Related provisions for BIPRU 8.7.15

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BIPRU 8.7.1GRP
The calculation of the consolidated capital resources requirement of a firm's UK consolidation group or non-EEA sub-group involves taking the individual components that make up the capital resources requirement on a solo basis and applying them on a consolidated basis. Those components are the capital charge for credit risk (the credit risk capital requirement), the capital charge for market risk (the market risk capital requirement), the capital charge for operational risk (the
BIPRU 8.7.10RRP
A firm must calculate the consolidated capital resources requirement of its UK consolidation group or non-EEA sub-group as the higher of the following consolidated requirements components:33(1) the sum of the consolidated credit risk requirement and the consolidated market risk requirement; and3(2) the consolidated fixed overheads requirement. 3
BIPRU 8.7.12RRP
Table: Capital charges relating to consolidated requirement componentsThis table belongs to BIPRU 8.7.11 RConsolidated requirement componentRules on which the consolidated requirement component are based (the applicable risk capital requirement)Consolidated credit risk requirementCredit risk capital requirementConsolidated fixed overheads requirementFixed overheads requirementConsolidated market risk requirementMarket risk capital requirement3
BIPRU 13.6.35ARRP
3Where appropriate, volatilities and correlations of market risk factors used in the joint simulation of market risk and credit risk must be conditioned on the credit risk factor to reflect potential increases in volatility or correlation in an economic downturn.[Note: BCD Annex III Part 6 point 14]
BIPRU 13.6.57RRP
(1) A firm must stress test its CCRexposures, including jointly stressing market risk and credit risk factors.(2) In its stress tests of CCR, a firm must consider concentration risk (to a single counterparty or groups of counterparties), correlation risk across market risk and credit risk, and the risk that liquidating the counterparty's positions could move the market.(3) In its stress tests a firm must also consider the impact on its own positions of such market moves and integrate
BIPRU 13.6.67RRP
(1) A firm'sCCR internal model method model must meet the validation requirements in (2) to (8).(2) The qualitative validation requirements set out in BIPRU 7.10 must be met.(3) Interest rates, foreign currency rates, equity prices, commodities, and other market risk factors must be forecast over long time horizons for measuring CCRexposure. The performance of the forecasting model for market risk factors must be validated over a long time horizon.(4) The pricing models used to
GENPRU 2.2.56GRP
This table belongs to GENPRU 2.2.55 GDescription of the stage of the capital resources calculationStage in the capital resources tableAmount (£)Total tier one capital and tier two capital after deductionsStage N140Credit and counterparty1 risk requirement16(100)Tier one capital and tier two capital available to meet market risk requirement40Tier three capitalStage Q50Total capital available to meet market risk requirement90Market risk requirement(90)Market risk requirement met
GENPRU 2.2.58GRP
In this example it is assumed that the maximum possible amount of tier one capital is carried forward to meet the market risk requirement. There are other options as to the allocation of tier one capital and tier two capital to the credit and counterparty1 risk requirement.1In order to calculate the relevant tier one capital for the upper tier three gearing limit in accordance with GENPRU 2.2.49 R it is first necessary to allocate tier one capital and tier two capital to the individual
SUP 16.12.9RRP

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'saccounting 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

84

the Society (note 1)

Description of data item and data item

Frequency

Submission deadline

Description of data item

Frequency

Submission deadline

Annual Lloyd's return

Annually

6 months after the Society'saccounting reference date

Syndicate accounts and reports (note 2)

Annually

6 months after the Society'saccounting reference date

Quarterly reporting statement

Quarterly

15 business days after the quarter end

Balance Sheet

FSA001 (notes 15, 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 (Notes 20, 21)15

1513

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]84

84

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

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.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74.

Note 14

BIPRU firms37report half yearly on 30 business days submission37. All UK consolidation group reports report half yearly on 45 business days submission. All other firms report monthly on 20 business days submission.

37

Note 15

This data item only applies to BIPRUfirms.

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

This will not be applicable to BIPRU firms37.

