Related provisions for APER 4.2.8

BIPRU 3.5.1G01/01/2007

This section (BIPRU 3.5) sets out a simplified approach to calculating risk weights. This approach is only relevant to an exposure class for which risk weights are determined by the ratings of a nominated ECAI or an export credit agency. For other exposure classes a firm should use the normal approach under the standardised approach.

BIPRU 3.5.2G01/04/2013

The approach in this section is only likely to be relevant for a limited licence firm or a limited activity firm that has only incidental credit exposures and for whom it would be prohibitively costly to establish the systems needed to include the credit assessments of ECAIs and export credit agencies in its regulatory capital calculations. However the approach may be used by other firms if appropriate. A firm should notify the appropriate regulator if it adopts the approach in

BIPRU 3.5.3G01/01/2007

Rather than risk weightingexposures individually, a firm eligible to apply the simplified approach should apply a single risk weight to all exposures in each exposure class. The simplified risk weight for exposures in a particular class will be the risk weighting for unrated entities for each exposure class in which the external credit assessments influence risk weights.

BIPRU 3.5.5G01/01/2021

Table : Simplified method of calculating risk weights

This table belongs to BIPRU 3.5.4 G.

Exposure class	Exposure sub-class	Risk weights	Comments
Central government	Exposures to United Kingdom government or Bank of England in sterling	0%
	3	3	3
	3	3
	3	3	3
	Exposures to central governments or central banks of certain countries outside the UK 3 in currency of that country	See next column	The risk weight is whatever it is under local law. See BIPRU 3.4.6 R for precise details.
	3	3
	Other exposures	100%
Regional/local governments	Exposures to the Scottish Parliament, National Assembly for Wales and Northern Ireland Assembly in sterling	0%
	3	3	3
	3	3	3
	3	3	3
	Exposures to local or regional governments of certain countries outside the UK 3 in currency of that country	0%	See BIPRU 3.4.19 R for details of type of local/regional government covered. See Note.3
	Exposures to United Kingdom local/regional government in sterling3 if the exposure has original effective maturity of 3 months or less	20%
	3	3	3
	Exposures to local or regional governments of countries outside the UK 3 in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note.3
	Other exposures	100%
PSE	Exposures to a PSE of the United Kingdom if that PSE is guaranteed by central government and if the exposure is in sterling3.	0%	BIPRU 3.4.24 R describes the United Kingdom PSEs covered3.
	Exposures to PSE of a country outside the UK 3 if that PSE is guaranteed by the country's central government and if the exposure is in currency of that country.	0%	See BIPRU 3.4.26 R and Note.3
	Exposures to a PSE of the United Kingdom in sterling3 if the exposure has original effective maturity of 3 months or less	20%
	3	3	3
	Exposures to PSE of a country outside the UK 3 in currency of that country if the exposure has original effective maturity of 3 months or less	20%	See Note3.
	Other exposures	100%
Multilateral development banks	Exposures to multilateral development banks listed in paragraph (1) of the Glossary definition	0%	Simplified approach does not apply. Normal rules apply.
Multilateral development banks	Other exposures	Various	Treated as an institution
EU 2, The3 International Monetary Fund and the Bank for International Settlements 2		0%	Simplified approach does not apply. Normal rules apply.
Institutions	Exposures to United Kingdom institution in sterling with original effective maturity of three months or less	20%
	3	3	3
	3	3
	3	3	3
	Exposures to institution with a head office in a country outside the UK 3 in the currency of that country with original effective maturity of three months or less	20%	See Note3.
	Exposures to United Kingdom institution in sterling with original effective maturity of over three months	50%
	3	3	3
	3 1	3
	3 1	3	3
	Exposures to institution with a head office in a country outside the UK 3 in the currency of that country with original effective maturity of over three1 months	50%	See Note3.
	Other exposures	100%
Corporates		100%
Retail exposures		75%	Simplified approach does not apply. Normal rules apply.
Mortgages on residential or commercial property		Various	Simplified approach does not apply. Normal rules apply.
Past due items		Various	Simplified approach does not apply. Normal rules apply.
High risk items		150%	Simplified approach does not apply. Normal rules apply.
Covered bonds		Various	Risk weights are based on the risk weight of issuer as described in BIPRU 3.4.110 R. The risk weight of the issuer for this purpose should be calculated under the simplified approach.
Securitisation exposures		Generally 1250%. May look through to underlying exposures if BIPRU 9 allows.	Use the BIPRU 9rules for unrated exposures under the standardised approach
Short term exposures with rating			See BIPRU 3.4.112 R. Not applicable as uses ECAI ratings.
CIUs	May look through to underlying under BIPRU 3.4.123 R	Various	Simplified approach does not apply. Normal rules apply. May use simplified approach to underlying if simplified approach applies to underlying.
	May use average risk weight under BIPRU 3.4.124 R	Various	Simplified approach does not apply. Normal rules apply. May use simplified approach to underlyings if simplified approach applies to underlying.
	High risk under BIPRU 3.4.118 R	150%	Simplified approach does not apply. Normal rules apply.
	Others	100%
Other items under BIPRU 3.2.9 R (16)		Various	Simplified approach does not apply. Normal rules apply.
Note3: The risk weight should not be lower than the risk weight that applies for national currency exposures of the central government of the third country in question under BIPRU 3.5. That means that this risk weight only applies if the third country is one of those to which BIPRU 3.4.6 R (Preferential risk weight for exposures of the central government of countries outside the UK 3 that apply equivalent prudential standards) applies.
3
3

BIPRU 3.5.6G01/01/2007

If an exposure is guaranteed and if under BIPRU 5 the firm may treat the exposure as being to the guarantor, the simplified approach may be used for the guarantor. The key provisions are BIPRU 5.7.23 R to BIPRU 5.7.25 R.

