actual equities underlying the contract valued at the current market price of the equities. |
|
Option (warrant) on an equity index or option on a future/forward on an equity index |
A notional position in the index underlying the contract valued at the current market price of the index. |
|
Interest rate |
A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the sum of the time to expiry of the contract and the length of the period on which the settlement amount of the contract is calculated valued at the notional amount of the contract. |
|
A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the length of the swap valued at the notional principal amount. |
||
Interest rate cap or floor |
A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the remaining period of the cap or floor valued at the notional amount of the contract. |
|
Debt securities |
Option (warrant) on a debt security or option on a future/forward on a debt security |
The underlying debt security with a maturity equal to the time to expiry of the option valued as the nominal amount underlying the contract at the current market price of the debt security. |
Option (warrant) on a basket of debt securities or option on a future/forward on a basket of debt securities |
A notional position in the actual debt securities underlying the contract valued at the current market price of the debt securities. |
|
Option (warrant) on an index of debt securities or option on a future/forward on an index of debt securities |
A notional position in the index underlying the contract valued at the current market price of the index. |
|
Option on a commodity or option on a future/forward on a commodity |
An amount equal to the tonnage, barrels or kilos underlying the option with (in the case of a future/forward on a commodity) a maturity equal to the expiry date of the forward or Futures contract underlying the option. In the case of an option on a commodity the maturity of the position falls into Band 1 in the table in BIPRU 7.4.28R (Table: Maturity bands for the maturity ladder approach). |
|
An amount equal to the tonnage, barrels or kilos underlying the option with a maturity equal to the length of the swap valued at the notional principal amount. |
||
(These provisions about CIUs are subject to BIPRU 7.6.35R) |
Option (warrant) on a single CIU or option on a future/forward on a single CIU |
A notional position in the actual CIU underlying the contract valued at the current market price of the CIU. |
Option (warrant) on a basket of CIUs or option on a future/forward on a basket of CIUs |
A notional position in the actual CIUs underlying the contract valued at the current market price of the CIUs. |
|
Gold |
An amount equal to the troy ounces underlying the option with (in the case of a future/forward on gold) a maturity equal to the expiry date of the forward or futures contract underlying the option. |
|
Currency |
Currency option |
The amount of the underlying currency that the firm will receive if the option is exercised converted at the spot rate into the currency that the firm will sell if the option is exercised. |
Table: Option strategies
This table belongs to BIPRU 7.6.14R
Option strategy (and an example) |
Notional option (and rule it must be treated under) |
Bull Spread (e.g. buy 100 call and sell 101 call) |
One purchased option (treat under BIPRU 7.6.20R) |
Bear Spread (e.g. sell 100 put and buy 101 put) |
One written option (treat under BIPRU 7.6.21R) |
Synthetic Long Call (e.g. long underlying and buy 100 put) |
One purchased option (treat under BIPRU 7.6.20R or BIPRU 7.6.24R) |
Synthetic Short Call (e.g. short underlying and sell 100 put) |
One written option (treat under BIPRU 7.6.21R or BIPRU 7.6.24R) |
Synthetic Long Put (e.g. short underlying and buy 100 call) |
One purchased option (treat under BIPRU 7.6.20R or BIPRU 7.6.24R) |
Synthetic Short Put (e.g. buy underlying and sell 100 call) |
One written option (treat under BIPRU 7.6.21R or BIPRU 7.6.24R) |
Long Straddle (e.g. buy 100 call and buy 100 put) |
One purchased option (treat under BIPRU 7.6.20R) |
Short Straddle (e.g. sell 100 call and sell 100 put) |
One written option (treat under BIPRU 7.6.21R but with no reduction for the amount the option is out of the money) |
Long Strangle (e.g. buy 101 call and buy 99 put) |
One purchased option (treat under BIPRU 7.6.20R) |
Short Strangle (e.g. sell 99 call and sell 101 put) |
One written option (treat under BIPRU 7.6.21R but with no reduction for the amount the option is out of the money) |
Long Butterfly (e.g. buy one 100 call, sell two 101 calls, and buy one 102 call) |
One purchased option (treat under BIPRU 7.6.20R) |
Short Butterfly (e.g. sell one 100 put, buy two 101 puts, and sell one 102 put) |
One written option (treat under BIPRU 7.6.21R but with no reduction for the amount the option is out of the money) |
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below.11
The applicable reporting frequencies for submission of data items and periods referred to in SUP 16.12.4 R are set out in the table below and are calculated from a firm'saccounting reference date, unless indicated otherwise.