3737
SUP 16.12.11RRP

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

Description of data item

45Firms' prudential category and applicable data items(note 1)

IFPRU investment firms and BIPRU firms

Firmsother thanBIPRU firms or IFPRU investment firms

IFPRU

BIPRU

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 13

38

Solvency statement

No standard format (note 11)

No standard format (note 20)

No standard format (note 11)

38

Balance sheet

FSA001/FINREP (note 36)

FSA001 (Note 2)

FSA029 (note 18)

FSA029

FSA029

FSA029 (note 15) or Section A RMAR (note 15)

38

Income statement

FSA00250/FINREP (note 36)

50

FSA002 (Note 2)

FSA030 (note 18)

FSA030

FSA030

FSA030 (note 15) or Section B RMAR (note 15)

38

Capital adequacy

COREP (Note 36)

FSA003 (Note 2)

FSA033 (note 18)

FSA034 or FSA035 or FIN07152 (note 14)

FSA031

FSA032 (note 15) or Section D162 RMAR (note 15)

5050
38

Supplementary capital data for collective portfolio management investment firms

FIN067 (Note 35)

FIN068 (Note 35)

Credit risk

COREP (Note 36)

FSA004 (Notes 2, 3)

Market risk

COREP (Note 36)

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (Note 5)

Operational risk

COREP (Note 36)

Large exposures

COREP (Note 36)

Exposures between core UK group and non-core large exposures group

FSA018 (note 12)

Solo consolidation data

FSA016 (note 25)

FSA016 (Note 25)

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA sub-group

COREP (Note 36)

FSA028 (Note 9)

Threshold conditions

Section F RMAR (Note 15)

Client money and client assets

FSA039

FSA039

FSA039 (note 18)

FSA039

FSA039

Section C RMAR (Note 15) or FSA039

38

CFTC

FSA040 (note 24)

FSA040 (Note 24)

FSA040 (note 24)

FSA040 (note 24)

FSA040 (note 24)

FSA040 (note 24)

38

IRB portfolio risk

FSA045 (note 22)

FSA045 (Note 22)

Securitisation: non-trading book

COREP (Note 36)

FSA046 (Note 23)

Daily Flows

FSA047/COREP (Notes 26, 29 , 31, 33, and 36)

Enhanced Mismatch Report

FSA048/COREP (Notes 26, 29 , 31, 33, and 36)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 27, 30, 31, 33, and 36)

Funding Concentration

FSA051/COREP (Notes 27, 30, 31, 33, and 36)

Pricing data

FSA052/COREP (Notes 27, 31, 33, 34, and 36)

Retail and corporate funding

FSA053/COREP (Notes 27, 30, 31, 33, and 36)

Currency Analysis

FSA054/COREP (Notes 27, 30, 31, 33, and 36)

Systems and Controls Questionnaire

FSA055/COREP (Notes 28, 33, and 36)

FSA055 (Notes 28 and 33)

Securitisation: trading book

COREP (Note 36)

46Liquidity Questionnaire

MLA-M (Note 37)

MLA-M (Note 37)

MLA-M (Note 37)

MLA-M (Note 37)

MLA-M (Note 37)

MLA-M (Note 37)

MLA-M (Note 37)

Note 1

All firms, except IFPRU investment firms in relation to data items reported under the EU CRR, when submitting the completed data item required, a firm 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

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any time 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 4

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 5

Only applicable to firms with a VaR model permission.

Note 6

[deleted]

Note 7

[deleted]

Note 8

Only applicable to IFPRU investment firms and BIPRU firms that:

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or

(b) have been granted an investment firm consolidation waiver

;or

(c) are not subject to consolidated supervision under BIPRU 8.

An IFPRU investment firm and a BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and a BIPRU firm under (b) or (c) must complete the report on the basis of its solo position.

Note 9

This will be applicable to firms that are members of a UK consolidation group on the reporting date.

Note 10

[deleted]55

55

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

This is only applicable to a firm that has both a core UK group and a non-core large exposures group.

Note 13

[deleted]55

5055

Note 14

FSA03474 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74, unless it calculates its own funds requirement in accordance with IPRU(INV) 5.4.10R74, in which case FIN071 must be completed.52

Note 15

FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections A, B, C, D1,62 and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

505050

Note 16

[deleted]

Note 17

An exempt BIPRU commodity firm will, by virtue of the definition of BIPRU TP 15, be exempt from completing FSA003 (and thus FSA004, FSA005, FSA006 and FSA007) for the duration of the transitional provision. It is however required to submit all other data items applicable according to the firm's BIPRU classification including, for the avoidance of doubt, BIPRU TP 16.