BIPRU 3.5.7G01/01/2007

If an exposure is collateralised and if under BIPRU 5 the firm may recognise the collateral, the simplified approach may be used to determine the risk weight to be applied to the collateralised exposure. The key provisions are BIPRU 5.4.18 R to BIPRU 5.4.21 R.

BIPRU 5.8.1R01/01/2007

For the purposes of calculating risk weighted exposure amounts, a maturity mismatch occurs when the residual maturity of the credit protection is less than that of the protected exposure. Protection of less than three months residual maturity, the maturity of which is less than the maturity of the underlying exposure, must not be recognised.[Note: BCD Annex VIII Part 4 point 1]

BIPRU 5.8.7R01/01/2007

Where there is a mismatch between the maturity of the exposure and the maturity of the protection, the collateral must not be recognised.[Note: BCD Annex VIII Part 4 point 6]

BIPRU 5.8.9R01/01/2007

(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the collateral according to the following formula:CVAM = CVA x (t-t*)/(T-t*)where:(a) CVA is the volatility adjusted value of the collateral as specified in BIPRU 5.4.28 R or the amount of the exposure, whichever is the lowest;(b) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5

BIPRU 5.8.11R01/01/2007

(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the credit protection according to the following formula:GA = G* x (t-t*)/(T-t*)where:(a) G* is the amount of the protection adjusted for any currency mismatch;(b) GA is G* adjusted for any maturity mismatch;(c) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5 R, or the value of

BIPRU 9.10.2R01/01/2007

In respect of a securitisation position in respect of which a 1250% risk weight is assigned, a firm may, as an alternative to including the position in its calculation of risk weighted exposure amounts, deduct from its capital resources the exposure value of the position. For these purposes, the calculation of the exposure value may reflect eligible funded protection in a manner consistent with BIPRU 9.14.[Note:BCD Annex IX Part 4 points 35, 74 and 75(b)]

BIPRU 9.10.3R01/01/2007

Where a firm applies BIPRU 9.10.2 R, 12.5 times the amount deducted in accordance with that paragraph must, for the purposes of BIPRU 9.11.5 R and BIPRU 9.12.8 R, be subtracted from the amount specified in whichever of those rules applies as the maximum risk weighted exposure amount to be calculated by a firm to which one of those rules applies.[Note:BCD Annex IX Part 4 point 36 and point 76]

BIPRU 9.10.4R01/01/2007

The risk weighted exposure amount of a securitisation position to which a 1250% risk weight is assigned may be reduced by 12.5 times the amount of any value adjustments made by the firm in respect of the securitised exposures.[Note:BCD Annex IX Part 4 point 72 (part)]

BIPRU 9.10.6R01/01/2007

The risk weighted exposure amount of a securitisation position may be reduced by 12.5 times the amount of any value adjustments made by the firm in respect of the position.[Note:BCD Annex IX Part 4 point 73]

BIPRU 9.10.7R01/01/2007

For the purposes of BIPRU 9.10.2 R (as it applies to the IRB approach):(1) the exposure value of the position may be derived from the risk weighted exposure amounts taking into account any reductions made in accordance with BIPRU 9.10.4 RBIPRU 9.10.6 R;(2) where the supervisory formula method is used to calculate risk weighted exposure amounts and L KIRBR and [L+T] > KIRBR the position may be treated as two positions with L equal to KIRBR for the more senior of the positions.[Note:BCD

BIPRU 11.6.1R01/01/2007

A firm calculating risk weighted exposure amounts in accordance with the IRB approach must disclose the following information:(1) the scope of the firm'sIRB permission;(2) an explanation and review of:(a) the structure of internal rating systems and relation between internal and external ratings;(b) the use of internal estimates other than for calculating risk weighted exposure amounts in accordance with the IRB approach;(c) the process for managing and recognising credit risk

BIPRU 11.6.2R01/01/2007

For the purposes of BIPRU 11.6.1 R (3), the description must include the types of exposure included in the IRB exposure class, the definitions, methods and data for estimation and validation of PD and, if applicable, LGD and conversion factors, including assumptions employed in the derivation of these variables, and the descriptions of material deviations from the definition of default, including the broad segments affected by such deviations.[Note: BCD Annex XII Part 3 point

BIPRU 11.6.3R01/01/2007

For the purposes of BIPRU 11.6.1 R (4), where a firm uses its own estimates of LGDs or conversion factors for the calculation of risk weighted exposure amounts for exposures falling into the sovereign, institution and corporate IRB exposure class1, the firm must disclose those exposures separately from exposures for which it does not use such estimates.[Note: BCD Annex XII Part 3 point 1 (part)]

BIPRU 11.6.5R01/01/2007

A firm applying credit risk mitigation techniques must disclose the following information:(1) the policies and processes for, and an indication of the extent to which the firm makes use of, on- and off-balance sheet netting;(2) the policies and processes for collateral valuation and management;(3) a description of the main types of collateral taken by the firm;(4) the main types of guarantor and credit derivative counterparty and their creditworthiness;(5) information about market

BIPRU 9.3.1R01/01/2007

(1) Where significant credit risk associated with securitised exposures has been transferred from the originator in accordance with the terms of BIPRU 9.4 or BIPRU 9.5, that originator may:(a) in the case of a traditional securitisation, exclude from its calculation of risk weighted exposure amounts and, as relevant, expected loss amounts, the exposures which it has securitised; and(b) in the case of a synthetic securitisation, calculate risk weighted exposure amounts and, as

