chapter 16 reporting requirements - fca handbook · sup 16 : reporting section 16.12 : integrated...

Supervision

Chapter 16

Reporting requirements

SUP 16 : Reporting Section 16.12 : Integrated Regulatoryrequirements Reporting

16

G16.12.1

G16.12.2

■ Release 48 ● Mar 2020www.handbook.fca.org.ukSUP 16/2

16.12 Integrated Regulatory Reporting

Application.....................................................................................................The effect of ■ SUP 16.1.1 R is that this section applies to every firm carryingon business set out in column (1) of ■ SUP 16.12.4 R except:

(1) an incoming EEA firm with permission for cross border services only;

(1A) an incoming EEA firm in relation to its carrying on of bidding inemissions auctions;

(2) an oil market participant that is not subject to the requirements ofIPRU(INV) Chapter 3;

(3) an authorised professional firm (other than one that must complywith IPRU(INV) 3, 5 or 13 in accordance with IPRU(INV) 2.1.4R, or thatis a CASS debt management firm, where ■ SUP 16.12.4 R will apply inrespect of the business the firm undertakes), which must (unless it iswithin (3A)) comply with ■ SUP 16.12.30 R ■ SUP 16.12.31 R;

(3A) an authorised professional firm if the only regulated activity it carrieson is credit-related regulated activity as a non-mainstream regulatedactivity; and

(4) a financial conglomerate, which must comply with ■ SUP 16.12.32 R:firms that are members of a financial conglomerate will have theirown reporting requirements under ■ SUP 16.12.32 R.

(5) UK designated investment firms, which must comply with thereporting requirements in the PRA Rulebook.

Purpose.....................................................................................................(1) Principle 4 requires firms to maintain adequate financial resources.

The Interim Prudential sourcebooks, BIPRU, GENPRU and IFPRU setout the FCA's detailed capital adequacy requirements. By submittingregular data, firms enable the FCA to monitor their compliance withPrinciple 4 and their prudential requirements.

(2) The data items submitted help the FCA analyse firms' financial andother conditions and performance and to understand their business.By means of further collation and review of the data which the dataitems provide, the FCA also uses the data items to identifydevelopments across the financial services industry and its constituentsectors.


16

R16.12.3

■ Release 48 ● Mar 2020 www.handbook.fca.org.uk SUP 16/3

(3) The requirements in this section differ according to a firm's regulatedactivity group (RAG), as different information is required to reflectdifferent types of business. Standard formats are used for reporting,to assist compatibility between firms which carry on similar types ofbusiness. Timely submission is important to ensure the FCA has up-to-date information.

Reporting requirement.....................................................................................................(1) Any firm permitted to carry on any of the activities within each of the

RAGs set out in column (1) of the table in ■ SUP 16.12.4 R must:

(a) (i) unless (ii) or (iii) applies, submit to the FCA the dulycompleted data items or other items applicable to the firm asset out in the provision referred to in column (2) of thattable;

(ii) unless (iii) applies, where a firm is required to submitcompleted data items for more than one RAG, that firm mustonly submit the data item of the same name and purpose inrespect of the lowest numbered RAG applicable to it, RAG 1being the lowest and RAG 12 the highest;

(iii) where a firm is, but for this rule, required to submit dataitems for more than one RAG and this includes thesubmission of data items in respect of fees, the FOS or FSCSlevy, or threshold conditions, that firm must only submitthese data items if they belong to the lowest numbered ofthe RAGs applicable to it;

(iv) in the case of a non-EEA bank, or an EEA bank (whether ornot it has permission for accepting deposits) other than onewith permission for cross border servicesonly, any data itemssubmitted should, unless indicated otherwise, only cover theactivities of the branch operation in the United Kingdom;

in the format specified as applicable to the firm in the provisionreferred to in column (2);

(b) submit this information at the frequency and in respect of theperiods set out in the provision referred to in column (3); and

(c) submit this information by the due date referred to in theprovision referred to in column (4).

(2) Unless (3) applies, any data item in (1) must be submitted byelectronic means made available by the FCA;

(3) Paragraph (2) does not apply to:

(a) [deleted]

(aa) [deleted]

(b) firms in RAG 2 in relation to the reporting requirements for RAG2 activities; and

(c) those data items specified as "No standard format", where■ SUP 16.3.6 R to ■ SUP 16.3.10 G will apply.

(4) A firm that is a member of a financial conglomerate must also submitfinancial reports as required by ■ SUP 16.12.32 R.


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G16.12.3-A

G16.12.3-B

G16.12.3A

G16.12.3B

R16.12.4


(1) Investment firms subject to the EU CRR should refer to any relevanttechnical standards to determine their specific reporting obligations,as those obligations may extend beyond those specified in thischapter.

(2) Where a firm submits a data item pursuant any applicable provisionof the EU CRR any data item with the same name and purpose doesnot have to be submitted again regardless of RAG.

In relation to an investment firm subject to the EU CRR, where an expressionappearing in italics in this chapter is also used in the EU CRR, the italicisedexpression:

(1) has the same meaning as the corresponding expression used in the EUCRR; or

(2) is interpreted in the context of the risk or requirement in the EU CRRthat corresponds to the risk or requirement referred to in theitalicised expression.

[deleted]

Firms' attention is drawn to ■ SUP 16.3.25 G regarding a single submission forall firms in the group.

