Related provisions for MIPRU 4.2BA.37

BIPRU 4.9.2R01/01/2007

The following must be calculated in accordance with BIPRU 9 (Securitisation):(1) risk-weighted exposure amounts for securitisedexposures and for exposures belonging to the IRB exposure class referred to in BIPRU 4.3.2 R (6) (securitisation positions); and(2) the expected loss amounts for securitisedexposures.[Note: BCD Article 87(10) and Article 88(3)]

BIPRU 9.7.4G31/12/2011

2Where BIPRU 9.7.2R (5) applies to securitisation positions in an ABCP programme, the firm may be granted a waiver which allows it to use the risk weight assigned to a liquidity facility in order to calculate the risk weighted exposure amount for the positions in the ABCP programme, provided that the liquidity facility ranks pari passu with the positions in the ABCP programme so that they form overlapping positions and 100% of the commercial paper issued by the ABCP programme

SUP 16.12.11R01/01/2022

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

89Description of data item	Firms’prudential category and applicable data items (note 1)
	MIFIDPRU investment firms	Firms other than MIFIDPRU investment firms
	MIFIDPRU investment firms	IPRU(INV)Chapter 3	IPRU(INV)Chapter 5	91	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	91	Section A RMAR
Income statement	FSA030 (note 2)	FSA030 (note 5)	FSA030	91	Section B RMAR
Capital adequacy	MIF001 (note 2 and 3)	FSA033 (note 5)	FSA034 or FSA035 or FIN071 (note 7)	91	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	91	Section C RMAR
CFTC	FSA040 (note 8)	FSA040 (note 8)	FSA040 (note 8)	91	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)	91	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’s Part 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.

SUP 16.12.15R01/01/2022

The applicable data items referred to in SUP 16.12.4 R are set out76 according to firm type76 in the table below:

89Description of data item	Firms’ prudential category and applicable data items (note 1)
	MIFIDPRU investment firms	Firms other than MIFIDPRU investment firms
		IPRU(INV) Chapter 3	IPRU(INV) Chapter 5	91	IPRU(INV) Chapter 11 (collective portfolio management firms only)	IPRU(INV) Chapter 12	IPRU(INV) Chapter 13
Solvency statement (note 2)	No standard format		No standard format		No standard format
Balance sheet	FSA029 (note 3)	FSA029	FSA029	91	FSA029	FSA029	Section A RMAR
Income statement	FSA030 (note 3)	FSA030	FSA030	91	FSA030	FSA030	Section B RMAR
Capital adequacy	MIF001 (note 3 and 4)	FSA033	FSA034 or FSA035 or FIN071 (note 5)	91	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	91	FSA038		FSA038
Client money and client assets	FSA039	FSA039	FSA039	91	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.

SUP 16.12.22AR30/09/2022

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

89Description of data item	Firms’ prudential category and applicable data item (note 1)
89Description of data item	MIFIDPRU investment firms	Firms subject to IPRU(INV) 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

SUP 16.12.25AR01/01/2022

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

89Description of data item	Firms’ prudential category and applicable data items (note 1)
	MIFIDPRU investment firms	Firms other than MIFIDPRU investment firms
	MIFIDPRU investment firms	IPRU(INV) Chapter 3	IPRU(INV) Chapter 5	91	IPRU(INV) Chapter 13
Solvency statement (note 2)	No standard format
Balance sheet	FSA029 (note 3)	FSA029	FSA029	91	Section A RMAR
Income statement	FSA030 (note 3)	FSA030	FSA030	91	Section B RMAR
Capital adequacy	MIF001 (notes 3 and 5)	FSA033	FSA034 or FSA035 or FIN071 (note 4)	91	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	91	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.
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	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 5	Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.
Note 6	Only applicable to a parent undertaking to which the group capital test applies.
Note 7	Only applicable to a non-SNI MIFIDPRU investment firm.

BIPRU 3.5.5G01/01/2021

Table : Simplified method of calculating risk weights

This table belongs to BIPRU 3.5.4 G.

