Related provisions for BIPRU 7.10.30

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BIPRU 7.10.1RRP
BIPRU 7.10 applies to a firm with a VaR model permission.
BIPRU 7.10.6GRP
A firm should not use the VaR model approach to calculate PRR unless it has a VaR model permission. If a firm does not have such a permission it should use the standard market risk PRR rules. Therefore, a firm needs to apply for a VaR model permission in order to calculate its PRR using a VaR model instead of (or in combination with) the standard market risk PRR rules.
BIPRU 7.10.7GRP
A waiver or other permission allowing the use of models in the calculation of PRR will be considered with regards to CAD and any VaR model permission which is granted will be considered with regards to CAD.4 Accordingly, the appropriate regulator is likely only to grant a waiver or other permission allowing the use of models in the calculation of PRR if it is a VaR model permission or a CAD 1 model waiver.
BIPRU 7.10.8GRP
BIPRU 7.10 sets out the minimum standards that the appropriate regulator expects firms to meet before granting a VaR model permission. The appropriate regulator will not grant a VaR model permission unless it is satisfied that the requirements of BIPRU 7.10 are met and it is satisfied about the procedures in place at a firm to calculate the model PRR. In particular the appropriate regulator will not normally grant a VaR model permission unless it is satisfied about the quality
BIPRU 7.10.9GRP
The appropriate regulator recognises that the nature of VaR models will vary between firms. The scope of and the requirements and conditions set out in a VaR model permission may therefore differ in substance or detail from BIPRU 7.10 in order to address individual circumstances adequately. The FCA will consider any differences by having regard to the CAD.4 A VaR model permission will implement any such variation by modifying BIPRU 7.10. A VaR model permission may also include
BIPRU 7.10.10GRP
Details of the general process for applying for a VaR model permission are set out in BIPRU 1.3 (Applications for advanced approaches). Because of the complexity of a VaR model permission, it is recommended that a firm discuss its proposed application with its usual contact at the appropriate regulator before it makes the application.
BIPRU 7.10.11GRP
In order for a VaR model permission to be granted, the appropriate regulator is likely to undertake a review to ensure that it is adequate and appropriate for the PRR calculation.
BIPRU 7.10.12GRP
The VaR model review process may be conducted through a series of visits covering various aspects of a firm's control and IT environment. Before these visits the appropriate regulator may ask the firm to provide some information relating to the firm'sVaR model permission request accompanied by some specified background material. The VaR model review visits are organised on a timetable that allows the firm being visited sufficient time to arrange the visit and provide the appropriate
BIPRU 7.10.13GRP
As part of the process for dealing with an application for a VaR model permission the following may be reviewed: organisational structure and personnel; details of the firm's market position in the relevant products; revenue and risk information; valuation and reserving policies; operational controls; information technology systems; model release and control procedures; risk management and control framework; risk appetite and limit structure; future developments relevant to model
BIPRU 7.10.15GRP
The appropriate regulator may complement its own review of a VaR model permission request with one or more reviews by a skilled person under section 166 of the Act (Reports by skilled persons). Such a review may also be used where a VaR model permission has been granted to ensure that the requirements BIPRU 7.10 and of the VaR model permission continue to be met.
BIPRU 7.10.18RRP
A firm must use the VaR model approach to calculate the PRR for a position:(1) to the extent that the risks in relation to that position are within the scope of the VaR model permission (see BIPRU 7.10.136R (Link to standard PRR rules: Incorporation of the model output into the capital calculation)); and(2) if the position is of a type that comes within the scope of the VaR model permission.
BIPRU 7.10.19GRP
In accordance with BIPRU 7.10.18R (1) a VaR model permission will set out the risk categories that it covers, which are expected to be one or more of the following types:(1) interest rate general market risk;(2) interest rate specific risk (in conjunction with interest rate general market risk);(3) equitygeneral market risk;(4) equityspecific risk (in conjunction with equitygeneral market risk);(5) CIU risk;(6) foreign currency risk; and(7) commodity risk.