Table of applicable rules containing data items, frequency and submissionperiods

(1) (2) (3) (4)

Provisions containing:

reporting fre-Regulated Ac- applicable quency/

RAG number tivities data items period due date

RAG 1 RAG 1 firms should complete their pruden-•accepting tial reporting requirements as set out in thedeposits PRA Rulebook.•meeting ofrepaymentclaims

managingdormant ac-count funds(includingthe invest-ment of suchfunds)

RAG 2.1 • effectingcontracts ofinsurance

• carryingout contractsof insurance


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(1) (2) (3) (4)




• entering asprovider intoa funeralplan contract

RAG 2.2 • managing SUP 16.12.9 R SUP 16.12.9 R SUP 16.12.9 Rthe under-writing ca-pacity of aLloyds syn-dicate as amanagingagent atLloyds

• advising onsyndicateparticipationat Lloyds

• arrangingdeals in con-tracts of in-surancewritten atLloyds

RAG 3 • dealing in SUP 16.12.10 R SUP 16.12.10 R SUP 16.12.10 Rinvestment SUP 16.12.11 R SUP 16.12.12 R SUP 16.12.13 Ras principal except

FSA001 and• dealing in FSA002 oninvestments consolidatedas agent basis for FIN-

REP firms• advising oninvestments(except P2Pagreements)(excludingretail invest-ment ac-tivities)

• arranging(bringingabout) dealsin invest-ments (ex-cluding retailinvestmentactivities)

• advising onP2P agree-ments (whencarried onexclusivelywith or for


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(1) (2) (3) (4)




professionalclients)

RAG 4 • managing SUP 16.12.14 R SUP 16.12.14 R SUP 16.12.14 Rinvestments SUP 16.12.15 SUP 16.12.16 R SUP 16.12.17 R

R, except• estab- FSA001 andlishing, op- FSA002 onerating or consolidatedwinding up basis for FIN-a collective REP firmsinvestmentscheme

• estab-lishing, op-erating orwinding upa stake-holder pen-sion scheme

• estab-lishing, op-erating orwinding upa personalpensionscheme

• managingan AIF

• managinga UCITS

• operatingan electronicsystem in re-lation tolending(FCA-au-thorised per-sons only)

RAG 5 • home fin- SUP SUP SUPance admin- 16.12.18BR 16.12.18BR 16.12.18BRistration or and SUP and SUP and SUPhome fin- 16.12.18C R 16.12.18C R 16.12.18C Rance provid-ing activity

• the activityof a P2P plat-form oper-ator facilit-ating ahome fin-ance trans-action,where the


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(1) (2) (3) (4)




lender orproviderdoes not re-quire per-mission toenter intothetransaction

RAG 6 SUP 16.12.19A SUP 16.12.20 R SUP 16.12.21 R• safe- Rguardingand adminis-tration of as-sets (withoutarranging)

• arrangingsafeguardingand adminis-tration ofassets

• acting astrustee ordepositary ofan AIF

• acting astrustee ordepositary ofa UCITS

RAG 7 • retail in- SUP 16.12.22A SUP 16.12.23A SUPvestment R except R 16.12.24ARactivities FSA001 and

FSA002 on•advising on consolidatedP2P agree- basis for FIN-ments (ex- REP firmscept whencarried onexclusivelywith or forprofessionalclients)

• advising onpensionstransfers &opt-outs

• arranging(bringingabout deals)in retail in-vestments

RAG 8 • making ar- SUP SUP 16.12.26 R SUP 16.12.27 Rrangements 16.12.25AR orwith a view SUP


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G16.12.4B

R16.12.5

R16.12.6

R16.12.7


(1) (2) (3) (4)




to transac- 16.12.25CRtions in in- for UK desig-vestments nated in-

vestment• operating firms excepta multilat- FSA001 anderal trading FSA002 onfacility consolidated

basis for FIN-•operatingREP firmsan organised

tradingfacility

RAG 9 • home fin- SUP 16.12.28A SUP 16.12.28A SUP 16.12.28Aance medi- R R Ration activity

• insurancedistributionactivity (non-investmentinsurancecontracts)

RAG 10 • the activit- SUP 16.12.29 G SUP 16.12.29 G SUP 16.12.29ies of an RIE G

RAG 11 bidding in SUP 16.12.29A SUP 16.12.29A SUP 16.12.29Aemissions R R Rauctions

RAG 12 • credit-re- SUP 16.12.29C SUP 16.12.29C SUP 16.12.29Clated regu- R R Rlated activity

Group liquidity reporting.....................................................................................................Reporting at group level for liquidity purposes by firms falling within BIPRU12 (Liquidity) is by reference to defined liquidity groups. Guidance about thedifferent types of defined liquidity groups and related material is set out in■ SUP 16 Annex 26 (Guidance on designated liquidity groups in ■ SUP 16.12).

Regulated Activity Group 1.....................................................................................................[deleted]

[deleted]

[deleted]


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R16.12.9


Regulated Activity Group 2.2.....................................................................................................The applicable data items referred to in ■ SUP 16.12.4 R are set out accordingto type of firm in the table below.

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

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

Member's adviser the Society (note 1)

Descrip- Frequency Submission Description Frequency Submissiontion of deadline of data deadlinedata item item

Annual Annually 6 monthsLloyd's after thereturn Society's

accountingreferencedate

Syndicate Annually 6 monthsaccounts after theand re- Society'sports (note accounting2) reference

date

Quarterly Quarterly 15 businessreporting days afterstatement the quar-

ter end

Balance Sheet

FSA001 Quarterly (note 14)(notes 15, or half20) or yearly

FSA029 Quarterly (note 14)(note 14)

Income Statement

FSA002 Quarterly (note 14)(note20), or half ye-or arly (note

14)

FSA030 Quarterly (note 14)


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Capital Adequacy

FSA003 Monthly, (note 14)(notes 4, quarterly20) or or half ye-

arly (note14)

FSA033 Quarterly (note 14)(note 12)or

FSA034 Quarterly (note 14)(note 13)or

FSA035 Quarterly (note 14)(note 13)

Credit Risk

FSA004 Quarterly (note 14)(notes 5, or half ye-20) arly (note

14)

Market Risk

FSA005 Quarterly (note 14)(notes 6, or half ye-20) arly (note

14)

Large Exposures

FSA008 Quarterly 20 business(Notes 20, days (note21) 19)

Note 1 The Society must prepare its reports in the format specified inIPRU(INS) Appendix 9.11, unless Note 2 applies.

