Related provisions for BIPRU 13.1.2

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BIPRU 1.2.6RRP
Term trading-related repo-style transactions that a firm accounts for in its non-trading book may be included in the trading book for capital requirement purposes so long as all such repo-style transactions are included. For this purpose, trading-related repo-style transactions are defined as those that meet the requirements of BIPRU 1.2.4 R, BIPRU 1.2.10 R and BIPRU 1.2.12 R, and both legs are in the form of either cash or securities includable in the trading book. Regardless
BIPRU 1.2.6AGRP
2Capital requirements for term trading-related repo-style transactions are the same whether the risks arise in the trading book as counterparty credit risk or in the non-trading book as credit risk.
BIPRU 1.2.14RRP
(1) An internal hedge is a position that materially or completely offsets the component risk element of a non-trading bookposition or a set of position. Positions arising from internal hedges are eligible for trading book capital treatment, provided that they are held with trading intent and that the general criteria on trading intent and prudent valuation specified in BIPRU 1.2.12 R and the trading book systems and controls rules. In particular:(a) internal hedges must not be
BIPRU 1.2.16RRP
By way of derogation from 1BIPRU 1.2.14 R to BIPRU 1.2.15 R, when a firm hedges a non-trading book credit risk exposure using a credit derivative booked in its trading book (using an internal hedge), the non-trading book exposure is not deemed to be hedged for the purposes of calculating capital requirements unless the firm purchases from an eligible third party protection provider a credit derivative meeting the requirements set out in BIPRU 5.7.13 R (Additional requirements
BIPRU 1.2.17RRP
(1) Subject to (3), a firm may calculate its capital requirements for its trading book business in accordance with the standardised approach to credit risk (or, if it has an IRB permission, the IRB approach) as it applies to the non-trading book where the size of the trading book business meets the following requirements:(a) the trading book business of the firm does not normally exceed 5% of its total business;(b) its total trading bookposition do not normally exceed €15 million;
BIPRU 1.2.27RRP
A firm must have clearly defined policies and procedures for overall management of the trading book. At a minimum these policies and procedures must address:(1) the activities the firm considers to be trading and as constituting part of the trading book for capital requirement purposes;(2) the extent to which a position can be marked-to-market daily by reference to an active, liquid two-way market;(3) for positions that are marked-to-model, the extent to which the firm can:(a)
BIPRU 1.2.34GRP
Capital requirements for foreign currency risk and commodityposition risk are the same whether the risk arises in the trading book or the non-trading book. The calculation of capital requirements for foreign currency risk is set out in BIPRU 7.5. The calculation of capital requirements for commodityposition risk is set out in BIPRU 7.4.
BIPRU 1.2.36GRP
All positions that are not in a firm'strading book are included in its non-trading book and subject capital requirements for the non-trading book unless they are deducted from capital resources under GENPRU 2.2 (Capital resources).
BIPRU 14.2.17RRP
For the purposes of BIPRU 14.2.11 R, in relation to the recognition of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions netting across positions in the trading book and the non-trading book may only be recognised when the netted transactions fulfil the following conditions:(1) all transactions are marked to market daily;(2) any items borrowed, purchased
BIPRU 14.2.21RRP
For the purposes of counterparty credit risk, a firm may net exposures arising from items in the trading book against exposures arising from items in the non-trading book.
BIPRU 14.2.22RRP
Where a firm carries out netting under BIPRU 14.2.21 R, it must allocate the net exposure to:(1) the trading book for the purposes of the calculation under BIPRU 14.2.11 R, if the gross trading bookexposures exceed gross non-trading bookexposures; and(2) the non-trading book for the purposes of BIPRU 13, if the gross non-trading bookexposures exceed gross trading bookexposures.
BIPRU 14.2.23RRP
A firm may only net exposures under BIPRU 14.2.21 R if it continues to meet other GENPRU and BIPRU requirements applicable to the trading book or non-trading book in respect of those exposures.
BIPRU 14.2.24GRP
For example, in relation to BIPRU 14.2.23 R, collateral which is eligible only against trading bookexposures will not be applicable against non-trading bookexposures; and the large exposures limits on non-trading book positions will also remain applicable.
BIPRU 7.5.3RRP
A firm'sforeign currency PRR calculation must include the following items regardless of whether they are trading book or non-trading bookpositions:(1) all gold positions;(2) all spot positions in foreign currency (that is, all asset items less all liability items, including accrued interest, in the foreign currency in question);(3) all forward positions in foreign currency;(4) all CRD financial instruments and other items which are denominated in a foreign currency;(5) irrevocable
BIPRU 7.5.11RRP
(1) A firm must treat a foreign currencyforward, future, synthetic future or CFD as two notional currency positions as follows:(a) a long notional position in the currency which the firm has contracted to buy; and(b) a short notional position in the currency which the firm has contracted to sell.(2) In (1) the notional positions have a value equal to either:(a) the contracted amount of each currency to be exchanged in the case of a forward, future, synthetic future or CFD held
BIPRU 7.5.13RRP
(1) A firm must treat a foreign currencyswap as:(a) a long notional position in the currency in which the firm has contracted to receive interest and principal; and(b) a short notional position in the currency in which the firm has contracted to pay interest and principal.(2) In (1) the notional positions have a value equal to either:(a) the nominal amount of each currency underlying the swap if it is held in the non-trading book; or(b) the present value amount of all cash flows
GENPRU 2.2.85RRP
(1) Negative amounts, including any interim net losses (but in the case of a BIPRU investment firm, only material interim net losses), must be deducted from profit and loss account and other reserves.(2) For these purposes material interim net losses mean unaudited interim losses arising from a firm'strading book and non-trading book business which exceed 10% of the sum of its capital resources calculated at stage A (Core tier one capital)8 in the capital resources table.8(3)
GENPRU 2.2.219RRP
A reciprocal cross-holding means a holding of the BIPRU firm of shares, any other interest in the capital, and subordinated debt, whether in the trading or non-trading book, in:(1) a credit institution; or(2) a financial institution;that satisfies the following conditions:(3) the holding is the subject of an agreement or arrangement between the BIPRU firm and either the issuer of the instrument in question or a member of a group to which the issuer belongs;(4) under the terms
GENPRU 2.2.237RRP
A BIPRU firm calculating risk weighted exposure amounts under the IRB approach or the standardised approach to credit risk must deduct from its capital resources the following:1313(1) the exposure amount of securitisation positions which receive a risk weight of 1250% under BIPRU 9 (Securitisation), unless the firm includes the securitisation positions in its calculation of risk weighted exposure amounts (see BIPRU 9.10 (Reduction in risk-weighted exposure amounts)); and13(2)
BIPRU 14.4.1RRP
BIPRU 14.4 applies in respect of items in the trading book and the non-trading book.
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 item11