BIPRU 7.10.20GRP
A VaR model permission will generally set out the broad classes of position within its scope. It may also specify how individual products within one of those broad classes may be brought into or taken out of the scope of the VaR model permission.
BIPRU 7.10.22GRP
The categorisation described in BIPRU 7.10.21G may be amended or replaced in the case of a particular firm'sVaR model permission.
BIPRU 7.10.28RRP
In calculating the VaR number, a firm must either use a ten business day holding period, or use a holding period converted to a ten business day holding period. However if the firm'sVaR model permission specifies that the firm must use a specific method, the firm must do so.
BIPRU 7.10.30ARRP
3The stressed VaR measure must be based on inputs calibrated to historical data from a continuous twelve-month period of significant financial stress relevant to the firm's portfolio. The choice of that historical period will be subject to the appropriate regulator's approval and will form part of a firm'sVaR model permission.
BIPRU 7.10.33RRP
(1) If a weighting scheme or other similar method is used to calculate VaR numbers, then the effective observation period must be at least one year. Where a weighting scheme is used, the weighted average time lag of the individual observations must not be less than six Months.(2) If a specific observation period or weighted average time lag is specified in a firm'sVaR model permission, the firm must comply with that if it is longer than the period specified in (1).(3) However,
BIPRU 7.10.34RRP
A firm must update data sets in accordance with the frequency set out in its VaR model permission. If volatility in market prices or rates necessitates more frequent updating in order to ensure a prudent calculation of the VaR measure the firm must do so.
BIPRU 7.10.35GRP
The minimum updating frequency for the current VaR measure3 that can be specified in a VaR model permission is monthly.33
BIPRU 7.10.36RRP
The process for determining and implementing correlations within and across risk categories must be sound, implemented with integrity and consistent with the terms of the firm'sVaR model permission.
BIPRU 7.10.37RRP
In aggregating VaR measures across risk or product categories, a firm must not use the square root of the sum of the squares approach unless the assumption of zero correlation between these categories is empirically justified. If correlations between risk categories are not empirically justified, the VaR measures for each category must simply be added in order to determine its aggregate VaR measure. But to the extent that a firm'sVaR model permission provides for a different way
BIPRU 7.10.38GRP
Subject to BIPRU 7.10.53R (Model standards: Materiality), a VaR model should capture and accurately reflect all material risks arising on the underlying portfolio on a continuing basis insofar as those risks are within the scope of the VaR model permission. This should encompass general market risk and, to the extent that this comes within the scope of the VaR model permission, specific risk. A firm should ensure that the VaR model has sufficient risk factor granularity to be
BIPRU 7.10.39BRRP
3A firm with a VaR model permission must justify to the appropriate regulator any omissions of risk factors from its VaR model, if they are included in its pricing model.
BIPRU 7.10.45GRP
(1) This paragraph contains guidance on the inclusion of CIUs in a VaR model.(2) The appropriate regulator may allow all types of CIU to be included within the scope of a firm'sVaR model permission.(3) BIPRU 7.10 does not distinguish between specific risk and general market risk for positions in CIUs. Therefore even if specific risk is not otherwise included within the scope of a firm'sVaR model permission, a firm should be able to demonstrate that its VaR model captures specific
BIPRU 7.10.53RRP
A firm'sVaR model must capture accurately all material price risks for positions within the scope of its VaRpermission, including risks relating to options or option-like positions. The firm must ensure that, if its VaR model does not accurately capture any material risk, the firm has capital resources adequate to cover that risk. These capital resources must be additional to those required to meet its capital resources requirement.