Exposure class	Exposure sub-class	Risk weights	Comments
Central government	Exposures to United Kingdom government or Bank of England in sterling	0%
	3	3	3
	3	3
	3	3	3
	Exposures to central governments or central banks of certain countries outside the UK 3 in currency of that country	See next column	The risk weight is whatever it is under local law. See BIPRU 3.4.6 R for precise details.
	3	3
	Other exposures	100%
Regional/local governments	Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in sterling	0%
	3	3	3
	3	3	3
	3	3	3
	Exposures to local or regional governments of certain countries outside the UK 3 in currency of that country	0%	See BIPRU 3.4.19 R for details of type of local/regional government covered. See Note.3
	Exposures to United Kingdom local/regional government in sterling3 if the exposure has original effective maturity of 3 months or less	20%
	3	3	3
	Exposures to local or regional governments of countries outside the UK 3 in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note.3
	Other exposures	100%
PSE	Exposures to a PSE of the United Kingdom if that PSE is guaranteed by central government and if the exposure is in sterling3.	0%	BIPRU 3.4.24 R describes the United Kingdom PSEs covered3.
	Exposures to PSE of a country outside the UK 3 if that PSE is guaranteed by the country's central government and if the exposure is in currency of that country.	0%	See BIPRU 3.4.26 R and Note.3
	Exposures to a PSE of the United Kingdom in sterling3 if the exposure has original effective maturity of 3 months or less	20%
	3	3	3
	Exposures to PSE of a country outside the UK 3 in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note3.
	Other exposures	100%
Multilateral development banks	Exposures to multilateral development banks listed in paragraph (1) of the Glossary definition	0%	Simplified approach does not apply. Normal rules apply.
Multilateral development banks	Other exposures	Various	Treated as an institution
EU 2, The3 International Monetary Fund and the Bank for International Settlements 2		0%	Simplified approach does not apply. Normal rules apply.
Institutions	Exposures to United Kingdom institution in sterling with original effective maturity of three months or less	20%
	3	3	3
	3	3
	3	3	3
	Exposures to institution with a head office in a country outside the UK 3 in the currency of that country with original effective maturity of three months or less	20%	See Note3.
	Exposures to United Kingdom institution in sterling with original effective maturity of over three months	50%
	3	3	3
	3 1	3
	3 1	3	3
	Exposures to institution with a head office in a country outside the UK 3 in the currency of that country with original effective maturity of over three1 months	50%	See Note3.
	Other exposures	100%
Corporates		100%
Retail exposures		75%	Simplified approach does not apply. Normal rules apply.
Mortgages on residential or commercial property		Various	Simplified approach does not apply. Normal rules apply.
Past due items		Various	Simplified approach does not apply. Normal rules apply.
High risk items		150%	Simplified approach does not apply. Normal rules apply.
Covered bonds		Various	Risk weights are based on the risk weight of issuer as described in BIPRU 3.4.110 R. The risk weight of the issuer for this purpose should be calculated under the simplified approach.
Securitisation exposures		Generally 1250%. May look through to underlying exposures if BIPRU 9 allows.	Use the BIPRU 9rules for unrated exposures under the standardised approach
Short term exposures with rating			See BIPRU 3.4.112 R. Not applicable as uses ECAI ratings.
CIUs	May look through to underlying under BIPRU 3.4.123 R	Various	Simplified approach does not apply. Normal rules apply. May use simplified approach to underlying if simplified approach applies to underlying.
	May use average risk weight under BIPRU 3.4.124 R	Various	Simplified approach does not apply. Normal rules apply. May use simplified approach to underlyings if simplified approach applies to underlying.
	High risk under BIPRU 3.4.118 R	150%	Simplified approach does not apply. Normal rules apply.
	Others	100%
Other items under BIPRU 3.2.9 R (16)		Various	Simplified approach does not apply. Normal rules apply.
Note3: The risk weight should not be lower than the risk weight that applies for national currency exposures of the central government of the third country in question under BIPRU 3.5. That means that this risk weight only applies if the third country is one of those to which BIPRU 3.4.6 R (Preferential risk weight for exposures of the central government of countries outside the UK 3 that apply equivalent prudential standards) applies.
3
3

BIPRU 9.2.1R01/01/2007

(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

BIPRU 2.2.31G01/01/2007

A firm should assess its exposure to risks transferred through the securitisation of assets should those transfers fail for whatever reason. A firm should consider the effect on its financial position of a securitisation arrangement failing to operate as anticipated or of the values and risks transferred not emerging as expected.

Related provisions for MIPRU 4.2BA.37

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