11

Firms' prudential category and applicable data items(note 1)15

BIPRU firms (note 17)2

Firmsother thanBIPRU firms

730K

125K and UCITS investment firms

50K

IPRU(INV)2Chapter 3

IPRU(INV)2Chapter 5

IPRU(INV)2Chapter 9

IPRU(INV)2Chapter 13

UPRU

Annual report and accounts11

11

No standard format

No standard format (note 19)2

No standard format2

No standard format3

11

No standard format3

Annual report and accounts11 of the mixed-activity holding company (note 10)

11

No standard format

Solvency statement

No standard format (note 11)

No standard format (note 20)

No standard format (note 11)2

No standard format (note 11)5

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA029 (note 18)112

FSA0292

11

FSA0292

FSA029 (note 1511)2 or Section A RMAR (note 1511)3

1111

FSA0292

11

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030 (note 18)2

11

FSA0302

11

FSA0302

FSA030 (note 1511)2 or Section B RMAR (note 1511)3

1111

FSA0302

11

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033 (note 18)2

11

FSA034 or FSA035 (note 14)2

11

FSA0312

FSA032 (note 15) 2 or Sections D1 and D2 RMAR (note 1511)3

1111

FSA0362

11

Credit risk

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 6)15

FSA008 (Notes 2, 6)15

FSA008 (Notes 2, 6)15

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA016 (note 25)11

FSA016 (note 25)11

FSA016 (note 25)11

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)