Note 18

Except if the firm is an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R.

Note 19

[deleted]55

55

Note 20

Only required in the case of an adviser, local or traded options market maker (as referred to in IPRU(INV) 3-60(4)R) that is a sole trader.

Note 21

[deleted]

Note 22

Only applicable to firms that have an IRB permission.

Note 23

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations. of non-trading book exposures.

Note 24

Only applicable to firms granted a Part 30 exemption order and operating an arrangement to cover forward profits on the London Metals Exchange.

Note 25

Only applicable to a firm that has a solo consolidation waiver.

Note 26

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UKlead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

Note 27

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UKDLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UKDLG by modification, it must complete the item on the basis of that group.

Note 28

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

Note 29

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

Note 30

Note 29 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 31

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.15

Note 32

Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book.

Note 33

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note 34

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

Note 35

Only applicable to firms that are collective portfolio management investment firms.

Note 36

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.

46Note 37

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 its Part 4A permission was and continues to remain subject to a restriction preventing it from undertaking new home financing or home finance administration connected to regulated mortgage contracts.

SUP 16.12.15RRP

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

48Description of data item

Firms' prudential category and applicable data items (note 1)

IFPRU investment firms and BIPRU firms

Firms other than BIPRU firms or IFPRU investment firms

IFPRU

BIPRU

IPRU(INV) Chapter 3

IPRU(INV) Chapter 5

IPRU(INV) Chapter 9

IPRU(INV) Chapter 11 (collective portfolio management firms only)

IPRU(INV) Chapter 1248

IPRU(INV) Chapter 13

38

Solvency statement

No standard format

No standard format (Note 11)

No standard format

No standard format

38

Balance sheet

FSA001/FINREP (Notes 2 and 34)

FSA001 (Note 2)

FSA029

FSA029

FSA029

FSA029

FSA02948

FSA029 (note 15) or Section A RMAR (note 15)

38

Income statement

FSA002/FINREP (Notes 2 and 34)

FSA002 (Note 2)

FSA030

FSA030

FSA030

FSA030

FSA03048

FSA030 (note 15) or Section B RMAR (note 15)

38

Capital adequacy

COREP (Note 34)

FSA003 (Note 2)

FSA033

FSA034 or FSA035 or FIN07152 (note 14)

FSA031

FIN066

FIN06948

SectionD162 RMAR or FSA032 (note 15)

50
38

Supplementary capital data for collective portfolio management investment firms

FIN067 (Note 32)

FIN068 (Note 32)

Credit risk

COREP (Note 34)

FSA004 (Notes 2, 3)

Market risk

COREP (Note 34)50

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (note 5)

Operational risk

COREP (Note 34)

Large exposures

COREP (Note 34)

Exposures between core UK group and non-core large exposures group

FSA018 (note 12)

Solo consolidation data

FSA016 (note 20)

FSA016 (Note 20)

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA subgroup

COREP (Note 34)

FSA028 (Note 9)

Threshold conditions

Section F RMAR (note 15)

Volumes and types of business (note 21)

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

FSA038

38

Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

FSA039

FSA03948

Section C RMAR (note 15) or FSA039

38

72

72

38

IRB portfolio risk

FSA045 (note 18)

FSA045 (Note 18)

Securitisation: non-trading book

COREP (Note 34)

FSA046 (Note 19)

Daily Flows

FSA047/COREP (Notes 23, 26, 28, 30 and 34)

Enhanced Mismatch Report

FSA048/COREP (Notes 23, 26, 28, 30 and 34)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 24, 27, 28, 30 and 34)

Funding Concentration

FSA051/COREP (Notes 24, 27, 28, 30 and 34)

Pricing data

FSA052/COREP (Notes 24, 28, 30, 31 and 34)

Retail and corporate funding

FSA053/COREP (Notes 24, 27, 28, 30 and 34)

Currency Analysis

FSA054/COREP (Notes 24, 27, 28, 30 and 34)

Systems and Controls Questionnaire

FSA055/COREP (Notes 25, 30 and 34) FSA055 (Notes 25 and 30)

FSA055 (Notes 25 and 30)

Securitisation: trading book48

COREP (Note 34)

FSA058 (Note 29)

Information on P2P agreements48

FIN07048

Note 1

All firms, except IFPRU investment firms in relation to data items reported under the EU CRR, when submitting the completed data item required, a firm must use the format of the data item set out in SUP 16 Annex 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

Note 3

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 4

This applies to a firm that is required to submit data item FSA003 and at any time 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 5

Only applicable to firms with a VaR model permission.