Note 2 The Society must ensure that the annual syndicate accountsand reports are prepared in accordance with the Insurance Ac-counts Directive (Lloyd's Syndicate and Aggregate Accounts)Regulations 2008 (S.I. 2008/1950).

Note 3 [deleted]

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 itemFSA003 and, at anytime within the 12 months up to its latestaccounting reference date ("the relevant period"), was re-porting 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 orboth of its last two submissions in the relevant period showthat the threshold was exceeded.


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In the case of Firm B it must report this item if both the lasttwo submissions in the relevant period show that the thresh-old has been exceeded.

The threshold is exceeded where data element 77A in dataitem FSA003 is greater than £10 million, or its currency equiva-lent, at the relevant reporting date for the firm.

Note 6 This applies to a firm that is required to submit data itemFSA003 and, at anytime within the 12 months up to its latestaccounting reference date ("the relevant period"), was re-porting data item FSA005 ("Firm A") or not reporting thisitem ("Firm B").


In the case of Firm B it must report this item if both the lasttwo submissions in the relevant period show that the thresh-old has been exceeded.

The threshold is exceeded where data element 93A in dataitem FSA003 is greater than £50 million, or its currency equiva-lent, at the relevant reporting date for the firm.

Note 7 [deleted]

Note 8 [deleted]

Note 9 [deleted]

Note 10

[deleted]

Note 11 [deleted]

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 mustbe completed by a firm not subject to the exemption in IPRU(-INV) 5.4.2R, unless it is a firm whose permitted business in-cludes establishing, operating or winding up a personal pen-sion scheme, in which case FIN071 must be completed.

FSA035 must be completed by a firm subject to the exemptionin IPRU(INV) 5.4.2R.

Note 14 BIPRU firms report half yearly on 30 business days submission.All UK consolidation group reports report half yearly on 45business days submission. All other firms report monthly on 20business days submission.

Note 15 This data item only applies to BIPRU firms.

Note 16 [deleted]

Note 17 [deleted]

Note 18 [deleted]

Note 19 UK consolidation group reports have 45 business dayssubmission.

Note 20 Firms that are members of a UK consolidation group are alsorequired to submit FSA001, FSA002, FSA003, FSA004, FSA005and FSA008 on a UK consolidation group basis.


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G16.12.9A

R16.12.10

R16.12.11



Note 21 This will not be applicable to BIPRU firms.

A member’s adviser that is also an IFPRU investment firm will also fall underone of the higher number RAGs that apply to IFPRU investment firms. Thatmeans it will have to report data items in addition to those that it has tosupply under RAG 2.2.

Regulated Activity Group 3.....................................................................................................(1) ■ SUP 16.12.11 R to ■ SUP 16.12.13 R do not apply to:

(a) a lead regulated firm (except in relation to data items 47 to 55(inclusive));

(b) an OPS firm;

(c) a local authority;

(d) a service company.

(2) A PRA lead regulated firm and an OPS firm must submit a copy of itsannual report and audited accounts within 80 business days from itsaccounting reference date.

(3) A PRA service company must submit a copy of its annual auditedfinancial statements within 6 months from its accounting referencedate. However, the firm need only submit this if the report wasaudited as a result of a statutory provision other than the Act.

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

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

IFPRU investment firms Firms other than BIPRU firms orand BIPRU firms IFPRU investment firms

Descrip- IPRU(- IPRU(- IPRU(- IPRU(-tion of INV) INV) INV) INV)data Chap- Chap- Chap- Chap-item IFPRU BIPRU ter 3 ter 5 ter 9 ter 13

Solv- No standard format (note No Noency 11) stand- stand-statement ard ard

for- for-mat mat(note (note20) 11)

Balance FSA001/FIN- FSA001 (Note FSA029 FSA029 FSA029 FSA029sheet REP (note 2) (note (note

36) 18) 15) orSec-tionARMAR(note15)


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Income FSA002/FIN- FSA002 (Note FSA030 FSA030 FSA030 FSA030statement REP (note 2) (note (note

36) 18) 15) orSec-tion BRMAR(note15)

Capital COREP FSA003 (Note FSA033 FSA034 FSA031 FSA032adequacy (Note 36) 2) (note or (note

18) FSA035 15) oror Sec-FIN071 tion(note D114) RMAR

(note15)

Supple- FIN067 FIN068 (Notement- (Note 35) 35)ary cap-italdatafor col-lectiveportfo-lioman-age-mentinvest-mentfirms

Credit COREP FSA004 (Notesrisk (Note 36) 2, 3)

Market COREP FSA005 (Notesrisk (Note 36) 2, 4)

Market FSA006 FSA006 (Noterisk - (note 5) 5)sup-plementary

Opera- COREPtional (Note 36)risk

Large COREPexposures (Note 36)

Expo- FSA018sures (note 12)be-tweencore UKgroup


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andnon-corelargeexpo-suresgroup

Solo FSA016 FSA016 (Noteconsol- (note 25) 25)idationdata

Pillar 2 FSA019 FSA019 (Noteques- (note 8) 8)tionnaire

Non- COREP FSA028 (NoteEEA (Note 36) 9)sub-group

Thresh- Sec-old tion Fconditions RMAR

(Note15)

Client FSA039 FSA039 FSA039 FSA039 FSA039 Sec-money (note tion Cand cli- 18) RMARent (Noteassets 15) or

FSA039

CFTC FSA040 FSA040 (Note FSA040 FSA040 FSA040 FSA040(note 24) 24) (note (note (note (note

24) 24) 24) 24)