BIPRU 7.10.55BRRP
3The incremental risk charge must cover all positions which are subject to a capital charge for interest-rate specific risk in accordance with the firm'sVaR model permission, except securitisationpositions and nth-to-default credit derivatives. Where permitted by its VaR model permission, a firm may choose consistently to include all listed equity positions and derivativespositions based on listed equities for which that inclusion is consistent with how the firm internally measures
BIPRU 7.10.55TRRP
3As part of its VaR model permission, the appropriate regulator may authorise a firm to use the all price risk measure to calculate an additional capital charge in relation to positions in its correlation trading portfolio if it meets the following minimum standards:(1) it adequately captures all price risks at a 99.9% confidence interval over a capital horizon of one year under the assumption of a constant level of risk, and adjusted, where appropriate, to reflect the impact
BIPRU 7.10.57GRP
A firm should be able to demonstrate that it meets the risk management standards set out in the VaR model permission on a legal entity basis. This is particularly important for a subsidiary undertaking in a group subject to matrix management where the business lines cut across legal entity boundaries.
BIPRU 7.10.92GRP
It is a condition for granting a VaR model permission that a firm should have a backtesting programme in place and should provide three months of backtesting history.
BIPRU 7.10.94RRP
A firm must have the capacity to analyse and compare its profit and loss figures3 and hypothetical profit and loss figures3 to the VaR measure, both at the level of the whole portfolio covered by the VaR model permission and at the level of individual books that contain material amounts of risk.33
BIPRU 7.10.100RRP
The profit and loss figure3 for a particular business day is the firm's actual profit or loss for that day in respect of the trading activities within the scope of the firm'sVaR model permission, adjusted by stripping out:3(1) fees and commissions;(2) brokerage;(3) additions to and releases from reserves which are not directly related to market risk (e.g. administration reserves); and(4) any inception profit exceeding an amount specified for this purpose in the firm'sVaR model
BIPRU 7.10.101GRP
The definition of profit and loss figure may be amended or replaced in an individual VaR model permission if the firm can demonstrate to the appropriate regulator that the alternative method meets the spirit and purpose of the provisions in BIPRU 7.10 about the profit and loss figure.33
BIPRU 7.10.102GRP
The appropriate regulator will review as part of a firm'sVaR model permission application the processes and documentation relating to the derivation of profit and loss used for backtesting. A firm's documentation should clearly set out the basis for cleaning profit and loss. To the extent that certain profit and loss elements are not updated every day (for example certain reserve calculations) the documentation should clearly set out how such elements are included in the profit
BIPRU 7.10.103RRP
A backtesting exception is deemed to have occurred for any business day if the hypothetical profit and loss figure3 for that business day shows a loss, which in absolute magnitude, exceeds the one-day VaR measure for that business day. The only exception is if that business day is identified in the firm'sVaR model permission as giving rise to an excluded backtesting exception.3
BIPRU 7.10.106GRP
(1) This paragraph gives guidance on the process for excluding backtesting exceptions as referred to in BIPRU 7.10.103R.(2) The appropriate regulator will respond flexibly to backtesting exceptions. However, the appropriate regulator's starting assumption will be that a backtesting exception should be taken into account for the purpose of the calculation of plus factors. If the firm believes that a backtesting exception should not count for that purpose, then it should seek a
BIPRU 7.10.107RRP
If a firm'sVaR model permission covers specific risk, the firm must validate its VaR model through backtesting aimed at assessing whether specific risk is being accurately captured. This backtesting must be carried out in accordance with the provisions of its VaR model permission. If the VaR model permission provides for this backtesting to be performed on the basis of relevant sub-portfolios, these must be chosen in a consistent manner.
BIPRU 7.10.108GRP
Specific risk backtesting involves the backtesting of a standalone specific riskVaR measure against a profit and loss series determined by reference to exposure risk factors categorised as specific risk. Alternatively specific risk backtesting may take the form of regular backtesting of trading books and portfolios that are predominantly exposed to risk factors categorised as specific risk. The precise requirements for specific risk backtesting will be specified in the firm'sVaR
BIPRU 7.10.110GRP
Where backtesting reveals severe problems with the basic integrity of the VaR model, the appropriate regulator may withdraw model recognition. In particular, if ten or more backtesting exceptions are recorded in a 250 business day period, the appropriate regulator may apply a plus factor greater than one or the appropriate regulator may consider revoking a firm'sVaR model permission. The appropriate regulator may also consider revoking a firm'sVaR model permission if ten or more
BIPRU 7.10.112AGRP
3The definition of hypothetical profit and loss figure may be amended or replaced in an individual VaR model permission if the firm can demonstrate to the appropriate regulator that the alternative method meets the spirit and purpose of the provisions in BIPRU 7.10 about the hypothetical profit and loss figure.