Note 6

[deleted]

Note 7

[deleted]

Note 8

Only applicable to IFPRU investment firms and BIPRU firms

that :

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or

(b) have been granted an investment firm consolidation waiver;

or

(c) are not subject to consolidated supervision under BIPRU 8

BIPRU 8.

An IFPRU investment firm and a BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and a BIPRU firm under (b) or (c) must complete the report on the basis of its solo position.

Note 9

This will be applicable to firms that are members of a UK consolidation group on the reporting date.

Note 10

[deleted]55

55

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

Only applicable to a firm that has both a core UK group and a non-core large exposures group.

Note 13

[deleted]55

55

Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74, unless it calculates its own funds requirement in accordance with IPRU(INV) 5.4.10R74, in which case FIN071 must be completed.52

Note 15

FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

Sections A, B, C, D162 and F RMAR only apply to a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

50

Note 16

[deleted]

Note 17

[deleted]

Note 18

Only applicable to firms that have an IRB permission.

Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading book exposures.

Note 20

Only applicable to a firm that has a solo consolidation waiver.

Note 21

[deleted]

Note 22

[deleted]72

Note 23

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

Note 24

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

Note 25

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

Note 26

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

Note 27

Note 26 applies, except that paragraphs (3), (4), and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 28

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.

Note 29

Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book.

Note 30

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note 31

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

Note 32

Only applicable to firms that are collective portfolio management investment firms.

Note 33

Only applicable to firms that have a managing investmentspermission.

Note 34

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.

SUP 16.12.22ARRP

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

45Description ofData item

Firms' prudential category and applicable data item (note 1)

IFPRU

BIPRU firm

Exempt CAD firmssubject toIPRU(INV)Chapter 13

Firms(other thanexempt CAD firms) subject toIPRU(INV)Chapter 13

Firmsthat are also in one or more ofRAGs1 to 6 and not subject toIPRU(INV)Chapter 13

Solvency statement

No standard format (note 11)

Balance Sheet

FSA001/FINREP (Notes 2 and 29)

FSA001 (Note 2)

FSA029

Section A RMAR

Income Statement

FSA002/FINREP (Notes 2 and 29)

FSA002 (Note 2)

FSA030

Section B RMAR

Capital Adequacy

COREP (Note 29)

FSA003 (Note 2)

FSA032

Section D1 62 RMAR (Note 23)

5050

Credit risk

COREP (Note 29)

FSA004 (Notes 2, 3)

Market risk

COREP (Note 29)

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (Note 5)

Operational risk

COREP (Note 29)

Large exposures

COREP (Note 29)

Exposures between core UK group and non-core large exposures group

FSA018 (note 12)

Solo consolidation data

FSA016

FSA016

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA sub-group

COREP (Note 29)

FSA028 (Note 9)

Professional indemnity insurance (note 15)

Section E RMAR

Section E RMAR

Section E RMAR

Section E RMAR

Threshold Conditions

Section F RMAR

Section F RMAR

Training and Competence

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

Section G RMAR

COBS data

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Section H RMAR

Client money and client assets

Section C RMAR

Section C RMAR

Section C RMAR

Section C RMAR

Fees and levies

Section J RMAR

Section J RMAR

Section J RMAR

Section J RMAR

Adviser charges

Section K RMAR (Note 26)

Section K RMAR (Note 26)

Section K RMAR (Note 26)

Section K RMAR (Note 26)

Section K RMAR (Note 26)

IRB portfolio risk

FSA045 (note 13)

FSA045 (Note 13)

Securitisation: non-trading book

COREP (note 29)

FSA046 (Note 14)

Daily Flows

FSA047/COREP (Notes 16, 19, 21, 24 and 29)

Enhanced Mismatch Report

FSA048/COREP (Notes 16, 19, 21, 24 and 29)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 17, 20, 21, 24 and 29)