IRB FSA045 FSA045 (Noteportfo- (note 22) 22)lio risk

Secur- COREP FSA046 (Noteitis- (Note 36) 23)ation:non-trad-ingbook

Daily FSA047/CO-Flows REP (Notes

26, 29 , 31,33, and36)

En- FSA048/CO-hanced REP (Notes


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Mis- 26, 29 , 31,match 33, andReport 36)

Liquid- FSA050/CO-ity Buf- REP (Notesfer 27, 30, 31,Qualify- 33, anding Se- 36)curities

Fund- FSA051/CO-ing REP (NotesCon- 27, 30, 31,centration 33, and

36)

Pricing FSA052/CO-data REP (Notes

27, 31, 33,34, and36)

Retail FSA053/CO-and REP (Notescorpor- 27, 30, 31,ate 33, andfunding 36)

Cur- FSA054/CO-rency REP (NotesAnalysis 27, 30, 31,

33, and36)

Systems FSA055/CO- FSA055 (Notesand REP (Notes 28 and 33)Con- 28, 33,trols and 36)Ques-tionnaire

Secur- COREPitis- (Note 36)ation:tradingbook

Liquid- MLA-M MLA-M (Note MLA- MLA- MLA- MLA- MLA-ity (Note 37) 37) M M M M MQues- (Note (Note (Note (Note (Notetionnaire 37) 37) 37) 37) 37)

Note 1 All firms, except IFPRU investment firms in relation to data itemsreported under the EU CRR, when submitting the completed dataitem required, a firm must use the format of the data item setout in SUP 16 Annex 24. Guidance notes for completion of the dataitems are contained in SUP 16 Annex 25.


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Note 2 Firms that are members of a UK consolidation group are also re-quired to submit this report on a UK consolidation group basis.

Note 3 This applies to a firm that is required to submit data item FSA003and, at any time within the 12 months up to its latest accountingreference date ("the relevant period"), was reporting data itemFSA004 ("Firm A") or not reporting this item ("Firm B").

In the case of Firm A it must report this data item if one or bothof its last two submissions in the relevant period show that thethreshold was exceeded.

In the case of Firm B it must report this item if both the last twosubmissions in the relevant period show that the threshold hasbeen exceeded.

The threshold is exceeded where data element 77A in data itemFSA003 is greater than £10 million, or its currency equivalent, atthe relevant reporting date for the firm.

Note 4 This applies to a firm that is required to submit data item FSA003and, at anytime within the 12 months up to its latest accountingreference date ("the relevant period"), was reporting data itemFSA005 ("Firm A") or not reporting this item ("Firm B").




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, exceptthose that are either included within the consolidated supervi-sion of a group that includes a UK credit institution, or that havebeen 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 com-plete the report on the basis of its UK consolidation group. An


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IFPRU investment firm and a BIPRU firm under (b) or (c) mustcomplete the report on the basis of its solo position.

Note 9 This will be applicable to firms that are members of a UK consol-idation group on the reporting date.

Note [deleted]10

Note Only applicable to a firm that is a sole trader or a partnership,11 when the report must be submitted by each partner.

Note This is only applicable to a firm that has both a core UK group12 and a non-core large exposures group.

Note [deleted]13

Note FSA034 must be completed by a firm not subject to the exemp-14 tion in IPRU(INV) 5.4.2R, unless it is a firm whose permitted busi-

ness includes establishing, operating or winding up a personalpension scheme, in which case FIN071 must be completed.

FSA035 must be completed by a firm subject to the exemption inIPRU(INV) 5.4.2R.

Note FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject15 to IPRU(INV) Chapter 13 which is an exempt CAD firm. Sections

A, B, C, D1, D2 and F RMAR only apply to a firm subject to IPRU(-INV) Chapter 13 which is not an exempt CAD firm.

Note [deleted]16

Note An exempt BIPRU commodity firm will, by virtue of the defini-17 tion of BIPRU TP 15, be exempt from completing FSA003 (and thus

FSA004, FSA005, FSA006 and FSA007) for the duration of thetransitional provision. It is however required to submit all otherdata items applicable according to the firm's BIPRU classificationincluding, for the avoidance of doubt, BIPRU TP 16.

Note Except if the firm is an adviser (as referred to in IPRU(INV) 3-18 60(4)R.

Note [deleted]19

Note Only required in the case of an adviser (as referred to in IPRU(-20 INV) 3-60(4)R) that is a sole trader.

Note [deleted]21

Note Only applicable to firms that have an IRB permission.22

Note Only applicable to firms that hold securitisation positions, or are23 the originator or sponsor of securitisations of non-trading book

exposures.

Note Only applicable to firms granted a Part 30 exemption order and24 operating an arrangement to cover forward profits on the Lon-

don Metals Exchange.


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Note Only applicable to a firm that has a solo consolidation waiver.25

Note A firm must complete this item separately on each of the follow-26 ing bases (if applicable).

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

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

(3) If it is a group liquidity reporting firm in a UK DLG by modi-fication, 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 bymodification, it must complete the item on the basis of thatgroup.

Note A firm must complete this item separately on each of the follow-27 ing bases that are applicable.

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


Note If it is a non-ILAS BIPRU firm, it must complete it on a solo basis.28 Therefore even if it has a solo consolidation waiver it must com-

plete the item on an unconsolidated basis by reference to thefirm alone.

Note (1) This item must be reported in the reporting currency.29

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

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

(a) the reporting frequency is (whether under a rule or under awaiver) 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 dataitem, (3) only applies to the three largest in amount. A firm mustidentify the largest in amount in accordance with the followingprocedure.

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


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

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

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

Note Note 29 applies, except that paragraphs (3), (4) and (5) do not ap-30 ply, meaning that material currencies must not be recorded

separately.