BIPRU 7.10.113RRP
The model PRR is, for any business day (the "relevant" business day), calculated in accordance with the following formula:(1) the higher of:(a) the VaR number for the relevant business day; and(b) the average of its daily VaR numbers for each of the 60 business days ending with the relevant business day, multiplied by the multiplication factor for the relevant business day; and(2) (in the case of a VaR model permission that covers specific risk) the higher of:33(a) the incremental
BIPRU 7.10.115RRP
The VaR number for any business day means the VaR measure, in respect of the previous business day's close-of-business positions in products coming within the scope of the VaR model permission, calculated by the VaR model and in accordance with BIPRU 7.10 and any methodology set out in the VaR model permission. The VaR number must not be calculated taking into account matters on the business day for which it is the VaR number.
BIPRU 7.10.120GRP
The minimum multiplication factor, for VaR and stressed VaR,3 will never be less than three. If the appropriate regulator does set the minimum multiplication factor, for VaR and stressed VaR,3 above three the VaR model permission will have a table that sets out the reasons for that add on and specify how much of the add on is attributable to each reason (see BIPRU 7.10.121R). If there are weaknesses in the VaR model that may otherwise be considered a breach of the minimum standards
BIPRU 7.10.121RRP
Something that would otherwise be a breach of the minimum standards in BIPRU 7.10.26R - BIPRU 7.10.53R is not a breach to the extent that that thing is identified in the firm'sVaRpermission as a reason for an increase in the minimum multiplication factor, for VaR and stressed VaR,3 above 3.3
BIPRU 7.10.122GRP
Typically, any add on will be due to a specific weakness in systems and controls identified during the appropriate regulator's review that the appropriate regulator does not consider material enough to justify withholding overall model recognition. The firm will be expected to take action to address the reasons for any add on. The appropriate regulator will then review these periodically and, where satisfactory action has been taken, the add on will be removed through a variation
BIPRU 7.10.128GRP
A VaR model permission will contain requirements for what the firm should report to the appropriate regulator and the procedures for reporting. The precise requirements will vary from VaR model permission to VaR model permission. BIPRU 7.10.129R-BIPRU 7.10.130R set out what the appropriate regulator regards as the standard requirements.
BIPRU 7.10.129RRP
A firm must, no later than the number of business days after the end of each quarter specified in the VaR model permission for this purpose, submit, in respect of that quarter, a report to the appropriate regulator about the operation of the VaR model, the systems and controls relating to it and any changes to the VaR model and those systems and controls. Each report must outline as a minimum the following information in respect of that quarter:(1) methodological changes and developments
BIPRU 7.10.131GRP
The VaR model permission will generally contain a list of the following:(1) feeder systems and pre-processing systems;(2) products covered by the VaR model permission; and(3) the firm's internal documentation in relation to the VaR model.
BIPRU 7.10.132GRP
The information in BIPRU 7.10.131G will vary over time. It is therefore not included in a VaR model permission as a rule but for information only. The appropriate regulator will update that information regularly in accordance with information supplied under BIPRU 7.10.129R. That updating will not amount to a variation of the VaR model permission.
BIPRU 7.10.133GRP
A VaR model permission will modify GENPRU 2.1.52 R (Calculation of the market risk capital requirement) to provide that a firm should calculate its market risk capital requirement in accordance with BIPRU 7.10 to the extent set out in the VaR model permission.
