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SUP 16.16 Prudent valuation reporting


SUP 16.16.1 R RP

This section applies to a UK bank, a UK designated investment firm or a full-scope IFPRU investment firm which meets the condition in SUP 16.16.2 R.2

SUP 16.16.2 R RP

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.


SUP 16.16.3 G RP
  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 appropriate regulator7 and to do so in a standard format.

  2. (2)

    The purpose of collecting this data on the prudent valuation assessments made by a firm is to assist the appropriate regulator7 in assessing the capital resources of firms, to enable the appropriate regulator7 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.


2[Note: articles 24 and 105 of the


Reporting requirement

SUP 16.16.4 R RP
  1. (1)

    7A firm to which this section applies must submit to the appropriate regulator 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)

    7A PRA-authorised person to which this section applies must submit the report via electronic mail to or via post or hand delivery to Regulatory Data Group, Statistics and Regulatory Data Division (HO5 A-B), Bank of England, Threadneedle Street, London EC2R 8AH; or via fax to the Regulatory Data Group of the Bank of England (020 7601 3334)

7 7 7
SUP 16.16.5 R
3 3


SUP 16.16.5A R RP

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.)