Note Any changes to reporting requirements caused by a firm receiv-31 ing an intra-group liquidity modification (or a variation to one)

do not take effect until the first day of the next reporting periodapplicable under the changed reporting requirements for thedata item in question if the firm receives that intra-group liquid-ity modification or variation part of the way through such aperiod. If the change is that the firm does not have to report aparticular data item or does not have to report it at a particularreporting level, the firm must nevertheless report that item or atthat reporting level for any reporting period that has already be-gun. This paragraph is subject to anything that the intra-group li-quidity modification says to the contrary.

Note Only applicable to firms that hold securitisation positions in the32 trading book and/or are the originator or sponsor of securitisa-

tions held in the trading book.

Note FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA05433 must be completed by an ILAS BIPRU firm. An ILAS BIPRU firm

does not need to complete FSA055. A non-ILAS BIPRU firm mustcomplete FSA055 and does not need to complete FSA047,FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054.

Note This data item must be reported only in the currencies named in34 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 inEuro are reported in Euro in rows 9 to 12. Liabilities in other cur-rencies are not to be reported.

Note Only applicable to firms that are collective portfolio manage-35 ment investment firms.

Note Requirements under COREP and FINREP should be determined36 with reference to the EU CRR and applicable technical standards.

Note Only applicable to RAG 3 firms carrying on home financing or37 home finance administration connected to regulated mortgage

contracts, unless as at 26 April 2014 its Part 4A permission wasand continues to remain subject to a restriction preventing itfrom undertaking new home financing or home finance adminis-tration connected to regulated mortgage contracts.


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G16.12.11A

R16.12.11B

R16.12.12


The column in the table in ■ SUP16.12.11R that deals with IFPRU firms coverssome liquidity items that only have to be reported by an ILAS BIPRU firm(please see notes 28 and 33).

[deleted]

The applicable reporting frequencies for data items referred to in■ SUP 16.12.4 R are set out in the table below according to firm type.Reporting frequencies are calculated from a firm's accounting referencedate, unless indicated otherwise.

IFPRU Firm125K otherfirm and UK con- than BI-collective solida- PRUportfolio tion firms ormanage- group or IFPRU

IFPRU ment in- defined invest-Data 730K vestment IFPRU BIPRU liquidity mentItem firm firm 50K firm firm group firms

Refer toEU CRRand ap-plicable

COREP/ Refer to EU CRR and applicable technicalFINREP technical standards standards

Solvency Annually Annually Annually Annually Annuallystatement

FSA001 Quarterly Quarterly Half Half Halfyearly yearly yearly


FSA003 Half Halfyearly yearly



FSA006 Quarterly Quarterly Quarterly Quarterly Quarterly

FSA007 Annual Annual(note 4) (note 4)

FSA016 Half Half Half Halfyearly yearly yearly yearly

FSA018 Quarterly Quarterly Quarterly


16






FSA019 Annually Annually Annually Annually Annually

FSA028 Halfyearly

FSA029 Quarterly

FSA030 Quarterly

FSA031 Quarterly

FSA032 Quarterly

FSA033 Quarterly

FSA034 Quarterly

FSA035 Quarterly

FSA039 Half Half Half Half Halfyearly yearly yearly yearly yearly



FSA046 Quarterly Quarterly

FSA047 Daily, weekly, monthly or quar- Daily,terly (Notes 5, 6 and 8) weekly,

monthlyor quar-terly(Notes 5,7 and 8)


monthlyor quar-terly


16






(Notes 5,7 and 8)

FSA050 Monthly (Note 5) Monthly(Note 5)


FSA052 Weekly or monthly (Notes 5 Weeklyand 9) or

monthly(Notes 5and 10)

FSA053 Quarterly (Note 5) Quarterly(Note 5)

FSA054 Quarterly (Note 5) Quarterly(Note 5)

FSA055 Annually (Note 5) Annually Annually(Note 5) (Note 5)


FIN067 Quarterly(note 5)

FIN068 Halfyearly

FIN071 Quarterly

Section Half ye-A RMAR arly

(note 2)Quarterly(note 3)

Section B Half ye-RMAR arly


Section C Half ye-RMAR arly



16






Section Half ye-D1 arlyRMAR (note 2)

Quarterly(note 3)

Section F HalfRMAR yearly

MLA-M Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly

Note 1 [deleted]

Note 2 Annual regulated business revenue up to and including £5million.

Note 3 Annual regulated business revenue over £5 million.

Note 4 The reporting date for this data item is six months after a firm'smost recent accounting reference date.

Note 5 Reporting frequencies and reporting periods for this data itemare calculated on a calendar year basis and not from a firm's ac-counting reference date. In particular:

(1) A week means the period beginning on Saturday and end-ing on Friday.

(2) A month begins on the first day of the calendar month andends on the last day of that month.

(3) Quarters end on 31 March, 30 June, 30 September and 31December.

(4) Daily means each business day.

All periods are calculated by reference to London time.

Any changes to reporting requirements caused by a firm receiv-ing an intra-group liquidity modification (or a variation to one)do not take effect until the first day of the next reportingperiod applicable under the changed reporting requirements ifthe firm receives that intra-group liquidity modification or vari-ation part of the way through such a period, unless the intra-group liquidity modification says otherwise.

Note 6 If the report is on a solo basis the reporting frequency is asfollows:

(1) if the firm does not have an intra-group liquidity modifica-tion the frequency is:


16






(a) weekly if the firm is a standard frequency liquidity reportingfirm; and

(b) monthly if the firm is a low frequency liquidity reportingfirm;

(2) if the firm is a group liquidity reporting firm in a non-UKDLG by modification (firm level) the frequency is:



(3) the frequency is quarterly if the firm is a group liquidity re-porting firm in a UK DLG by modification.