Funding Concentration

FSA051/COREP (Notes 17, 20, 21, 24 and 29)

Pricing data

FSA052/COREP (Notes 17, 20, 21, 24 and 29)

Retail and corporate funding

FSA053/COREP (Notes 17, 20, 21, 24 and 29)

Currency Analysis

FSA054/COREP (Notes 17, 20, 21, 24 and 29)

Systems and Controls Questionnaire

FSA055/COREP (Notes 18, 24 and 29)

FSA055 (Notes 18 and 24)

Securitisation: trading book

COREP (Note 29)

FSA058 (Note 22)

Supplementary capital data for collective portfolio management investment firms

FIN067 (Note 28)

FIN068 (Note 28)

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 24 R, or SUP 16 Annex 18A R in the case of the RMAR. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G, or SUP 16 Annex 18B G in the case of the RMAR.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any time55within 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.

55

Note 4

This applies to a firm that is required to submit data item FSA003 and, at any time 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 5

Only applicable to firms with a VaR model permission.

Note 6

[deleted]

Note 7

[deleted]

Note 8

Only applicable to IFPRU investment firms and BIPRU firms that:

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or

(b) have been granted an investment firm consolidation waiver; or

(c) are not subject to consolidated supervision under BIPRU 8.

An IFPRU investment firm and a BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and a BIPRU firm under (b) or (c) must complete the report on the basis of its solo position.

Note 9

This will be applicable to firms that are members of a UK consolidation group on the reporting date.

Note 10

[deleted]55

55

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

Only applicable to a firm that has both a core UK group and a non-core large exposures group.

Note 13

Only applicable to firms that have an IRB permission.

Note 14

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures.

Note 15

This item only applies to firms that are subject to an FCA requirement to hold professional indemnity insurance and are not exempt CAD firms.

Note 16

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

Note 17

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

Note 18

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

Note 19

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

Note 20

Note 19 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 21

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.

Note 22

Only applicable to firms that hold securitisation positions in the trading book and/ or are the originator or sponsor of securitisations held in the trading book.

Note 23

Where a firm submits data items for both RAG 7 and RAG 9, the firm must complete Section D1.73

Note 24

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note 25

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

Note 26

This item only applies to firms that provide advice on retail investment products and P2P agreements67.

Note 27

[deleted]51

Note 28

Only applicable to firms that are collective portfolio management investment firms.

Note 29

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.

SUP 16.12.25ARRP

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

45Description of data item

Firms' prudential category and applicable data item(note 1)

IFPRU investment firms and BIPRU firms

Firmsother thanBIPRU firms or IFPRU investment firms

IFPRU

BIPRU

IPRU(INV)Chapter 3

IPRU(INV)Chapter 5

IPRU(INV)Chapter 9

IPRU(INV)Chapter 13

38

Solvency statement (note 11)

No standard format

38

Balance sheet

FSA001/FINREP (Notes 2 and 30)

FSA001 (Note 2)

FSA029

FSA029

FSA029

Section A RMAR (note 17) or FSA029

Income statement

FSA002/FINREP (Notes 2 and 30)

FSA002 (Note 2)

FSA030

FSA030

FSA030

Section B RMAR (note 17) or FSA030

Capital adequacy

COREP (Note 30)

FSA003 (Note 2)

FSA033

FSA034 or FSA035 or FIN07152 (note 14)

FSA031

Section D1 62 RMAR (note 17) or FSA 032 (note 15)

50
38

Credit risk

COREP (Note 30

FSA004 (Notes 2, 3)

Market risk

COREP (Note 30)

FSA005 (Notes 2, 4)

Market risk - supplementary

FSA006 (note 5)

FSA006 (Note 5)

Operational risk

COREP (Note 30)

Large exposures

COREP (Note 30)

UK Integrated group large exposures

FSA018 (note 12)

Exposures between core UK group and non-core large exposures group

FSA016 (note 20)

Solo consolidation data

FSA016 (note 20)

Pillar 2 questionnaire

FSA019 (note 8)

FSA019 (Note 8)

Non-EEA sub-group

COREP (Note 30)

FSA028 (Note 9)

Threshold conditions

Section F RMAR (note 17)