BIPRU 9.3.7R31/12/2010

1Significant credit risk will be considered to have been transferred for originators in the following cases:(1) the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate

BIPRU 9.3.8R01/04/2013

1An originator must notify the appropriate regulator that it is relying on the deemed transfer of significant credit risk under BIPRU 9.3.7R within a reasonable period before or after a relevant transfer, not being later than one month after the date of the transfer. The notification must include the following information: (1) the risk weighted exposure amount of the securitised exposures and retained securitisation positions; (2) the exposure value of the securitised exposures

BIPRU 9.3.9G01/04/2013

1In the event that the appropriate regulator decides that the possible reduction in risk weighted exposure amounts which the originator would achieve by the securitisation referred to in BIPRU 9.3.7R is not justified by a commensurate transfer of credit risk to third parties, it will use its powers under section 55J of the Act (Variation etc on the Authority's own initiative) to require the firm to increase its risk weighted exposure amount to an amount commensurate with the appropriate

BIPRU 13.5.1R01/01/2007

A firm may use the CCR standardised method only for financial derivative instruments and long settlement transactions.[Note: BCD Annex III Part 5 point 1 (part)]

BIPRU 13.5.4R01/01/2007

(1) Transactions with a linear risk profile with a debt instrument as the underlying instrument must be mapped to an interest rate risk position for the debt instrument and another interest rate risk position for the payment leg.(2) Transactions with a linear risk profile that stipulate the exchange of payment against payment, including foreign exchange forwards, must be mapped to an interest rate risk position for each of the payment legs.(3) If the underlying debt instrument

BIPRU 13.5.10R01/01/2007

A firm must not recognise netting for the purpose of applying the CCR mark to market method to an exposure treated under BIPRU 13.5.9 R (that is, the exposure value must be determined as if there were a netting set that comprises just the individual transaction).[Note: BCD Annex III Part 5 point 19 (part)]

BIPRU 13.5.24R01/01/2007

A firm must calculate the exposure value separately for each netting set.[Note: BCD Annex III Part 5 point 1, second sentence]

BIPRU 13.5.25R01/01/2007

A firm must determine the exposure value net of collateral, as follows:exposure value = *max(CMV-CMC;(j)((i)(RPTij)-(l)(RPClj))*CCRMj)where:CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral.That is, where:CMV = (i)(CMVi)where:CMVi = the current market value of transaction i;CMC = the current market value of the collateral assigned to the netting set.That is, where:CMC = (l)(CMCl)whereCMCl = the current market

BIPRU 12.5.30G01/12/2009

For the purpose of BIPRU 12.5.29R, a firm should assume that the effect of that default is that the exposure is rolled overnight.

BIPRU 12.5.32G01/04/2013

For the purpose of BIPRU 12.5.31R, the appropriate regulator would expect a firm, in relation to each payment or settlement system in which it participates directly, to provide details of:(1) that firm's charges for providing intra-day credit;(2) any collateral requirements which it applies to its customers;(3) the credit limits that it imposes (and the circumstances, if any, in which credit may be provided notwithstanding a limit breach);(4) the extent to which the customers

BIPRU 12.5.37G01/12/2009

For the purpose of BIPRU 12.5.36R, a firm should consider the full range of legal and regulatory restrictions on the availability to it of liquidity support from other members of its group. A firm should ensure that it understands restrictions in force in other jurisdictions, as well as the potential for such restrictions to be imposed in the future, as to the allowable size of intra-group exposures. A firm should also consider the circumstances in which it may find itself obliged

BIPRU 12.5.39G01/01/2021

[deleted]1

BIPRU 12.5.68G01/04/2013

For the purpose of the assessment in BIPRU 12.5.67R, a firm should ensure that it assesses repayment behaviour at a level of granularity sufficient to enable it to draw informed conclusions about its liquidity exposure. The appropriate regulator would expect a firm's assessment to analyse separately the non-marketable assets risk associated with each of its relevant products and with each type of counterparty from whom it is expecting repayments.

SUP 16.12.9R01/01/2022

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below.11

The applicable reporting frequencies for submission of data items and periods referred to in SUP 16.12.4 R are set out in the table below and are calculated from a firm's accounting reference date, unless indicated otherwise.

The applicable due dates for submission referred to in SUP 16.12.4 R are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period. 11