BIPRU 7.10.134GRP
By modifying GENPRU 2.1.52 R (Calculation of the market risk capital requirement) to allow the firm to use the VaR model to calculate all or part of its PRR for certain positions, the appropriate regulator is treating it like an application rule. The modification means that the PRR calculation set out in BIPRU 7.10 supersedes the standard market risk PRR rules for products and risks coming within the scope of the VaR model permission.
BIPRU 7.10.135RRP
To the extent that a position does not fall within the scope of a firm'sVaR model permission the firm must calculate the PRR under the standard market risk PRR rules1 or, as applicable, those provisions as modified by the firm'sCAD 1waiver.
BIPRU 7.10.136RRP
(1) This rule applies to a position of a type that comes within the scope of a firm'sVaR model permission.(2) Subject to BIPRU 7.10.136A R, if, 3where the standard market risk PRR rules apply, a position is subject to a PRR charge and the firm'sVaR model permission says that it covers the risks to which that PRR charge relates, the firm must, for those risks, calculate the PRR for that position under the VaR model approach rather than under the standard market risk PRR rules.3(3)
BIPRU 7.10.141GRP
The treatment of a convertible is an example of a situation in which BIPRU 7.10.140R applies. The table in BIPRU 7.3.3R (Table: Instruments which result in notional positions) shows that there are circumstances in which under the standard market risk PRR rules a firm should calculate an equity PRR and that there are circumstances in which a firm may choose between calculating an equity PRR and an interest rate PRR. BIPRU 7.10.140R would be relevant if a firm'sVaR model permission
BIPRU 7.10.142RRP
The standard market risk PRR rules for the option PRR are only disapplied to the extent that the derived positions arising under BIPRU 7.6.13R (Table: Derived positions) come within the scope of the VaR model permission.
BIPRU 7.10.143RRP
If a firm'sVaR model permission covers interest rate general market risk but not interest rate specific risk, the firm must calculate the interest rate PRR so far as it relates to interest rate specific risk in accordance with the standard market risk PRR rules except that the firm must not use the basic interest rate PRR calculation in BIPRU 7.3.45R (Basic interest rate calculation for equity instruments).
BIPRU 7.10.144RRP
If a firm'sVaR model permission covers equitygeneral market risk but not equityspecific risk, the firm must calculate the equity PRR so far as it relates to equityspecific risk in accordance with the standard market risk PRR rules except that the PRR for equityspecific risk must be calculated under the standard equity method.
BIPRU 7.10.145RRP
(1) To the extent that a firm'sVaR model permission does not allow it to use an approach set out in BIPRU 7.10 the relevant provisions in BIPRU 7.10 do not apply to that firm.(2) If a provision of the Handbook refers to BIPRU 7.10, that reference must, in the case of a particular firm with a VaR model permission, be treated as excluding provisions of BIPRU 7.10 that do not apply under the VaR model permission and as taking into account any modifications to BIPRU 7.10 made by the
BIPRU 7.10.147GRP
If a firm ceases to meet any of the requirements set out in BIPRU 7.10, the appropriate regulator's policy is that the VaR model permission should cease to have effect. In part this will be achieved by making it a condition of a firm'sVaR model permission that it complies at all times with the minimum standards referred to in BIPRU 7.10.26R - BIPRU 7.10.53R. Even if they are not formally included as conditions, the appropriate regulator is likely to consider revoking the VaR model
BIPRU 7.10.148RRP
If a firm ceases to meet the conditions or requirements in its VaR model permission or BIPRU 7.10 it must notify the appropriate regulator at once.
BIPRU 7.10.149RRP
A firm may change its VaR model to such extent as it sees fit, except that it must not make a change that (either on its own or together with other changes since the date of VaR model permission) would:(1) be inconsistent with VaR model permission or BIPRU 7.10; or(2) mean that backtesting in accordance with BIPRU 7.10 and the VaR model permission would result in the use of data that is inappropriate for the purposes of measuring the performance of the VaR model.
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:

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 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’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.
SUP 16.12.15RRP

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 16.12.22ARRP

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)

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 16.12.25ARRP

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

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.