3Threshold conditions

Section F RMAR (Note 15)243

24

2Client money and client assets

FSA039

FSA039

FSA039

FSA039 (note 18)

FSA039

FSA039

Section C RMAR (Note 15)24 or 3FSA039

24

FSA039

2CFTC

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)11

FSA040

(note 24)113

6IRB portfolio risk

FSA045 (note 22)

FSA045 (note 22)

FSA045 (note 22)

6Securitisation: non-trading book15

FSA046 (note 23)

FSA046 (note 23)

FSA046 (note 23)

13Daily Flows

FSA047 (Notes 26, 29 , 31 and 33)21

21

13Enhanced Mismatch Report

FSA048 (Notes 26, 29, 31 and 33)21

21

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 27, 30, 31 and 33)21

21

13Funding Concentration

FSA051 (Notes 27, 30, 31 and 33)21

21

13Pricing data

FSA052 (Notes 27, 31, 33 and 34)2122

21

13Retail and corporate funding

FSA053 (Notes 27, 30, 31 and 33)21

21

13Currency Analysis

FSA054 (Notes 27, 30, 31 and 33)21

21

13Systems and Controls Questionnaire

FSA055 (Notes 28 and 33)21

21

15Securitisation: trading book

FSA058 (Note 32)

FSA058 (Note 32)

FSA058 (Note 32)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.

Note 2

Firms11 that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

1111

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.11

The11threshold is exceeded where 11data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant 11reporting date for the firm.

11111111

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.

The11 threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant 11reporting date for the firm11.

111111

Note 5

Only applicable to firms with a VaR model permission.11

1111

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part,either the standardised approach, alternative standardised approach, or advanced measurement approach underBIPRU 611

11

Note 8

Only applicable to BIPRU investment firms5 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; or11

(b) have been granted an investment firm consolidation waiver;or11

(c) are 11not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm5 under (a) must11complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11complete the report on the basis of its solo position.

111111

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date.

11

Note 10

Only applicable to a firm whose ultimate parent is a mixed activity holding company.

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

Members of a UK integrated group should only submit this data item at the UK integrated group level.

11

2Note 13

This does not apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

2Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.

2Note 15

FSA029, FSA030,24 FSA032 and FSA03924 only apply to 24a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1, 24D2 and F24 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11

11242424

2Note 16

[deleted]11

11

2Note 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.

2Note 18

Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R.

2Note 19

In the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R), it is only required from partnerships and bodies corporate, and then only if the report was audited as a result of a statutory provision other than under the Act.

2Note 20

Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader.

3Note 21

[deleted]11

11

6Note 22

Only applicable to firms that have an IRB permission.11

11

6Note 23

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations. of non-trading book exposures.15

15

11Note 24

Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.

11Note 25

Only applicable to a firm that has a solo consolidation waiver.

13Note 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.

13Note 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.

13Note 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.

13Note 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).

13Note 30

Note 29 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 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

15Note 32

Only applicable to firms that hold securitisation positions in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.2521

25

21Note 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 FSA054.22

22Note 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.