11	Member's adviser 96		the Society (note 1)
Description of data item 76	Frequency	Submission deadline	Description of data item	Frequency	Submission deadline
			Annual Lloyd's return	Annually	6 months after the Society's accounting reference date
			Syndicate accounts and reports (note 2)	Annually	6 months after the Society's accounting reference date
Quarterly reporting statement	Quarterly	15 business days after the quarter end
Balance Sheet
FSA001 (note89 20) or 13	Quarterly or half yearly	(note 14)
FSA029	Quarterly (note 14)	(note 14)
Income Statement
FSA002 (note20), or 13	Quarterly or half yearly (note 14)	(note 14)
FSA030	Quarterly	(note 14)
Capital Adequacy
FSA003 (notes 4, 20) or	Monthly, quarterly or half yearly (note 14)	(note 14)
FSA033 (note 12) or	Quarterly	(note 14)
FSA034 (note 13) or	Quarterly	(note 14)
FSA035 (note 13)	Quarterly	(note 14)
Credit Risk
FSA004 (notes 5, 20) 13	Quarterly or half yearly (note 14)	(note 14)
Market Risk
FSA005 (notes 6, 20) 13	Quarterly or half yearly (note 14)	(note 14)
13
13	13	13
13
13	13	13
Large Exposures
FSA008 (note 2089)15 15 13	Quarterly	20 business days (note 19)
13
13	13	13
13
13	13	13
13
13	13	13
13
13	13	13
13
13	13	13
Note 1	The Society must prepare its reports in the format specified in IPRU(INS) Appendix 9.11, unless Note 2 applies.
Note 2	The Society must ensure that the annual syndicate accounts and reports are prepared in accordance with the Insurance Accounts Directive (Lloyd's Syndicate and Aggregate Accounts) Regulations 2008 (S.I. 2008/1950).
Note 3	[deleted]96 96
Note 4	Only firms subject to IPRU(INV) 4 report data item FSA003.
Note 5	This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA004 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 77A in data item FSA003 is greater than £10 million, or its currency equivalent, at the relevant reporting date for the firm.
Note 6	This applies to a firm that is required to submit data item FSA003 and, at anytime within the 12 months up to its latest accounting reference date ("the relevant period"), was reporting data item FSA005 ("Firm A") or not reporting this item ("Firm B"). In the case of Firm A it must report this data item if one or both of its last two submissions in the relevant period show that the threshold was exceeded. In the case of Firm B it must report this item if both the last two submissions in the relevant period show that the threshold has been exceeded. The threshold is exceeded where data element 93A in data item FSA003 is greater than £50 million, or its currency equivalent, at the relevant reporting date for the firm.
Note 7	[deleted]13 13
Note 8	[deleted]13 13
Note 9	[deleted]13 13
Note 10	[deleted]13 13
Note 11	[deleted]13 13
Note 12	FSA033 is only applicable to firms subject to IPRU(INV) 3.80
Note 13	Only applicable to firms subject to IPRU(INV) 5. FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed76. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74.
Note 14	89All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission. 37 37 37
Note 15	[deleted]89
Note 16	[deleted]13 13
Note 17	[deleted]13 13
Note 18	[deleted]13 13
Note 19	UK consolidation group reports have 45 business days submission.
Note 20	Firms that are members of a UK consolidation group are also required to submit FSA001, FSA002, FSA003, FSA004, FSA005 and FSA008 on a UK consolidation group basis.
15Note 21	[deleted]89 37 37 37

SUP 16.12.11R01/01/2022

The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:

89Description of data item	Firms’prudential category and applicable data items (note 1)
	MIFIDPRU investment firms	Firms other than MIFIDPRU investment firms
	MIFIDPRU investment firms	IPRU(INV)Chapter 3	IPRU(INV)Chapter 5	91	IPRU(INV)Chapter 13
Solvency statement	No standard format (note 4)	No standard format (note 6)	No standard format (note 4)
Balance sheet	FSA029 (note 2)	FSA029 (note 5)	FSA029	91	Section A RMAR
Income statement	FSA030 (note 2)	FSA030 (note 5)	FSA030	91	Section B RMAR
Capital adequacy	MIF001 (note 2 and 3)	FSA033 (note 5)	FSA034 or FSA035 or FIN071 (note 7)	91	Section D1 RMAR
Supplementary capital data for collective portfolio management investment firms	FIN067 (note 13)
ICARA assessment questionnaire	MIF007 (note 3)
Threshold conditions					Section F RMAR
Client money and client assets	FSA039	FSA039	FSA039	91	Section C RMAR
CFTC	FSA040 (note 8)	FSA040 (note 8)	FSA040 (note 8)	91	FSA040 (note 8)
Liquidity	MIF002 (notes 2, 3 and 10)
Metrics reporting	MIF003 (notes 2 and 3)
Concentration risk (non-K-CON)	MIF004 (notes 2, 3 and 11)
Concentration risk (K-CON)	MIF005 (notes 2, 3 and 11)
Group capital test	MIF006 (notes 3 and 12)
Liquidity Questionnaire	MLA-M (note 9)	MLA-M (note 9)	MLA-M (note 9)	91	MLA-M (note 9)
Note 1	All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25G.
Note 2	A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.
Note 3	Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.
Note 4	Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.
Note 5	Except if the firm is an adviser (as referred to in IPRU-INV (3)-60(4)R).
Note 6	Only required in the case of an adviser (as referred to in IPRU-INV (3)-60(4)R)) that is a sole trader.
Note 7	FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R.
Note 8	Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.
Note 9	Only applicable to RAG 3 firms carrying on home financing or home finance administration connected to regulated mortgage contracts, unless as at 26 April 2014 the firm’s Part 4A permission was and remains subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts.
Note 10	Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6.
Note 11	Only applicable to a non-SNI MIFIDPRU investment firm.
Note 12	Only applicable to a parent undertaking to which the group capital test applies.
Note 13	Only applicable to firms that are collective portfolio management investment firms.

SUP 16.12.15R31/03/2023

The applicable data items referred to in SUP 16.12.4 R are set out76 according to firm type76 in the table below:

