IFPRU 11 Annex 2 Information for resolution plans

R

Part A: Corporate structure and material legal entity information

(1) Where an RRD institution’s parent organisation is a UK incorporated entity, a firm or qualifying parent undertaking should provide the information in Part A for all material legal entities and branches that form part of the group, both domestic and international, that provide the economic functions identified in Part B below. 1

(2) Where an RRD institution’s parent organisation is incorporated outside the United Kingdom, a firm or qualifying parent undertaking should only provide the information required in Part A for: 1

UK subsidiaries (and any associated overseas branches); 1

UK branches of any overseas subsidiaries; and1

• material interdependencies with non-UK persons in the group.1

No

Heading

Required data/Detail required [1]

1

Group structure and key information on legal entities

1.1

Group structure

An overview diagram of the material legal entities of the group and the ownership structure.

Group structure charts identifying:

• the material legal entities in the group;

• the jurisdiction of those entities;

• the relative size of those entities, by showing amount of revenue generated in each entity, assets and total risk exposure amounts held in each entity; and

• the total number of material legal entities in the group.

Group consolidated P&L and balance sheet, with the assets broken down between the trading book and non-trading book.

1.2

Use of branches and subsidiaries

Provide the following data and analysis for material legal entities.

Commentary on the approach to using branches and/or subsidiaries in different geographies.

For each key geography that represents material revenues, profits or activity for the firm:

• a list of branches and subsidiaries; and

• a description of the business undertaken in each branch or subsidiary; and

• key business metrics and summary P&L and balance sheets on a solo basis, where applicable.

2

Business model

2.1

Core business lines

Give an overview of the firm's business model. Identify the business lines which are core to the group's operations and profitability and explain their activities. Highlight if a branch or subsidiary is material in the local market or critical to the group.

For each core business line, the analysis should include the following.

• An explanation of the main operations with P&L and balance sheet for each business line.

• The locations where the business line operates and corresponding analysis, eg, geographic breakdown of revenue, total operating costs, impairments, profit before tax and assets, as well as the client base and jurisdictions by level of activity. Provide an overview of the branch network and any services provided to clients, customers or other market participants.

• For each material branch or subsidiary, provide an indication of the exposures to each counterparty or group of connected counterparties that constitute a material part of that entity’s total exposures.

• Provide an indication of the franchise value of each business line, eg, where a business line provides networks, international linkages or access to markets which are critical for the overall franchise of the firm.

• An explanation of the governance structure and division of powers between group HQ and core business lines.

• An explanation of how the business line is organised within the group, including a high-level overview of the interaction with other areas and service areas (provide metrics, eg, revenue, P&L where material cross-selling occurs). Is the business line standalone or highly interwoven with the rest of the group?

3

Capital and funding

3.1

Capital allocation and mobility

For each material legal entity:

• the amount of capital required to support each material legal entity;

• the amount of capital currently allocated to each entity;

• an explanation of the method of capital provision to each entity; and

• details of any maintenance and/or repatriation back to the ultimate parent entity (dividends, coupons, maturity cash flows, etc).

Details of at least the following should be supplied for material legal entities:

• the minimum capital required by each legal entity to meet the thresholds set by regulators;

• an analysis of capital by legal entity on a regulatory basis split into components (CET1, AT1, Tier 2); and

• an analysis of capital by legal entity on an accounting basis (permanent share capital, P&L reserves, other reserves, preference shares, subordinated debt and other intermediate capital etc).

An explanation of the sources of capital raised for each legal entity, including sources external to the group.

Quantification of capital which is surplus to regulatory requirements by each entity and in aggregate.

Information regarding any restriction on transfers of capital to other group entities (dividends, capital contributions, repayments etc) and, in particular, any factors that mean surplus capital held in any entity is not transferable. For each entity, details of material holdings in other financial institutions.

3.2

Treasury function

An explanation of how the treasury function is organised.

An indication of how quickly capital could be transferred to or from an entity if required and the procedures involved.

3.3

Funding

An overview of funding relationships in the group, including the main sources of funding for each material entity and intra-group flows of funding split across (i) secured and unsecured and (ii) short-term and long-term categories. [2] Branches and subsidiaries which are material in intra-group funding should be highlighted.

A list of current material intra-group balances.

Details of where there are current and potential impediments to the transfer of liquidity between entities or jurisdictions.

A summary of other funding sources not captured elsewhere. Examples include:

• off balance sheet funding; and

• other sources, including covered bonds, securitisation, repos and other short-term secured financing.