Note 7 (1) If the report is by reference to the firm's DLG by default thereporting frequency is:

(a) weekly if the group liquidity standard frequency reportingconditions are met;

(b) monthly if the group liquidity low frequency reporting con-ditions are met.

(2) If the report is by reference to the firm's UK DLG by modi-fication the reporting frequency is:



(3) If the report is by reference to the firm's non-UK DLG by mo-dification the reporting frequency is quarterly.

Note 8(1) If the reporting frequency is otherwise weekly, the item is tobe reported on every business day if (and for as long as) thereis a firm-specific liquidity stress or market liquidity stress in rela-tion to the firm or group in question.


16

R16.12.12A

R16.12.13






(2) If the reporting frequency is otherwise monthly, the item isto be reported weekly if (and for as long as) there is a firm-spe-cific liquidity stress or market liquidity stress in relation to thefirm or group in question.

(3) A firm must ensure that it would be able at all times tomeet the requirements for daily or weekly reporting under para-graph (1) or (2) even if there is no firm-specific liquidity stressor market liquidity stress and none is expected.

Note 9If the report is on a solo basis the reporting frequency is asfollows:

(1) weekly if the firm is a standard frequency liquidity reportingfirm; and

(2) monthly if the firm is a low frequency liquidity reportingfirm.

Note 10If the report is by reference to the firm's UK DLG by modifica-tion the reporting frequency is:

(1) weekly if the group liquidity standard frequency reportingconditions are met;

(2) monthly if the group liquidity low frequency reporting condi-tions are met.

The applicable due dates for submission referred to in ■ SUP 16.12.4 R are setout in the table below. The due dates are the last day of the periods given inthe table below following the relevant reporting frequency period set out in■ SUP 16.12.12 R, unless indicated otherwise.


16


Data Halfitem Daily Weekly Monthly Quarterly yearly Annual

COREP/FINREP Refer to EU CRR and applicable technical standards

Solvency 3 monthsstatement

FSA001 20 busi- 30 busi-ness days ness days

(note 1)

45 busi-nessdays(note 2)

FSA002 20 busi- 30 busi-ness nessdays days

(note 1)


FSA003 15 busi- 20 busi- 30 busi-ness ness nessdays days days

(note 1)



(note 1)



(note 1)

45 busi-ness


16




days(note 2)

FSA006 20 busi-nessdays

FSA007 2months



FSA019 2months










16







(note 1),45 busi-nessdays(note 2)

FSA046 20 busi-nessdays(Note 1),45 busi-nessdays(Note 2)

FSA047 22.00 22.00 15 busi- 15 busi-hours hours ness ness(London (London days days ortime) on time) on onethe busi- the busi- Monthness day ness day (Note 3)immedi- immedi-ately fol- ately fol-lowing lowingthe last the lastday of day ofthe re- the re-porting portingperiod periodfor the for theitem in item inquestion question

FSA048 22.00 22.00 15 busi- 15 busi-hours hours ness ness(London (London days days ortime) on time) on onethe busi- the busi- Monthness day ness day (Note 3)immedi- immedi-ately fol- ately fol-lowing lowingthe last the lastday of day ofthe re- the re-porting portingperiod periodfor the for the


16




item in item inquestion question



FSA052 22.00 15 busi-hours ness(London daystime) onthe se-condbusinessday im-medi-atelyfollow-ing thelast dayof there-portingperiodfor theitem inquestion




FSA058 20 busi-nessdays(Note 1),45 busi-nessdays(Note 2)

FIN067 30 days

FIN068 30 busi-nessdays

FIN071 20 busi-nessdays


16

R16.12.13A

R16.12.14

R16.12.15




Section 30 busi- 30 busi-A RMAR ness ness

days days

Section 30 busi- 30 busi-B RMAR ness ness

days days

Section 30 busi- 30 busi-C RMAR ness ness

days days

Section 30 busi- 30 busi-Section ness nessD1 days daysRMAR

Section 30 busi-F RMAR ness

days

MLA-M 20 busi-nessdays

Note 1 For unconsolidated and solo-consolidated reports.

Note 2 For UK consolidation group reports.

Note 3 It is one Month if the report relates to a non-UK DLG by modi-fication.

[deleted]

Regulated Activity Group 4.....................................................................................................(1) ■ SUP 16.12.15 R to ■ SUP 16.12.17 R do not apply to:


(b) an OPS firm;

(c) a local authority.

(2) [deleted]

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


16



IFPRU investmentfirms and BIPRU Firms other than BIPRU firms or IFPRU in-firms vestment firms

IPRU-(INV)Chap-ter11(col-lect-iveport-folio

De- man- IPRU- IPRU-scrip- IPRU- IPRU- IPRU- age- (INV) (INV)tion of (INV) (INV) (INV) ment Chap- Chap-data Chap- Chap- Chap- firms ter teritem IFPRU BIPRU ter 3 ter 5 ter 9 only) 12 13

Solv- No No standard No Noency stand- format stand- stand-statement ard (Note 11) ard ard

format format format(Note11)

Bal- FSA001/FSA001 FSA029 FSA029 FSA029 FSA029 FSA029 FSA029ance FIN- (Note 2) (notesheet REP 15)

(Notes or2 Sec-and tion34) A

RMAR(note15)

In- FSA002/FSA002 FSA030 FSA030 FSA030 FSA030 FSA030 FSA030come FIN- (Note 2) (notestatement REP 15)

(Notes or2 Sec-and tion34) B

RMAR(note15)

Cap- CO- FSA003 FSA033 FSA034FSA031 FIN066 FIN069 Sec-ital REP (Note 2) or tionD1adequacy (Note FSA035 RMAR

34) or orFIN071 FSA032(note (note14) 15)

Sup- FIN067 FIN068ple- (Note (Note 32)ment- 32)arycap-italdatafor


16






col-lectiveport-folioman-age-mentinvest-mentfirms

Credit CO- FSA004risk REP (Notes 2, 3)