SUP 16.12.15RRP

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

Description of data item11

Firms'15 prudential category and applicable data items (note 1)

15

BIPRU

Firmsother than BIPRU firms

730K

125K andUCITS investment firms

50K

IPRU(INV)2Chapter 3

IPRU(INV)2Chapter 5

IPRU(INV)2Chapter 9

IPRU(INV)2Chapter 13

UPRU

Annual report and accounts11

11

No standard format8(note 13)11

Annual report and accounts11 of the mixed-activity holding company (note 10)

11

5

No standard format5

Solvency statement (note 11

5

No standard format2

No standard format5

No standard format5

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA029 2

11

FSA029 2

11

FSA0292

FSA029 (note 1511)2 or Section A RMAR (note 1511)5

1111

FSA029 (note 16)2

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA0302

11

FSA0302

11

FSA0302

FSA030 (note 15)2 or Section B RMAR (note 1511)5

1111

FSA030 (note 16)2

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA0332

11

FSA034 or FSA035 (note 14)2

11

FSA0312

Section D1 and D2 RMAR or FSA032 (note 15)11

11

FSA0362

11

Credit risk

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA01611 (note 20)11

FSA01611 (note 20)11

FSA01611 (note 20)11

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)

5Threshold conditions

Section F RMAR (note 1511)

11

2Volumes and type of business (note 21)11

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

2Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

Section C RMAR (note 1511) or 5FSA039

11

FSA03911

2Asset managers that use hedge fund techniques (note 21)11

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

FSA041

2UCITS (note 22)11

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

FSA042

6IRB portfolio risk

FSA045 (note 18)

FSA045 (note 18)

FSA045 (note 18)

6Securitisation: non-trading book15

FSA046 (note 19)

FSA046 (note 19)

FSA046 (note 19)

13Daily Flows

FSA047 (Notes 23, 26, 28 and 30)21

21

13Enhanced Mismatch Report

FSA048 (Notes 23, 26, 28 and 30)21

21

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 24, 27, 28 and 30)21

21

13Funding Concentration

FSA051 (Notes 24, 27, 28 and 30)21

21

13Pricing data

FSA052 (Notes 24, 28, 30 and 31)2122

21

13Retail and corporate funding

FSA053 (Notes 24, 27, 28 and 30)21

21

13Currency Analysis

FSA054 (Notes 24, 27, 28 and 30)21

21

13Systems and Controls Questionnaire

FSA055 (Notes 25 and 30)21

21

15Securitisation: trading book

FSA058 (Note 29)

FSA058 (Note 29)

FSA058 (Note 29)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

11

Note 3

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.

The11 threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting datefor the firm.11

11

Note 4

This applies to a firm that is required to submit data item FSA003 and at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded wheredata element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.11

11

Note 5

Only applicable to firms with a VaR model permission.11

11

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach11under BIPRU 63.

11

Note 8

Only applicable to BIPRU investment firms5 that :11

(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;or11

(b) have been granted an investment firm consolidation waiver;

or11

(c) are 11not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm5 under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11 complete the report on the basis of its solo position.

1111

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date.

11

Note 10

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

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

Members of a UK integrated group should only submit this data item at the UK integrated group level.

11

2Note 13

This data item is applicable to all firms in this table except a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11

11

2Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2)R.

2Note 15

FSA029, FSA030,2411 FSA032 and FSA039 only apply to24 a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

5Sections A, B, C, D1, 24D2 and F24 RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.11

242424

2Note 16

[deleted]8

8

5Note 17

[deleted]11

11

6Note 18

Only applicable to firms that have an IRB permission.11

11

6Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations of non-trading bookexposures15.

11Note 20

Only applicable to a firm that has a solo consolidation waiver.

11Note 21

Only applicable to firms that have a managing investments permission.

11Note 22

Only applicable to firms that have permission for establishing, operating or winding up a regulated collective investment scheme.

13Note 23

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 24

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 25

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.

13Note 26

(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).

13Note 27

Note 26 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 28

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

15Note 29

Only applicable to firms that hold securitisation positions in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.2521

25

21Note 30

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 FSA054.22

22Note 31

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.