89Description of data item	Firms’ prudential category and applicable data items (note 1)
	MIFIDPRU investment firms	Firms other than MIFIDPRU investment firms
		IPRU(INV) Chapter 3	IPRU(INV) Chapter 5	91	IPRU(INV) Chapter 11 (collective portfolio management firms only)	IPRU(INV) Chapter 12	IPRU(INV) Chapter 13
Solvency statement (note 2)	No standard format		No standard format		No standard format
Balance sheet	FSA029 (note 3)	FSA029	FSA029	91	FSA029	FSA029	Section A RMAR
Income statement	FSA030 (note 3)	FSA030	FSA030	91	FSA030	FSA030	Section B RMAR
Capital adequacy	MIF001 (note 3 and 4)	FSA033	FSA034 or FSA035 or FIN071 (note 5)	91	FIN066	FIN069	Section D1 RMAR
ICARA assessment questionnaire	MIF007 (note 4)
Supplementary capital data for collective portfolio management investment firms	FIN067 (note 9)
Threshold conditions							Section F RMAR
Volumes and types of business	FSA03895	FSA038	FSA038	91	FSA038		FSA038
Client money and client assets	FSA039	FSA039	FSA039	91	FSA039	FSA039	Section C RMAR
Liquidity	MIF002 (notes 3, 4 and 6)
Metrics monitoring	MIF003 (notes 3 and 4)
Concentration risk (non-K-CON)	MIF004 (notes 3, 4 and 7)
Concentration risk (K-CON)	MIF005 (notes 3, 4 and 7)
Group capital test	MIF006 (notes 4 and 8)
Information on P2P agreements						FIN070
Note 1	All firms, except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9, must, when submitting the completed data item required, use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.
Note 2	Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.
Note 3	A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.
Note 4	Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.
Note 5	FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R.
Note 6	Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU [6].
Note 7	Only applicable to a non-SNI MIFIDPRU investment firm.
Note 8	Only applicable to a parent undertaking to which the group capital test applies.
Note 9	Only applicable to firms that are collective portfolio management investment firms.

SUP 16.12.18BR04/06/2019

The applicable data items, reporting frequencies and submission deadlines referred to in SUP 16.12.4 R are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.

46Description of data item	Data item (note 1)	Frequency	Submission deadline
Balance Sheet	Sections A.1 and A.2 MLAR	Quarterly	20 business days
Income Statement	Sections B.0 and B.1 MLAR	Quarterly	20 business days
Capital Adequacy(notes 4 and 5)70 58	Section C MLAR	Quarterly	20 business days
Lending - Business flow and rates	Section D MLAR	Quarterly	20 business days
Residential Lending to individuals - New business profile	Section E MLAR	Quarterly	20 business days
Lending - arrears analysis	Section F MLAR	Quarterly	20 business days
Mortgage Administration - Business Profile	Section G MLAR	Quarterly	20 business days
Mortgage Administration - Arrears analysis	Section H MLAR	Quarterly	20 business days
Analysis of loans to customers	Section A3 MLAR	Quarterly	20 business days
Provisions analysis	Section B2 MLAR	Quarterly	20 business days
Fees and Levies	Section J MLAR	Annually	30 business days
Sale and rent back	Section K MLAR	Annually	30 business days
Credit Risk (notes 2 and 4)58 58	Section L MLAR	Quarterly	20 business days
Liquidity (notes 3 and 4)58 58	Section M MLAR	Quarterly	20 business days
Note 1	When submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 19A. Guidance notes for the completion of the data items are set out in SUP 16 Annex 19B.
Note 2	Only applicable to a firm that has one or more exposures that satisfy the conditions set out in MIPRU 4.2A.4 R, and: - has permission to carry on any home financing which is connected to regulated mortgage contracts; or - has permission to carry on home financing and home finance administration which is connected to regulated mortgage contracts (and no other activity); or - has permission to carry on home finance administration which is connected to regulated mortgage contracts and has all or part of the home finance transactions that it administers on its balance sheet.
Note 3	Only applicable to a firm that:64 - is80 subject to MIPRU 4.2D; -80 has no restriction to its Part 4A permission preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts; and - has permission to carry on any home financing or home finance administration connected to regulated mortgage contracts. 64 64
Note 4	Not applicable if the firm exclusively carries on home finance administration or home finance providing activities in relation to second charge regulated mortgage contracts or legacy CCA mortgage contracts (or both)66. Also not applicable if the firm is a P2P platform operator facilitating home finance transactions.83
70Note 5	Only applicable to a firm that is subject to MIPRU 4.2 (Capital resources requirements).

SUP 16.12.22AR30/09/2022

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

89Description of data item	Firms’ prudential category and applicable data item (note 1)
89Description of data item	MIFIDPRU investment firms	Firms subject to IPRU(INV) Chapter 13	Firms that are also in one or more of RAGs 2 to 6 and not subject to IPRU(INV) Chapter 13
Solvency statement	No standard format (note 2)
Balance sheet	FSA029 (note 3)	Section A RMAR
Income statement	FSA030 (note 3)	Section B RMAR
Capital adequacy	MIF001 (notes 3 and 6)	Section D1 RMAR (note 9)
Liquidity	MIF002 (notes 3, 4 and 6)
Metrics monitoring	MIF003 (notes 3 and 6)
Concentration risk (non-K-CON)	MIF004 (notes 3, 5 and 6)
Concentration risk (K-CON)	MIF005 (notes 3, 5 and 6)
Group capital test	MIF006 (notes 6 and 8)
ICARA assessment questionnaire	MIF007 (note 6)
Supplementary capital data for collective portfolio management investment firms	FIN067 (note 10)
Professional indemnity insurance (note 11)90	Section E RMAR	Section E RMAR	Section E RMAR
Threshold conditions		Section F RMAR
Training and competence	Section G RMAR	Section G RMAR	Section G RMAR
COBS data	Section H RMAR	Section H RMAR	Section H RMAR
Client money and client assets	Section C RMAR	Section C RMAR
Fees and levies	Section J RMAR	Section J RMAR
Adviser charges	Section K RMAR (note 7)	Section K RMAR (note 7)	Section K RMAR (note 7)
Note 1	When submitting the completed data item required, a firm (except a MIFIDPRU investment firm in relation to an item reported under MIFIDPRU 9) must use the format of the data item set out in SUP 16 Annex 24R, or SUP 16 Annex 18AR in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25, or SUP 16 Annex 18BG in the case of the RMAR.
Note 2	Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.
Note 3	A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.
Note 4	Does not apply to an SNI MIFIDPRU investment firm which has been granted an exemption from the liquidity requirements in MIFIDPRU 6.
Note 5	Only applicable to a non-SNI MIFIDPRU investment firm.
Note 6	Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.
Note 7	This item only applies to firms that provide advice on retail investment products and P2P agreements.
Note 8	Only applicable to a parent undertaking to which the group capital test applies.
Note 9	Where a firm submits data items for both RAG 7 and RAG 9, the firm must complete Section D1.
Note 10	Only applicable to firms that are collective portfolio management investment firms.
Note 11	This item only applies94 to firms that are subject to an FCA requirement to hold professional indemnity insurance94. 90