The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period. 11
96 | the Society (note 1) |
||||
Frequency |
Submission deadline |
Description of data item |
Frequency |
Submission deadline |
|
Annual Lloyd's return |
Annually |
6 months after the Society'saccounting reference date |
|||
Syndicate accounts and reports (note 2) |
Annually |
6 months after the Society'saccounting reference date |
|||
Quarterly reporting statement |
Quarterly |
15 business days after the quarter end |
|||
Balance Sheet |
|||||
FSA001 (note89 20) or 13 |
Quarterly or half yearly |
(note 14) |
|||
FSA029 |
Quarterly (note 14) |
(note 14) |
|||
Income Statement |
|||||
FSA002 (note20), or 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
FSA030 |
Quarterly |
(note 14) |
|||
Capital Adequacy |
|||||
FSA003 (notes 4, 20) or |
Monthly, quarterly or half yearly (note 14) |
(note 14) |
|||
FSA033 (note 12) or |
Quarterly |
(note 14) |
|||
FSA034 (note 13) or |
Quarterly |
(note 14) |
|||
FSA035 (note 13) |
Quarterly |
(note 14) |
|||
Credit Risk |
|||||
FSA004 (notes 5, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
Market Risk |
|||||
FSA005 (notes 6, 20) 13 |
Quarterly or half yearly (note 14) |
(note 14) |
|||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Large Exposures |
|||||
1513 | Quarterly |
20 business days (note 19) |
|||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
13 | |||||
13 | 13 | 13 | |||
Note 1 |
The Society must prepare its reports in the format specified in IPRU(INS) Appendix 9.11, unless Note 2 applies. |
||||
Note 2 |
The Society must ensure that the annual syndicate accounts and reports are prepared in accordance with the Insurance Accounts Directive (Lloyd's Syndicate and Aggregate Accounts) Regulations 2008 (S.I. 2008/1950). |
||||
Note 3 |
[deleted]96 96 |
||||
Note 4 |
|||||
Note 5 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm. |
||||
Note 6 |
This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm. |
||||
Note 7 |
[deleted]13 13 |
||||
Note 8 |
[deleted]13 13 |
||||
Note 9 |
[deleted]13 13 |
||||
Note 10 |
[deleted]13 13 |
||||
Note 11 |
[deleted]13 13 |
||||
Note 12 |
FSA033 is only applicable to firms subject to IPRU(INV) 3.80 |
||||
Note 13 |
Only applicable to firms subject to IPRU(INV) 5. FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74, 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) 5.4.2R74. |
||||
Note 14 |
89All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission. 373737 |
||||
Note 15 |
[deleted]89 |
||||
Note 16 |
[deleted]13 13 |
||||
Note 17 |
[deleted]13 13 |
||||
Note 18 |
[deleted]13 13 |
||||
Note 19 |
UK consolidation group reports have 45 business days submission. |
||||
Note 20 |
Firms that are members of a UK consolidation group are also required to submit FSA001, FSA002, FSA003, FSA004, FSA005 and FSA008 on a UK consolidation group basis. |
||||
15Note 21 |
[deleted]89 373737 |
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:
Firms’prudential category and applicable data items (note 1) |
|||||
Firms other than MIFIDPRU investment firms |
|||||
IPRU(INV)Chapter 3 |
IPRU(INV)Chapter 5 |
IPRU(INV)Chapter 13 |
|||
Solvency statement |
No standard format (note 4) |
No standard format (note 6) |
No standard format (note 4) |
||
Balance sheet |
FSA029 (note 2) |
FSA029 (note 5) |
FSA029 |
Section A RMAR |
|
Income statement |
FSA030 (note 2) |
FSA030 (note 5) |
FSA030 |
Section B RMAR |
|
Capital adequacy |
MIF001 (note 2 and 3) |
FSA033 (note 5) |
FSA034 or FSA035 or FIN071 (note 7) |
Section D1 RMAR |
|
Supplementary capital data for collective portfolio management investment firms |
FIN067 (note 13) |
||||
ICARA assessment questionnaire |
MIF007 (note 3) |
||||
Threshold conditions |
Section F RMAR |
||||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR |
|
CFTC |
FSA040 (note 8) |
FSA040 (note 8) |
FSA040 (note 8) |
FSA040 (note 8) |
|
Liquidity |
MIF002 (notes 2, 3 and 10) |
||||
Metrics reporting |
MIF003 (notes 2 and 3) |
||||
Concentration risk (non-K-CON) |
MIF004 (notes 2, 3 and 11) |
||||
Concentration risk (K-CON) |
MIF005 (notes 2, 3 and 11) |
||||
Group capital test |
MIF006 (notes 3 and 12) |
||||
Liquidity Questionnaire |
MLA-M (note 9) |
MLA-M (note 9) |
MLA-M (note 9) |
MLA-M (note 9) |
|
Note 1 |
All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25G. |
||||