(Note34)

Mar- CO- FSA005ket REP (Notes 2, 4)risk (Note

34)

Mar- FSA006 FSA006ket (note (note 5)risk - 5)sup-plementary

Op- CO-era- REPtional (Noterisk 34)

Large CO-exposures REP

(Note34)

Expo- FSA018sures (notebe- 12)tweencoreUKgroupand


16






non-corelargeexpo-suresgroup

Solo FSA016 FSA016con- (note (Note 20)solida- 20)tiondata

Pillar FSA019 FSA0192 (note (Note 8)ques- 8)tionnaire

Non- CO- FSA028EEA REP (Note 9)subgroup (Note

34)

Thresh- Sec-old tionconditions F

RMAR(note15)

Vol- FSA038 FSA038 FSA038 FSA038 FSA038 FSA038 FSA038umesandtypesofbusi-ness(note21)

Client FSA039 FSA039 FSA039 FSA039 FSA039 FSA039 FSA039 Sec-money tionand C


16






client RMARassets (note

15)orFSA039

IRB FSA045 FSA045port- (note (Note 18)folio 18)risk

Secur- CO- FSA046itis- REP (Note 19)ation: (Notenon- 34)trad-ingbook

Daily FSA047/Flows CO-

REP(Notes23,26,28,30and34)

En- FSA048/hanced CO-Mis- REPmatch (NotesReport 23,

26,28,30and34)

Li- FSA050/quid- CO-ity REPBuffer (Notes


16






Quali- 24,fying 27,Se- 28,curities 30

and34)

Fund- FSA051/ing CO-Con- REPcentration (Notes

24,27,28,30and34)

Pri- FSA052/cing CO-data REP

(Notes24,28,30,31and34)

Retail FSA053/and CO-cor- REPpor- (Notesate 24,funding 27,

28,30and34)

Cur- FSA054/rency CO-Analysis REP

(Notes24,


16






27,28,30and34)

Sys- FSA055/FSA055tems CO- (Notes 25and REP and 30)Con- (Notestrols 25,Ques- 30tionnaire and

34)FSA055(Notes25and30)

Secur- CO- FSA058itis- REP (Note 29)ation: (Notetrad- 34)ingbook

In- FIN070forma-tiononP2Pagreements

Note All firms, except IFPRU investment firms in relation to data items1 reported under the EU CRR, when submitting the completed data

item required, a firm must use the format of the data item setout in SUP 16 Annex 24 R. Guidance notes for completion of thedata items are contained in SUP 16 Annex 25 G.

Note Firms that are members of a UK consolidation group are also re-2 quired to submit this report on a UK consolidation group basis.


16






Note This applies to a firm that is required to submit data item FSA0033 and at anytime within the 12 months up to its latest accounting

reference date ("the relevant period"), was reporting data itemFSA004 ("Firm A") or not reporting this item ("Firm B").




NoteThis applies to a firm that is required to submit data item FSA0034and at any time within the 12 months up to its latest accountingreference date ("the relevant period"), was reporting data itemFSA005 ("Firm A") or not reporting this item ("Firm B").




NoteOnly applicable to firms with a VaR model permission.5

Note[deleted]6

Note[deleted]7

NoteOnly applicable to IFPRU investment firms and BIPRU firms that:8

(a) are subject to consolidated supervision under BIPRU 8, exceptthose that are either included within the consolidated supervision


16






of a group that includes a UK credit institution, or that have beengranted an investment firm consolidation waiver; or

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

or


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

Note This will be applicable to firms that are members of a UK consol-9 idation group on the reporting date.

Note [deleted]10


Note Only applicable to a firm that has both a core UK group and a12 non-core large exposures group.

Note [deleted]13

Note FSA034 must be completed by a firm not subject to the exemp-14 tion in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business

includes establishing, operating or winding up a personal pensionscheme, in which case FIN071 must be completed.


Note FSA029, FSA030, FSA032 and FSA039 only apply to a firm subject15 to IPRU(INV) Chapter 13 which is an exempt CAD firm.

Sections A, B, C, D1 and F RMAR only apply to a firm subject to IP-RU(INV) Chapter 13 which is not an exempt CAD firm.

Note [deleted]16

Note [deleted]17


16








exposures.


Note [deleted]21

Note [deleted]22

NoteA firm must complete this item separately on each of the follow-23ing bases (if applicable).


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


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

NoteA firm must complete this item separately on each of the follow-24ing bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidityreporting firm in a UK DLG by modification. Therefore even if ithas a solo consolidation waiver it must complete the item on anunconsolidated basis by reference to the firm alone.



16








Note(1) This item must be reported in the reporting currency.26





(3) does not apply.





(6) The reporting currency for this data item is whichever of thefollowing currencies the firm chooses, namely USD (the UnitedStates Dollar), EUR (the euro), GBP (sterling), JPY (the JapaneseYen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (theSwedish Krona).


16

G16.12.15A






Note Note 26 applies, except that paragraphs (3), (4), and (5) do not ap-27 ply, meaning that material currencies must not be recorded

separately.

Note Any changes to reporting requirements caused by a firm receiving28 an intra-group liquidity modification (or a variation to one) do

not take effect until the first day of the next reporting period ap-plicable under the changed reporting requirements for the dataitem in question if the firm receives that intra-group liquidity mo-dification or variation part of the way through such a period. Ifthe change is that the firm does not have to report a particulardata item or does not have to report it at a particular reportinglevel, the firm must nevertheless report that item or at that re-porting level for any reporting period that has already begun.This paragraph is subject to anything that the intra-group liquid-ity modification says to the contrary.




does not need to complete FSA055. A non-ILAS BIPRU firm mustcomplete FSA055 and does not need to complete FSA047, FSA048,FSA050, FSA051, FSA052, FSA053 and FSA054.