3.4

Intra-group guarantees

An overview of intra-group guarantees, including:

• how, why and when intra-group guarantees are used;

• the types of guarantees extended (eg, limited, unlimited guarantees) and the parties extending and receiving guarantees.

• the total exposures under intra-group guarantees, categorised into different types;

• an overview of when guarantees can be enforced (including cross-defaults or events of default triggered by resolution);

• how intra-group guarantees are priced;

• a list of the most material intra-group guarantees; and

• a list of the entities that use, the entities sighted, and the underlying amounts of contracts that contain “Specified Entity” or similar clauses.

3.5

Other financial dependencies

An overview of all other material intra-group financial dependencies or exposures, including contingent exposures.

3.6

Encumbrances

For each material legal entity, an overview of which assets on the balance sheet are encumbered as at the last year-end. Highlight if they are intra-group or external encumbrances.

Information should also be provided on a group basis for UK headquartered group. For international firms headquartered outside the United Kingdom, operating through UK subsidiaries, information should be provided at the UK consolidated group level.

Details of what proportion of each asset class is encumbered and in what manner including:

• the proportion which is not subject to any encumbrance;

• the proportion encumbered through overcollateralisation; and

• an outline of the firm's practice on overcollateralisation.

Provide an analysis of assets subject to encumbrance by type of instrument, including an approximate split across: securitisations, covered bonds, repo, collateral for OTC derivatives exposure, collateral placed at central banks and any other encumbrances (description of nature and magnitude of other encumbrances should be provided).

The analysis should also include an assessment of the split of encumbrances between short-term and long-term encumbrances

4

Activities and operations

4.1

Access to financial market infrastructure (FMI)

A brief overview of the firm's access to financial market infrastructure (payment schemes, central counterparties etc), including indirect access to key FMIs. Provide the legal entities that have this access and which entities within the group rely on this.

To what extent does the firm provide market access services/clearing services to third parties globally? Please provide the number of customers.

To what extent, globally, does the firm rely on other firms for these services?

What agreements govern these relationships and how will they be affected in a resolution?

If relevant and not covered under 2.1, provide an overview of global payments and clearing and settlement business, including a high-level summary on key products/services provided, types of clients serviced, geographical location of business and the FMIs relied upon.

4.2

Risk-management practices

An overview of the firm's booking practices by asset class. Does the group manage risk centrally from one entity (please provide main booking hubs by asset class)? To what extent is risk back-to-backed? Give an overview of the firm's margining and collateral management for internal trades. Provide information on any remote booking practices. Provide information on the quantum of risk booked into each material entity.

Give an overview of the use of unregulated affiliates globally for booking trades.

4.3

Counterparty risk management

Give an estimate of trades which are booked through an exchange or a central counterparty (CCP), trades booked with a bilateral third party and the firm's approach to counterparty risk management. This should include a broad overview on collateral management and the use of netting, including master netting agreements.

4.4

Critical shared services

A summary of how operations are organised in the firm or group. Provide a high-level summary (including charts where appropriate) of how critical shared services [3] are provided across legal entities, business lines and jurisdictions. At a minimum, split critical services into Treasury, Risk Management, Finance and Operations (this list is not exhaustive). These are services that are crucial to the functioning of the core business lines of the firm.

Please consider, at a minimum (including outsourced services and joint ventures), IT services, staff, premises, licenses and intellectual property. Briefly summarise whether there are contracts which govern the provision of services across business lines, entities and jurisdictions.

Provide a brief overview of internal support functions, such as accounting and tax, internal audit and compliance, and human resources. Provide an indication of scale and the location of these functions, including those located outside the United Kingdom.

Please provide a summary of any pension arrangements within the group, including in which legal entity pension liabilities and administration reside. How fully-funded is any pension scheme?

[1] Where a data item is not applicable to a firm or qualifying parent undertaking it should indicate this in its submission of resolution plan information.

[2] Short-term refers to tenor of less than 1 year.

[3] For the purpose of these rules, a critical shared service has the following elements:

(i) an activity, function or service is performed by either an internal line, a separate legal entity within the group or an external provider;

(ii) that activity, function or service is performed for one or more business lines or legal entities of the group; and

(iii) the sudden and disorderly failure or malfunction would lead to the collapse of or present a serious impediment to the performance of, critical functions.

Part B: Economic functions

Economic function(s)

Economic scale metrics

(Monetary amounts should be in millions of GBP (£m), unless otherwise stated, to standardise comparison. Where a different currency is used, please provide the exchange rate to be used.)