SUP 16.12.25AR01/01/2022

2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:

89Description of data item	Firms’ prudential category and applicable data items (note 1)
	MIFIDPRU investment firms	Firms other than MIFIDPRU investment firms
	MIFIDPRU investment firms	IPRU(INV) Chapter 3	IPRU(INV) Chapter 5	91	IPRU(INV) Chapter 13
Solvency statement (note 2)	No standard format
Balance sheet	FSA029 (note 3)	FSA029	FSA029	91	Section A RMAR
Income statement	FSA030 (note 3)	FSA030	FSA030	91	Section B RMAR
Capital adequacy	MIF001 (notes 3 and 5)	FSA033	FSA034 or FSA035 or FIN071 (note 4)	91	Section D1 RMAR
Liquidity	MIF002 (notes 3 and 5)
Metrics monitoring	MIF003 (notes 3 and 5)
Concentration risk (non-K-CON)	MIF004 (notes 3, 5 and 7)
Concentration risk (K-CON)	MIF005 (notes 3, 5 and 7)
Group capital test	MIF006 (notes 5 and 6)
ICARA assessment questionnaire	MIF007 (note 5)
Threshold conditions					Section F RMAR (note 17)
Client money and client assets	FSA039	FSA039	FSA039	91	Section C RMAR (note 13) or FSA039
Note 1	All firms (except MIFIDPRU investment firms in relation to items reported under MIFIDPRU 9) when submitting the completed data item required, must use the format of the data item set out in SUP 16 Annex 24. Guidance notes for completion of the data items are contained in SUP 16 Annex 25.
Note 2	Only applicable to a firm that is a sole trader or partnership. Where the firm is a partnership, this report must be submitted by each partner.
Note 3	A UK parent entity of an investment firm group to which consolidation applies under MIFIDPRU 2.5 must also submit this report on the basis of the consolidated situation.
Note 4	FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business includes establishing, operating or winding up a personal pension scheme, in which case FIN071 must be completed. FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R.
Note 5	Data items MIF001 – MIF007 must be reported in accordance with the rules in MIFIDPRU 9.
Note 6	Only applicable to a parent undertaking to which the group capital test applies.
Note 7	Only applicable to a non-SNI MIFIDPRU investment firm.

BIPRU 5.3.2R01/01/2007

Without prejudice to BIPRU 5.6.1 R, eligibility is limited to reciprocal cash balances between a firm and a counterparty. Only loans and deposits of the lending firm may be subject to a modification of risk weighted exposure amounts and, as relevant, expected loss amounts as a result of an on-balance sheet netting agreement.[Note: BCD Annex VIII Part 1 point 4]

BIPRU 5.3.3R01/01/2007

For on-balance sheet netting agreements - other than master netting agreements covering repurchase transactions, securities or commodities lending or borrowing transactions and/or other capital market-driven transactions – to be recognised for the purposes of BIPRU 5 the following conditions must be satisfied:(1) they must be legally effective and enforceable in all relevant jurisdictions, including in the event of the insolvency or bankruptcy of a counterparty;(2) the firm must

BIPRU 3.3.3G01/04/2013

Regulation 22 of the Capital Requirements Regulations 2006 deals with recognition by the appropriate regulator of eligible ECAIs for exposurerisk weight purposes. Regulation 25 deals with revoking recognition.

BIPRU 3.3.4G01/04/2013

The criteria which the appropriate regulator must apply when assessing ECAIs for recognition for exposurerisk weighting purposes are set out in Regulation 22 and Schedule 1 to the Capital Requirements Regulations 2006. In making an assessment against those criteria and in carrying out the mapping process described in BIPRU 3.3.7 G to BIPRU 3.3.9 G the appropriate regulator will have regard to the approach set out in the Committee of European Banking Supervisors' "Guidelines on

BIPRU 3.3.6G01/01/2021

[deleted]1

BIPRU 7.11.14R01/01/2007

(1) A firm may take full allowance when the value of two legs always move in the opposite direction and broadly to the same extent.(2) This will be the case in the following situations:(a) the two legs consist of completely identical instruments; or(b) a long cash position is hedged by a total rate of return swap (or vice versa) and there is an exact match between the reference obligation and the underlying exposure (i.e., the cash position).(3) The maturity of the swap itself

BIPRU 7.11.15R01/01/2007

An 80% offset may be applied when the value of two legs always move in the opposite direction and where there is an exact match in terms of the reference obligation, the maturity of both the reference obligation and the credit derivative, and the currency of the underlying exposure. In addition, key features of the credit derivative contract must not cause the price movement of the credit derivative materially to deviate from the price movements of the cash position. To the extent

BIPRU 7.11.16R01/01/2007

(1) A firm may take partial allowance when the value of two legs usually move in the opposite direction. This would be the case in the situations set out in (2) - (4).(2) The first situation referred to in (1) is that the position falls under BIPRU 7.11.16 R (2)(b) but there is an asset mismatch between the reference obligation and the underlying exposure. However, the positions meet the following requirements:(a) the reference obligation ranks pari passu with or is junior to

BIPRU 8.4.16R01/01/2007

Intra-group exposures must not be netted for the purpose of BIPRU 8.4.11 R.