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:

11Description ofData item

Firms'15 prudential category and applicable data item (note 1)

15

BIPRU 730K firm

BIPRU 125K firmandUCITS investment firm

BIPRU 50K firm

Exempt CAD firmssubject toIPRU(INV)Chapter 13

Firms(other thanexempt CAD firms) subject toIPRU(INV)Chapter 13

Firmsthat are also in one or more ofRAGs1 to 6 and not subject toIPRU(INV)Chapter 13

Annual report and accounts

No standard format

No standard format

Annual report and accounts of the mixed-activity holding company (note 10)

No standard format

Solvency statement

No standard format (note 11)

Balance Sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA02924

Section A RMAR

Income Statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA03024

24

Section B RMAR

Capital Adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA032

Section D1 and D2 RMAR

Credit risk

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

FSA004 (notes 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

UK integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA016

FSA016

FSA016

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)

Professional indemnity insurance (note 15)

Section E RMAR

Section E RMAR

Section E RMAR

Section E RMAR

Section E RMAR

Threshold Conditions

Section F RMAR

Section F RMAR

Training and Competence

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

COBS data

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Client money and client assets

Section C RMAR

Section C RMAR

Section C RMAR

Section C RMAR

Section C RMAR

Fees and levies

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR

IRB portfolio risk

FSA045 (note 13)

FSA045 (note 13)

FSA045 (note 13)

Securitisation: non-trading book15

FSA046 (note 14)

FSA046 (note 14)

FSA046 (note 14)

13Daily Flows

FSA047 (Notes 16, 19, 21 and 24)21

21

13Enhanced Mismatch Report

FSA048 (Notes 16, 19, 21 and 24)21

21

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 17, 20, 21 and 24)21

21

13Funding Concentration

FSA051 (Notes 17, 20, 21 and 24)21

21

13Pricing data

FSA052 (Notes 17, 20, 24 and 25)2122

21

13Retail and corporate funding

FSA053 (Notes 17, 20, 21 and 24)21

21

13Currency Analysis

FSA054 (Notes 17, 20, 21 and 24)21

21

13Systems and Controls Questionnaire

FSA055 (Notes 18 and 24)21

21

15Securitisation: trading book

FSA058 (Note 22)

FSA058 (Note 22)

FSA058 (Note 22)

Note 1

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R, or SUP 16 Annex 18A R in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G, or SUP 16 Annex 18B G in the case of the RMAR.

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 tine 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 any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded.

The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.

Note 5

Only applicable to firms with a VaR model permission.

Note 6

This will not be applicable to BIPRUlimited activity firms or BIPRUlimited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach under BIPRU 6.

Note 8

Only applicable to BIPRUinvestment firms that:

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or

(b) have been granted an investment firm consolidation waiver; or

(c) are not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm under (a) must complete the report on the basis of its UK consolidation group. A BIPRU investment 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

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.24

24

Note 12

Members of a UK integrated group should only submit this data item at the UK integrated group level.

Note 13

Only applicable to firms that have an IRB permission.

Note 14

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of15securitisations of non-trading bookexposures15.

Note 15

This item only applies to firms that are subject to an FSA requirement to hold professional indemnity insurance and are not exempt CAD firms.

13Note 16

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 17

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 18

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

13Note 19

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 20

Note 19 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 21

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.

15Note 22

Only applicable to firms that hold securitisation positions in the trading book and/25 or are the originator or sponsor of securitisations held in the trading book.2521

21Note 24

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.22

22Note 25

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

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:

Description of data item

Firms'15 prudential category and applicable data item(note 1)21

15

BIPRU

Firmsother thanBIPRU firms

730K

125K

50K

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 133

UPRU

Annual report and accounts11

11

No standard format8

Annual report and accounts11 of the mixed-activity holding company (note 10)

No standard format

Solvency statement (note 11)

No standard format

No standard format5

Balance sheet

FSA001 (note 2)

FSA001 (note 2)

FSA001 (note 2)

FSA029

11

FSA029

11

FSA029

Section A RMAR (note 17)5or FSA02911

11
11

Income statement

FSA002 (note 2)

FSA002 (note 2)

FSA002 (note 2)

FSA030

11

FSA030

11

FSA030

Section B RMAR (note 17)5or FSA03011

11

FSA030

11

Capital adequacy

FSA003 (note 2)

