SUP 16.16 Prudent valuation reporting
Application
This section applies to4 a full-scope IFPRU investment firm which meets the condition in SUP 16.16.2 R.2
2The 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
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(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.
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(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.
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2[Note: articles 24 and 105 of the
Reporting requirement
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(1)
7A 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.
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(2)
[deleted]4
7
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:
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(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
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(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.)