BIPRU 8.4.18R01/01/2021

If a firm has an investment firm consolidation waiver, it must:(1) ensure that each CAD investment firm in the UK consolidation group or non-UK sub-group3 which is a firm3has in place systems to monitor and control the sources of capital and funding of all the members in the UK consolidation group or non-UK sub-group3;(2) notify the FCA of any serious risk that could undermine the financial stability of the UK consolidation group or non-UK sub-group3, as soon as the firm becomes

BIPRU 8.4.19G01/01/2021

Although an investment firm consolidation waiver switches off most of this chapter, a firm should still carry out the capital adequacy calculations in BIPRU 8.3 to BIPRU 8.8 as if those parts of this chapter still applied to the UK consolidation group or non-UK sub-group3 and report these to the FCA. It should also still monitor large exposure risk on a consolidated basis.

BIPRU 9.6.1R31/12/2011

An originator which, in respect of a securitisation in the non-trading book,1 has made use of BIPRU 9.3.1 R in the calculation of risk weighted exposure amounts, or a sponsor, must not, with a view to reducing potential or actual losses to investors, provide support to the securitisation beyond its contractual obligations.[Note: BCD Article 101(1)]

BIPRU 9.6.2R31/12/2011

If an originator or sponsor fails to comply with BIPRU 9.6.1 R or BIPRU 9.6.1A R1 in respect of a securitisation, it must:(1) hold capital against all of the securitised exposures associated with the securitisation transaction as if they had not been securitised; and(2) disclose publicly:(a) that it has provided non-contractual support;1 and(b) the regulatory capital impact of doing so.[Note: BCD Article 101(2)]

BIPRU 9.6.3G01/04/2013

(1) Securitisation documentation should make clear, where applicable, that any repurchase of securitised exposures or securitisation positions by the originator or sponsor beyond its contractual obligations is not mandatory and may only be made at fair market value. In general, any such repurchase should be subject to a firm's credit review and approval process, which should be adequate to ensure that the repurchase complies with BIPRU 9.6.1 R.(2) If an originator or sponsor repurchases

BIPRU 7.2.44R01/01/2021

Table: specific risk position risk adjustments

This table belongs to BIPRU 7.2.43R.

Issuer	Residual maturity	Position risk adjustment
Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom 5 regional governments or local authorities which would qualify for credit quality step 1 or which would receive a 0% risk weight under the standardised approach to credit risk.	Any	0%
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom 5 regional governments or local authorities which would qualify for credit quality step 2 or 3 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by institutions which would qualify for credit quality step 1 or 2 under the standardised approach to credit risk. (C) Debt securities issued or guaranteed by institution which would qualify for credit quality step 3 under BIPRU 3.4.34 R (Exposures to institutions: Credit assessment based method) or which would do so if it had an original effective maturity of three months or less. (D) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 1, 2 or 32 under the standardised approach to credit risk. (E) Other qualifying debt securities (see BIPRU 7.2.49R) 2	Zero to six months	0.25%
	over 6 and up to and including 24 months	1%
	Over 24 months	1.6%
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom 5 regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by corporates which would qualify for credit quality step 4 under the standardised approach to credit risk. (C) Exposures for which a credit assessment by a nominated ECAI is not available. 2	Any	8%
(A) Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or United Kingdom 5 regional governments or local authorities or institution which would qualify for credit quality step 6 under the standardised approach to credit risk. (B) Debt securities issued or guaranteed by corporate which would qualify for credit quality step 5 or 6 under the standardised approach to credit risk. (C) An instrument that shows a particular risk because of the insufficient solvency of the issuer of liquidity. This paragraph applies even if the instrument would otherwise qualify for a lower position risk adjustment under this table.	Any	12%
Note: The question of what a corporate is and of what category a debt security falls into must be decided under the rules relating to the standardised approach to credit risk.

[Note:CAD Annex I point 14 Table 1]2

BIPRU 7.2.48DR01/04/2013

Table: specific risk position risk adjustments - standardised approach

3Credit quality step	1	2	3	4 (only for credit assessments other than short-term credit assessments)	All other credit quality steps
Securitisations	1.6%	4%	8%	28%	100%
Resecuritisations	3.2%	8%	18%	52%	100%
A firm may only apply the position risk adjustments in this table where it would have to calculate a risk weighted exposure amount in accordance with the standardised approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate position risk adjustment is calculated as 8% of the risk weight that would apply to the position under the standardised approach in BIPRU 9.11.2 R, subject to the requirements of BIPRU 9.9 to BIPRU 9.11, where appropriate.

BIPRU 7.2.48ER01/04/2013

Table: specific risk Position Risk Adjustments - IRB approach

3Credit Quality Step		Securitisation positions			Resecuritisation positions
Credit assessments other than short term	Short-term credit assessments	A	B	C	D	E
1	1	0.56%	0.96%	1.6%	1.6%	2.4%
2		0.64%	1.20%	2%	2%	3.2%
3		0.8%	1.44%	2.8%	2.8%	4%
4	2	0.96%	1.6%		3.2%	5.2%
5		1.60%	2.8%		4.8%	8%
6		2.8%	4%		8%	12%
7	3	4.8%	6%		12%	18%
8		8%			16%	28%
9		20%			24%	40%
10		34%			40%	52%
11		52%			60%	68%
all other unrated		100%
A firm may only apply the position risk adjustments in this table where it would have to calculate a risk weighted exposure amount in accordance with the IRB approach to securitisation and resecuritisation positions if such positions were in its non-trading book under BIPRU 9. The appropriate position risk adjustment is calculated as 8% of the risk weight that would apply to the position under the IRB approach in BIPRU 9.12.11 R, subject to the requirements in BIPRU 9.12 where appropriate.