FSA003 (note 2)

FSA003 (note 2)

FSA033

11

FSA034 or FSA035 (note 14)

11

FSA03111

Section D1 and D2 RMAR (note 17)5 or FSA 032 (note 15)

11

FSA036

11

Credit risk

FSA004 (note 2, 3)

FSA004 (note 2, 3)

FSA004 (note 2, 3)

Market risk

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

FSA005 (notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

FSA006 (note 5)

Operational risk

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

FSA007 (notes 2, 6, 7)

Large exposures

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

FSA008 (Notes 2, 615)

15

UK Integrated group large exposures

FSA018 (note 12)

FSA018 (note 12)

FSA018 (note 12)

Solo consolidation data

FSA016

(note 20)11

FSA016

(note 20)11

FSA016

(note 20)11

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (note 8)

FSA019 (note 8)

Non-EEA sub-group

FSA028 (note 9)

FSA028 (note 9)

FSA028 (note 9)3

5Threshold conditions

Section F RMAR (note 17)

11

Client money and client assets11

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

Section C RMAR (Note 13) or 24FSA039

FSA03911

24

6IRB portfolio risk

FSA045 (note 18)

FSA045 (note 18)

FSA045 (note 18)

6Securitisation: non-trading book15

FSA046 (note 19)

FSA046 (note 19)

FSA046 (note 19)

13Daily Flows

FSA047 (Notes 21, 24, 26 and 28)21

21

13Enhanced Mismatch Report

FSA048 (Notes 21, 24, 26 and 28)21

21

13Liquidity Buffer Qualifying Securities

FSA050 (Notes 22, 25, 26 and 28)21

21

13Funding Concentration

FSA051 (Notes 22, 25, 26 and 28)21

21

13Pricing data

FSA052 (Notes 22, 26, 28 and 29)2122

21

13Retail and corporate funding

FSA053 (Notes 22, 25, 26 and 28)21

21

13Currency Analysis

FSA054 (Notes 22, 25, 26 and 28)21

21

13Systems and Controls Questionnaire

FSA055 (Notes 23 and 28)21

21

15Securitisation: trading book

FSA058 (Note 27)

FSA058 (Note 27)

FSA058 (Note 27)

Note 1:

When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

11

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.11

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.11

11

Note 4

This applies to a firm that is required to submit data item FSA003 and, at any time within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded.

In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. 11

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.11

11

Note 5

Only applicable to firms with a VaR model permission.11

11

Note 6

This will not be applicable to BIPRU limited activity firms or BIPRU limited licence firms unless they have a waiver under BIPRU 6.1.2 G.

Note 7

This is only applicable to a firm that has adopted, in whole or in part, either the standardised approach, alternative standardised approach, or advanced measurement approach11under BIPRU 6.3

11

Note 8

Only applicable to BIPRU investment firms5that :

(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; or11

(b) have been granted an investment firm consolidation waiver; or11

(c) are 11not subject to consolidated supervision under BIPRU 8.

A BIPRU investment firm5under (a) must11 complete the report on the basis of its UK consolidation group. A BIPRU investment firm5 under (b) or (c) must11 complete the report on the basis of its solo position.

1111111111

Note 9

This will be applicable to firms that are members of a UK consolidation group4 on the reporting date.

11

Note 10

Only applicable to a firm whose ultimate parent is a mixed-activity holding company.

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

Members of a UK integrated group should only submit this data item at the UK integrated group level.

11

Note 13

FSA039 must only be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section C RMAR must only be completed by a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.24

24

Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.2.3(2)R.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.2.3(2) R.

Note 15

FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

5

Note 16

[deleted]11

11

5Note 17

This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm.

6Note 18

Only applicable to firms that have an IRB permission.11

11

6Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of 15securitisations of non-trading bookexposures15.

15

11Note 20

Only applicable to a firm that has a solo consolidation waiver.

13Note 21

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

13Note 22

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

13Note 23

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

13Note 24

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

13Note 25

Note 24 applies, except that paragraph (3) does not apply, meaning that material currencies must not be recorded separately.