Note 2 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||||
Note 3 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||||
Note 4 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
||||
Note 5 |
Except if the firm is an adviser (as referred to in IPRU-INV (3)-60(4)R). |
||||
Note 6 |
Only required in the case of an adviser (as referred to in IPRU-INV (3)-60(4)R)) that is a sole trader. |
||||
Note 7 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R. |
||||
Note 8 |
Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange. |
||||
Note 9 |
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 the firm’sPart 4A permission was and remains subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts. |
||||
Note 10 |
Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6. |
||||
Note 11 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
||||
Note 12 |
Only applicable to a parent undertaking to which the group capital test applies. |
||||
Note 13 |
Only applicable to firms that are collective portfolio management investment firms. |
The applicable data items referred to in SUP 16.12.4 R are set out76 according to firm type76 in the table below:
Firms’ prudential category and applicable data items (note 1) |
|||||||
Firms other than MIFIDPRU investment firms |
|||||||
Chapter 3 |
Chapter 5 |
Chapter 11 |
Chapter 12 |
Chapter 13 |
|||
Solvency statement (note 2) |
No standard format |
No standard format |
No standard format |
||||
Balance sheet |
FSA029 (note 3) |
FSA029 |
FSA029 |
FSA029 |
FSA029 |
Section A RMAR |
|
Income statement |
FSA030 (note 3) |
FSA030 |
FSA030 |
FSA030 |
FSA030 |
Section B RMAR |
|
Capital adequacy |
MIF001 (note 3 and 4) |
FSA033 |
FSA034 or FSA035 or FIN071 (note 5) |
FIN066 |
FIN069 |
Section D1 RMAR |
|
ICARA assessment questionnaire |
MIF007 (note 4) |
||||||
Supplementary capital data for collective portfolio management investment firms |
FIN067 (note 9) |
||||||
Threshold conditions |
Section F RMAR |
||||||
Volumes and types of business |
FSA038 |
FSA038 |
FSA038 |
FSA038 |
|||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR |
|
Liquidity |
MIF002 (notes 3, 4 and 6) |
||||||
Metrics monitoring |
MIF003 (notes 3 and 4) |
||||||
Concentration risk (non-K-CON) |
MIF004 (notes 3, 4 and 7) |
||||||
Concentration risk (K-CON) |
MIF005 (notes 3, 4 and 7) |
||||||
Group capital test |
MIF006 (notes 4 and 8) |
||||||
Information on P2P agreements |
FIN070 |
||||||
Note 1 |
All firms, except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9, must, when submitting the completed data item required, 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 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
||||||
Note 3 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||||||
Note 4 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||||||
Note 5 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R. |
||||||
Note 6 |
Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU [6]. |
||||||
Note 7 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
||||||
Note 8 |
Only applicable to a parent undertaking to which the group capital test applies. |
||||||
Note 9 |
Only applicable to firms that are collective portfolio management investment firms. |
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) |
|||
Chapter 13 |
Firms that are also in one or more of RAGs 2 to 6 and not subject to IPRU(INV) Chapter 13 |
||
Solvency statement |
No standard format (note 2) |
||
Balance sheet |
FSA029 (note 3) |
Section A RMAR |
|
Income statement |
FSA030 (note 3) |
Section B RMAR |
|
Capital adequacy |
MIF001 (notes 3 and 6) |
Section D1 RMAR (note 9) |
|
Liquidity |
MIF002 (notes 3, 4 and 6) |
||
Metrics monitoring |
MIF003 (notes 3 and 6) |
||
Concentration risk (non-K-CON) |
MIF004 (notes 3, 5 and 6) |
||
Concentration risk (K-CON) |
MIF005 (notes 3, 5 and 6) |
||
Group capital test |
MIF006 (notes 6 and 8) |
||
ICARA assessment questionnaire |
MIF007 (note 6) |
||
Supplementary capital data for collective portfolio management investment firms |
FIN067 (note 10) |
||
Professional indemnity insurance (note 11)90 |
Section E RMAR |
Section E RMAR |
Section E RMAR |
Threshold conditions |
Section F RMAR |
||
Training and competence |
Section G RMAR |
Section G RMAR |
Section G RMAR |
COBS data |
Section H RMAR |
Section H RMAR |
Section H RMAR |
Client money and client assets |