BIPRU 7.2.48KR31/12/2011

3A securitisation exposure in the trading book that would be subject to deduction in accordance with GENPRU 2.2. (Capital resources) or to a 1250% risk weight in accordance with BIPRU 9 (Securitisation) is subject to a capital charge that is no less than that set out under those provisions, capped at the maximum possible default-risk-related loss. Unrated liquidity facilities are subject to a capital charge that is no less than that set out in BIPRU 9.

BIPRU 7.10.40R01/01/2007

For interest rate risk, a VaR model must incorporate a set of risk factors corresponding to the interest rate curves in each currency in which the firm has interest rate sensitive positions. A firm must ensure that it captures the variations of volatility of rates along the yield curve. In order to achieve this, a firm must divide the yield curves of, at a minimum, the major currencies and markets in which it has material interest rate exposures into a minimum of six maturity

BIPRU 7.10.43R01/01/2007

For commodity risk, the VaR model must use a separate risk factor at least for each commodity in which the firm has material positions. The VaR model must also capture the risk of less than perfectly correlated movements between similar, but not identical, commodities and the exposure to changes in forward prices arising from maturity mismatches. It must also take account of market characteristics, notably delivery dates and the scope provided to traders to close out position

BIPRU 7.10.60R01/01/2007

The VaR model must be fully integrated into the daily risk management process of the firm, and serve as the basis for reporting risk exposures to senior management of the firm.

BIPRU 7.10.84G01/01/2007

Stress testing is a way of identifying the risk to a firm posed by a breakdown of model assumptions or by low-probability events. Where stress tests reveal unacceptable vulnerability to a given set of circumstances, a firm should take prompt steps to manage those risks appropriately, for example by hedging against the outcome or reducing the size of the firm'sexposure.

BIPRU 2.2.30G01/01/2007

A firm should assess its exposure to changes in interest rates, in particular risks arising from the effect of interest rate changes on non-trading book activities that are not captured by the CRR. In doing so, a firm may wish to use stress tests to determine the impact on its balance sheet of a change in market conditions.

BIPRU 2.2.31G01/01/2007

A firm should assess its exposure to risks transferred through the securitisation of assets should those transfers fail for whatever reason. A firm should consider the effect on its financial position of a securitisation arrangement failing to operate as anticipated or of the values and risks transferred not emerging as expected.

BIPRU 2.2.32G01/01/2007

A firm should assess its exposure to residual risks that may result from the partial performance or failure of credit risk mitigation techniques for reasons that are unconnected with their intrinsic value. This could result from, for instance, ineffective documentation, a delay in payment or the inability to realise payment from a guarantor in a timely manner. Given that residual risks can always be present, a firm should assess the appropriateness of its CRR against its assumptions

BIPRU 2.2.33G01/04/2013

A firm should assess, and monitor, in detail its exposure to sectoral, geographic, liability and asset concentrations. The appropriate regulator considers that concentrations in these areas increase a firm's exposure to credit risk. Where a firm identifies such concentrations it should consider the adequacy of its CRR.

BIPRU 9.8.1R01/01/2007

The use of ECAIs' credit assessments for the calculation of a firm'srisk weighted exposure amounts under BIPRU 9 must be consistent and in accordance with BIPRU 9.8.2 RBIPRU 9.8.7 R. Credit assessments must not be used selectively.[Note:BCD Article 99]

BIPRU 9.8.2R01/01/2007

A firm may nominate one or more eligible ECAIs the credit assessments of which must be used in the calculation of its risk weighted exposure amounts under BIPRU 9 (a nominated ECAI).[Note:BCD Annex IX Part 3 point 2]

BIPRU 9.7.3G01/01/2007

The guidance in BIPRU 3.3 (Recognition of ratings agencies) applies for the purposes of BIPRU 9 as it does to exposurerisk weighting in BIPRU 3, save that the reference in BIPRU 3.3 to the regulation 221 of the Capital Requirements Regulations 20061 should be read as a reference to regulation 231 of the Capital Requirements Regulations 20061 for the purposes of BIPRU 9.

BIPRU 9.7.4G31/12/2011

2Where BIPRU 9.7.2R (5) applies to securitisation positions in an ABCP programme, the firm may be granted a waiver which allows it to use the risk weight assigned to a liquidity facility in order to calculate the risk weighted exposure amount for the positions in the ABCP programme, provided that the liquidity facility ranks pari passu with the positions in the ABCP programme so that they form overlapping positions and 100% of the commercial paper issued by the ABCP programme

BIPRU 3.1.3G01/01/2007

BIPRU 3.1 sets out how a firm should calculate the credit risk capital component, which is one of the elements that make up the credit risk capital requirement under GENPRU 2.1.51 R. Part of that calculation involves calculating risk weighted exposure amounts for exposures in the firm'snon-trading book. The rest of BIPRU 3 sets out how the firm should carry out that calculation.

BIPRU 3.1.5R01/01/2007

The credit risk capital component of a firm is 8% of the total of its risk weighted exposure amounts for exposures falling into BIPRU 3.1.6 R, calculated in accordance with BIPRU 3.

APER 4.2.6G07/03/2016

3Undertaking, recommending or providing advice on transactions without a reasonable understanding of the risk exposure of the transaction to a customer falls within APER 4.2.2 G.

Related provisions for APER 4.2.8

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