Client money and client assets

FSA039

FSA039

FSA039

FSA039

FSA039

Section C RMAR (Note 13) or FSA039

38

IRB portfolio risk

FSA045 (note 18)

FSA045 (Note 18)

Securitisation: non-trading book

COREP (Note 30)

FSA046 (Note 19)

Daily Flows

FSA047/COREP (Notes 21, 24, 26, 28 and 30)

Enhanced Mismatch Report

FSA048/COREP (Notes 21, 24, 26, 28 and 30)

Liquidity Buffer Qualifying Securities

FSA050/COREP (Notes 22, 25, 26, 28 and 30)

Funding Concentration

FSA051/COREP (Notes 22, 25, 26, 28 and 30)

Pricing data

FSA052/COREP (Notes 22, 26, 28, 29 and 30)

Retail and corporate funding

FSA053/COREP (Notes 22, 25, 26, 28 and 30)

Currency Analysis

FSA054/COREP (Notes 22, 25, 26, 28 and 30)

Systems and Controls Questionnaire

FSA055/COREP (Notes 23, 28 and 30)

FSA055 (notes 23 and 28)45

Securitisation: trading book

COREP (Note 30)

FSA058 (Note 27)

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 24 R. Guidance notes for completion of the data items are contained in SUP 16 Annex 25 G.

Note 2

Firms that are members of a UK consolidation group are also required to submit this report on a UK consolidation group basis.

Note 3

This applies to a firm that is required to submit data item FSA003 and, at any time 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 4

This applies to a firm that is required to submit data item FSA003 and, at any time 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 5

Only applicable to firms with a VaR model permission.

Note 6

[deleted]

Note 7

[deleted]

Note 8

Only applicable to IFPRU investment firms and BIPRU firms that:

(a) are subject to consolidated supervision under BIPRU 8, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or that have been granted an investment firm consolidation waiver; or

(b) have been granted an investment firm consolidation waiver; or

(c) are not subject to consolidated supervision under BIPRU 8.

An IFPRU investment firm and BIPRU firm under (a) must complete the report on the basis of its UK consolidation group. An IFPRU investment firm and BIPRU firm under (b) or (c) must complete the report on the basis of its solo position.

Note 9

This will be applicable to firms that are members of a UK consolidation group on the reporting date.

Note 10

[deleted]55

55

Note 11

Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.

Note 12

Only applicable to a firm that has both a core UK group and a non-core large exposures group.

Note 13

FSA039 must only be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm. Section C RMAR must only be completed by a firm subject to IPRU(INV) Chapter 13 which is not an exempt CAD firm.

Note 14

FSA034 must be completed by a firm not subject to the exemption in IPRU(INV) 5.4.2R74.

FSA035 must be completed by a firm subject to the exemption in IPRU(INV) 5.4.2R74, unless it calculates its own funds requirement in accordance with IPRU(INV) 5.4.10R74, in which case FIN071 must be completed.52

Note 15

FSA032 must be completed by a firm subject to IPRU(INV) Chapter 13 which is an exempt CAD firm.

Note 16

[deleted]

Note 17

This is only applicable to a firm subject to IPRU(INV) Chapter 13 that is not an exempt CAD firm.

Note 18

Only applicable to firms that have an IRB permission.

Note 19

Only applicable to firms that hold securitisation positions, or are the originator or sponsor of securitisations of non-trading bookexposures.

Note 20

Only applicable to a firm that has a solo consolidation waiver.

Note 21

A firm must complete this item separately on each of the following bases (if applicable).

(1) It must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.

(3) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

(4) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.

Note 22

A firm must complete this item separately on each of the following bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

(2) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.

Note 23

If it is a non-ILAS BIPRU firm, it must complete it on a solo basis. Therefore even if it has a solo consolidation waiver it must complete the item on an unconsolidated basis by reference to the firm alone.

Note 24

(1) This item must be reported in the reporting currency.

(2) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.

(3) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency). However if:

(a) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or

(b) the only material currency is the reporting currency;

(3) does not apply.

(4) If there are more than three material currencies for this data item, (3) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.

(a) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.

(b) Take the three largest figures from the resulting list of amounts.

(5) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.

(6) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).

Note 25

Note 24 applies, except that paragraphs (3), (4) and (5) do not apply, meaning that material currencies must not be recorded separately.

