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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2019-12-09.

Status: In this content, we have included all amendments made by EU exit-related instruments up to end September 2020. There will be more amendments to be made later this year, further to the September QCP.

SUP 16.16 Prudent valuation reporting

Application

SUP 16.16.1 R RP

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 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.

Purpose

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 FCA4 and to do so in a standard format.

    266
  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.

    26666

2[Note: articles 24 and 105 of the

EU CRR]

Reporting requirement

SUP 16.16.4 R RP
  1. (1)

    6A 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

    6
6 6 6
SUP 16.16.5 R
3 3

[deleted]

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.)