Section C RMAR |
Section C RMAR |
|
Fees and levies |
Section J RMAR |
Section J RMAR |
|
Adviser charges |
Section K RMAR (note 7) |
Section K RMAR (note 7) |
Section K RMAR (note 7) |
Note 1 |
When submitting the completed data item required, a firm (except a MIFIDPRU investment firm in relation to an item reported under MIFIDPRU 9) must use the format of the data item set out in SUP 16 Annex 24R, or SUP 16 Annex 18AR in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25, or SUP 16 Annex 18BG in the case of the RMAR. |
||
Note 2 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
||
Note 3 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
||
Note 4 |
Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6. |
||
Note 5 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
||
Note 6 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
||
Note 7 |
This item only applies to firms that provide advice on retail investment products and P2P agreements. |
||
Note 8 |
Only applicable to a parent undertaking to which the group capital test applies. |
||
Note 9 |
Where a firm submits data items for both RAG 7 and RAG 9, the firm must complete Section D1. |
||
Note 10 |
Only applicable to firms that are collective portfolio management investment firms. |
||
Note 11 |
This item only applies94 to firms that are subject to an FCA requirement to hold professional indemnity insurance94. 90 |
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 items (note 1) |
|||||
Firms other than MIFIDPRU investment firms |
|||||
Chapter 3 |
Chapter 5 |
Chapter 13 |
|||
Solvency statement (note 2) |
No standard format |
||||
Balance sheet |
FSA029 (note 3) |
FSA029 |
FSA029 |
Section A RMAR |
|
Income statement |
FSA030 (note 3) |
FSA030 |
FSA030 |
Section B RMAR |
|
Capital adequacy |
MIF001 (notes 3 and 5) |
FSA033 |
FSA034 or FSA035 or FIN071 (note 4) |
Section D1 RMAR |
|
Liquidity |
MIF002 (notes 3 and 5) |
||||
Metrics monitoring |
MIF003 (notes 3 and 5) |
||||
Concentration risk (non-K-CON) |
MIF004 (notes 3, 5 and 7) |
||||
Concentration risk (K-CON) |
MIF005 (notes 3, 5 and 7) |
||||
Group capital test |
MIF006 (notes 5 and 6) |
||||
ICARA assessment questionnaire |
MIF007 (note 5) |
||||
Threshold conditions |
Section F RMAR (note 17) |
||||
Client money and client assets |
FSA039 |
FSA039 |
FSA039 |
Section C RMAR (note 13) or FSA039 |
|
Note 1 |
All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) when submitting the completed data item required, 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 |
Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner. |
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Note 3 |
A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation. |
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Note 4 |
FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R. |
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Note 5 |
Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9. |
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Note 6 |
Only applicable to a parent undertaking to which the group capital test applies. |
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Note 7 |
Only applicable to a non-SNI MIFIDPRU investment firm. |
Table: Types of CAD 1 model
This table belongs to BIPRU 7.9.6G
Options risk aggregation models |
Interest rate pre-processing models |
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Brief description and eligible instruments |
Analyse and aggregate options risks for:
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May be used to calculate duration weighted positions for:
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The output and how it is used in the PRR calculation |
Depending on the type of model and the requirements in the CAD 1 model waiver granted, the outputs from an options risk aggregation model are used as an input to the market risk capital requirement calculation. |
Depending on the type of model and the requirements in the CAD 1 model waiver granted, the individual sensitivity figures produced by this type of CAD 1 model are either input into the calculation of interest rate PRR under the interest rate duration method (see BIPRU 7.2.63R) or are converted into notional position and input into the calculation of interest rate PRR under the interest rate maturity method (see BIPRU 7.2.59R). |