Note 26

Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun. This paragraph is subject to anything that the intra-group liquidity modification says to the contrary.

Note 27

Only applicable to firms that hold securitisation positions in the trading book and/or are the originator or sponsor of securitisations held in the trading book.

Note 28

FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm does not need to complete FSA055. A non-ILAS BIPRU firm must complete FSA055 and does not need to complete FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note 29

This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

Note 30

Requirements under COREP and FINREP should be determined with reference to the EU CRR and applicable technical standards.

BIPRU 11.5.17RRP
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 or capital resource requirements according to BIPRU 7.2.48A R to BIPRU 7.2.48K R4 must disclose the following information, where relevant separately for its trading book and non-trading book:4(1) a description of the firm's objectives in relation to securitisation activity;(1A) the nature of other risks, including liquidity risk inherent in securitised assets;4(1B) the type of risks in terms of seniority
BIPRU 2.2.27GRP
(1) This paragraph applies to a proportional ICAAP in the case of a firm whose activities are complex.(2) A proportional approach to that firm'sICAAP should cover the matters identified in BIPRU 2.2.26 G, but is likely also to involve the use of models, most of which will be integrated into its day-to-day management and operation.(3) Models of the sort referred to in (2) may be linked so as to generate an overall estimate of the amount of capital that a firm considers appropriate
BIPRU 2.2.67GRP
Where a securities firm deals in illiquid securities (for example, unlisted securities or securities listed on illiquid markets), or holds illiquid assets, potentially large losses can arise from trades that have failed to settle or because of large unrealised market losses. A securities firm may therefore consider the impact of liquidity risk on its exposure to:(1) credit risk; and(2) market risk.
IFPRU 2.3.36GRP
(1) This paragraph applies to a proportional ICAAP in the case of a firm that is a significant IFPRU firm (see IFPRU 1.2.3 R) whose activities are complex.(2) A proportional approach to that firm'sICAAP should cover the matters identified in IFPRU 2.3.34 G and IFPRU 2.3.35 G, but is likely also to involve the use of models, most of which will be integrated into its day-to-day management and operation.(3) Models of the kind referred to in (2) may be linked to generate an overall
IFPRU 2.3.64GRP
Where a securities firm deals in illiquid securities (eg, unlisted securities or securities listed on illiquid markets) or holds illiquid assets, potentially large losses can arise from trades that have failed to settle or because of large unrealised market losses. Therefore, a securities firm may consider the impact of liquidity risk on its exposure to: (1) credit risk; and(2) market risk.
BIPRU 9.1.8AGRP
(1) The appropriate regulator expects firms to conduct regular stress testing in relation to their securitisation activities and off-balance sheet exposures. The stress tests should consider the firm-wide impact of those activities and exposures in stressed market conditions and the implications for other sources of risk, for example, credit risk, concentration risk, counterparty risk, market risk, liquidity risk and reputational risk. Stress testing of securitisation activities
REC 2.3.11GRP
4For the purposes of REC 2.3, "eligible financial resources" should consist of liquid financial assets held on the balance sheet of a UK recognised body, including cash and liquid financial instruments where the financial instruments have minimal market and credit risk and are capable of being liquidated with minimal adverse price effect.
SYSC 13.2.1GRP
SYSC 13 provides guidance on how to interpret SYSC 3.1.1 R and SYSC 3.2.6 R, which deal with the establishment and maintenance of systems and controls, in relation to the management of operational risk. Operational risk has been described by the Basel Committee on Banking Supervision as "the risk of loss, resulting from inadequate or failed internal processes, people and systems, or from external events". This chapter covers systems and controls for managing risks concerning any
RCB 2.3.7GRP
The risk factors which the FCA will take into account in assessing the issuer's and owner's compliance with Regulations 17(2)(d) (general requirements on issuer in relation to the asset pool) and 23(2) (requirements on owner relating to the asset pool) will include credit risk of the assets, concentration risk, market risk and counterparty risk.
GENPRU 2.1.46RRP
When a3collective portfolio management investment firm9 calculates the credit risk capital requirement and the market risk capital requirement for the purpose of calculating the variable capital requirement under GENPRU 2.1.40 R it must do so only3 in respect of designated investment business. For this purpose managing an AIF or managing a UCITS9 is excluded from designated investment business.3939