Capital Markets & Investment

Trading

Derivatives (required report see Table 1)

• Total amount of notional outstanding

• Total number counterparties

For both derivatives positions and derivatives counterparties, split the reports according to the method by which the derivatives are traded or cleared/ settled, ie, (i) exchange traded, (ii) OTC cleared through CCPs and (iii) OTC settled bilaterally.

Trading portfolio (required report see Table 2)

• Balance-sheet values by asset class

• Risk-weighted exposure amounts

Other

Asset management

• Amount of assets under management

• Total number client accounts

• Total client money balances

For each of the metrics above, please provide the following information.

• The legal entity and jurisdiction of clients. Segregate between institutional, retail and wealth management clients.

• Estimates of UK market share, and identify any issues surrounding replacement of the firm's services by other providers.

For investment products, identify those that are eligible and not eligible for protection by the UK Financial Services Compensation Scheme (FSCS). Please provide the number of customers and total value of account balances:

• up to the £50k covered by the FSCS

• above the £50k covered by the FSCS

• that are ineligible for protection by the FSCS.

Wholesale Funding Markets

Securities financing (required report see Table 3)

• Balance sheet values plus aggregate values for collateral accepted and given

• Maturity profile

• Total number counterparties, including geographic distribution (number)

Securities lending

For each of the following activities, whether acting as lender or borrower:

• direct securities lending;

• third-party securities lending (non-custodian lending)

• agent lending (custodian lending);

provide:

• gross value of open transactions; and

• the total number of clients.

Payments, clearing, custody and settlement [4]

Payment services

For all UK and material foreign payment systems [5] used, please provide:

• the legal entity which holds membership;

• transaction volumes (number, monthly/annual average, peak);

• transaction values (number, monthly/annual average, peak);

• flow volumes (monthly/annual average);

• number of agents (flow volumes for these provided separately); and

• market share ? provide estimate of UK market share, as well as overseas market shares where relevant. Please identify any issues surrounding replacement of the firm's services by other providers.

If required, could the firm transition from an affiliate (intra-group) network to a third-party correspondent network for payments and clearing? What timeline is required?

[4] The payments, clearing and settlement function is limited to those provided by firms to their clients.

[5] This refers to foreign payment systems in which the firm has direct access. Examples include, but not limited to BACS, CHAPS, Faster Payments, cheque clearing system, Fedwire and TARGET2.

Table 1 - Derivatives (complete for each legal entity if firm performs this function)

Outstanding notional contract amounts (£m)

Exchange traded derivatives

Other derivatives cleared through CCPs

Over-the-counter derivatives settled bilaterally

Total

Equities

Sovereign credit

Non-sovereign credit products

Rates

Foreign exchange

Commodities

Number of derivative counterparties

Exchange-traded derivatives

Other derivatives cleared through CCPs

Over-the-counter derivatives settled bilaterally

Table 2 - Trading portfolio (complete for each legal entity if firm performs this function):

Assets (£m)

Liabilities (£m)

Balance-sheet values

Risk-weighted assets

Balance-sheet values

Equities

Treasury

Sovereign credit

Non-sovereign credit products

Rates

Foreign exchange

Commodities

Table 3 - Securities financing (complete for each legal entity if firm performs this function)

Reverse repurchase agreements and cash collateral on securities borrowed (£m)

Repurchase agreements and cash collateral on securities lent (£m)

Fair value of securities accepted as collateral under reverse repurchase agreements and securities borrowing transactions (£m)

Fair value of securities given as collateral under repurchase agreements and securities lending transaction (£m)

Table 4 - Table on economic functions split by legal entities

Where a firm's parent organisation is a UK incorporated entity, firms should complete this table for all material legal entities and branches that form part of the group, both domestically and internationally, where the economic functions are those that have been identified in Part B above. Where a firm's parent organisation is incorporated outside the United Kingdom, firms should only complete this table for:

UK subsidiaries (and any associated overseas branches); and

UK branches of any overseas subsidiaries.

Legal entity/branch 1 (£mn)

Legal entity/branch 2 (£mn)

Legal entity/branch 3 (£mn)

Aggregate across legal entities/branches (£mn)

Where the United Kingdom is Home State, firms should provide information on all material legal entities/branches, even if they do not perform any activity in the United Kingdom.

Economic function 1 (eg. asset management)

Economic function 2 (eg, securities lending)

Where United Kingdom is Host State, firms should provide information on legal entities/branches relevant to the United Kingdom as stated above.

Economic function 1

Economic function 2