13Note 26

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15

15Note 27

Only applicable to firms that hold securitisation positions in the trading book and/25or are the originator or sponsor of securitisations held in the trading book.2521

25

21Note 28

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.22

22Note 29

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

BIPRU 11.5.17RRP
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 or capital resource requirements according to BIPRU 7.2.48A R to BIPRU 7.2.48K R4 must disclose the following information, where relevant separately for its trading book and non-trading book:4(1) a description of the firm's objectives in relation to securitisation activity;(1A) the nature of other risks, including liquidity risk inherent in securitised assets;4(1B) the type of risks in terms of seniority
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 9.1.9GRP
BIPRU 9 deals with:(1) requirements for investors,3originators and sponsors of securitisations of non-trading bookexposures;3(2) the calculation of risk weighted exposure amount for securitisation positions for the purposes of calculating either the credit risk capital component or the counterparty risk capital component; and3(3) the requirements that investors, originators and sponsors of securitisations in the trading book will have to meet (BIPRU 9.3.1AR, BIPRU 9.3.15R to BIPRU
BIPRU 7.6.3RRP
Except as permitted under BIPRU 7.6.5R, a firm'soption PRR calculation must include:(1) each trading bookposition in an option on an equity, interest rate or debt security;(2) each trading bookposition in a warrant on an equity or debt security;(3) each trading bookposition in a CIU; and(4) each trading book and non-trading bookposition in an option on a commodity, currency or gold.
BIPRU 7.6.5RRP

Table: Appropriate PRR calculation for an option or warrant

This table belongs to BIPRU 7.6.3R

Option type (see BIPRU 7.6.18R) or warrant

PRR calculation

American option, European option, Bermudan option, Asian option or warrant for which the in the money percentage (see BIPRU 7.6.6R) is equal to or greater than the appropriate PRA (see BIPRU 7.6.7R and BIPRU 7.6.8R)

Calculate either an option PRR, or the most appropriate to the underlying position of:

American option, European option, Bermudan option, Asian option or warrant:

Calculate an option PRR

All other types of option listed in BIPRU 7.6.18R (regardless of whether in the money, at the money or out of the money).

BIPRU 7.4.2RRP
A firm'scommodity PRR calculation must, regardless of whether the positions concerned are trading book or non-trading bookpositions:(1) include physical commoditypositions;(2) (if the firm is the transferor of commodities or guaranteed rights relating to title to commodities in a repurchase agreement or the lender of commodities in a commodities lending agreement) include such commodities;(3) include notional positions arising from positions in the instruments listed in the table
BIPRU 14.3.1RRP
BIPRU 14.3 applies in respect of items in the trading book and the non-trading book.
BIPRU 9.9.8RRP
(1) Where a firm has two or more overlapping positions in a securitisation the firm must, to the extent that the positions overlap, include in its calculation of risk weighted exposure amounts only the position, or portion of a position, producing the higher risk weighted exposure amounts. The firm may also recognise such an overlap between capital charges for specific risk in relation to positions in the trading book and capital charges for positions in the non-trading book,
BIPRU 5.7.4RRP
When a firm conducts an internal hedge using a credit derivative – i.e. hedges the credit risk of an exposure in the non-trading book with a credit derivative booked in the trading book – in order for the protection to be recognised as eligible for the purposes of BIPRU 4.10 or BIPRU 5 the credit risk transferred to the trading book must be transferred out to a third party or parties. In such circumstances, subject to the compliance of such transfer with the requirements for the
BIPRU 12.1.4RRP
(1) An exempt full scope BIPRU investment firm is a full scope BIPRU investment firm that at all times has total net assets which are less than or equal to £50 million.(2) In this rule, total net assets are the sum of a firm's total trading book assets and its total non-trading book assets, less the sum of its called up share capital, reserves and minority interests.(3) For the purpose of (2), the value attributed to each of the specified balance sheet items must be that which