Content Options

SUP 16.16 Prudent valuation reporting

Application

SUP 16.16.1 R

This section applies to4 a full-scope IFPRU investment firm which meets the condition in SUP 16.16.2 R.2

2
SUP 16.16.2 R

The condition referred to in SUP 16.16.1 R is that, on its last accounting reference date, the firm had balance sheet positions measured at fair value which, on a gross basis (the sum of the absolute value of each of the assets and liabilities), exceeded £3 billion.

Purpose

SUP 16.16.3 G
  1. (1)

    The purpose of this section is to set out the requirements for a firm specified in SUP 16.16.1 R to report the outcomes of its prudent valuation assessments to the FCA4 and to do so in a standard format.

    255
  2. (2)

    The purpose of collecting this data on the prudent valuation assessments made by a firm is to assist the FCA4 in assessing the capital resources of firms, to enable the FCA4 to gain a wider understanding of the nature and sources of measurement uncertainty in fair-valued financial instruments, and to enable comparison of the nature and level of that measurement uncertainty across firms and over time.

    25555

2[Note: articles 24 and 105 of the EU CRR]

Reporting requirement

SUP 16.16.4 R
  1. (1)

    5A firm to which this section applies must submit to the FCA4 quarterly (on a calendar year basis and not from a firm'saccounting reference date), within six weeks of each quarter end, a Prudent Valuation Return in respect of its fair-value assessments in the format set out in SUP 16 Annex 31A.

    2
  2. (2)

    [deleted]4

    5
5 5 5
SUP 16.16.5 R
3 3

[deleted]

SUP 16.16.5A R

Where a firm to which SUP 16.16.4 R applies is a member of a FCA consolidation group, the firm must comply with SUP 16.16.4 R:

  1. (1)

    on a solo-consolidation basis if the firm has an individual consolidation/solo consolidation permission, or on an unconsolidated basis if the firm does not have an individual consolidation/solo consolidation permission; and

  2. (2)

    separately, on the basis of the consolidated financial position of the FCA consolidation group. (Firms' attention is drawn to SUP 16.3.25 G regarding a single submission for all firms in the group.)