Note Only applicable to firms that are collective portfolio management32 investment firms.

Note Only applicable to firms that have a managing investments33 permission.


The column in the table in ■ SUP 16.12.15R that deals with IFPRU firmscoverssome liquidity items that only have to be reported by an ILAS BIPRUfirm (please see notes 25 and 30).


16

R16.12.15B

R16.12.16


[deleted]

The applicable reporting frequencies for data items referred to in■ SUP 16.12.15 R are set out in the table below according to firm type.Reporting frequencies are calculated from a firm's accounting referencedate, unless indicated otherwise.

Dataitem Firms' prudential category

IFPRU125K UKfirm and con-collect- sol-ive port- ida-folio tionman- groupage- or de-ment fined Firm other than

IFPRU invest- liquid- BIPRU firms or730K ment IFPRU BIPRU ity IFPRU investmentfirm firm 50K firm firm group firms

Referto EUCRRandap-plic-abletech-

COREP/ Refer to EU CRR and applic- nicalFINREP able technical standards standards








FSA007 An- An-nual nual(note (note4) 4)




16








FSA028 Halfyearly

FSA029 Quarterly

FSA030 Quarterly

FSA031 Quarterly

FSA032 Quarterly

FSA033 Quarterly

FSA034 Quarterly

FSA035 Quarterly

FSA038 Half Half Half Half Half yearlyyearly yearly yearly yearly

FSA039 Half Half Half Half Half yearlyyearly yearly yearly yearly



FSA047 Daily, weekly, monthly or Daily,quarterly (Notes 5, 6 and 8) weekly,

monthlyorquar-terly(Notes5, 7and 8)

FSA048 Daily, weekly, monthly or Daily,quarterly (Notes 5, 6 and 8) weekly,

monthlyor


16







quar-terly(Notes5, 7and 8)

FSA050 Monthly (Note 5) Monthly(Note5)

FSA051 Monthly (Note 5) Monthly(Note5)


monthly(Notes5 and10)

FSA053 Quarterly (Note 5) Quar-terly(Note5)

FSA054 Quarterly (Note 5) Quar-terly(Note5)


16







FSA055 Annually (Note 5) Annu- Annu-ally ally(Note (Note5) 5)


FIN066 Quarterly

FIN067 Quar-terly(Note 5)

FIN068 Halfyearly

FIN069 Quarterly

FIN070 Quarterly

FIN071 Quarterly

Section Half yearly (noteA RMAR 2) Quarterly

(note 3)

Section Half yearly (noteB RMAR 2) Quarterly

(note 3)

Section Half yearly (noteC RMAR 2) Quarterly

(note 3)

Section Half yearly (noteD1 2) QuarterlyRMAR (note 3)

Section Half yearlyF RMAR

Note 1 [deleted]



16










(1) A week means the period beginning on Saturday and endingon Friday.










16














(b) monthly if the group liquidity low frequency reporting condi-tions are met.

(2) If the report is by reference to the firm's UK DLG by modifica-tion the reporting frequency is:


(b) monthly if the group liquidity low frequency reporting condi-tions are met.



16

R16.12.16A







Note 8 (1) If the reporting frequency is otherwise weekly, the item is tobe reported on every business day if (and for as long as) there isa firm-specific liquidity stress or market liquidity stress in rela-tion to the firm or group in question.


(3) A firm must ensure that it would be able at all times to meetthe requirements for daily or weekly reporting under paragraph(1) or (2) even if there is no firm-specific liquidity stress or mar-ket liquidity stress and none is expected.




Note 10 If the report is by reference to the firm's UK DLG by modifica-tion the reporting frequency is:


(2) monthly if the group liquidity low frequency reporting condi-tions are met.

[deleted]


16

R16.12.17




16






(note 2);45 busi-ness days(note 3 )


(note 2);45 busi-ness days(note 3)

FSA003 15 busi- 20 busi- 30 busi-ness days ness days ness days






FSA006 20 busi-ness days

FSA007 2 months



FSA019 2 months












16






FSA046 20 busi-ness days(Note 2),45 busi-ness days(Note 3)

FSA047 22.00 22.00 15 busi- 15 busi-hours hours ness days ness days(London (London or onetime) on time) on Monththe the (Note 4)business businessday im- day im-medi- medi-ately fol- ately fol-lowing lowingthe last the lastday of day ofthe re- the re-porting portingperiod periodfor the for theitem in item inquestion question




FSA052 22.00 15 busi-hours ness days(London


16




time) onthe se-condbusinessday im-medi-ately fol-lowingthe lastday ofthe re-portingperiodfor theitem inquestion





FIN066 20 busi-ness days

FIN067 30 days





Section 30 busi- 30 busi-A RMAR ness days ness days

Section B 30 busi- 30 busi-RMAR ness days ness days

Section C 30 busi- 30 busi-RMAR ness days ness days

Sections 30 busi- 30 busi-D1 and ness days ness daysD2RMAR

Section F 30 busi-RMAR ness days


16

R16.12.17A

R16.12.18

R16.12.18A

R16.12.18AA

R16.12.18B




Note 1 [deleted]

Note 2 For unconsolidated and solo-consolidated reports.



[deleted]

Regulated Activity Group 5.....................................................................................................

[deleted]

(1) ■ SUP 16.12.18B R and ■ SUP 16.12.18C R do not apply to:

(a) a lead regulated firm;

(b) an OPS firm;


(2) A lead regulated firm and an OPS firm must submit a copy of itsannual report and audited accounts within 80 business days from itsaccounting reference date.

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

Description of Data item (note Submissiondata item 1) Frequency deadline

Balance Sheet Sections A.1 and Quarterly 20 business daysA.2 MLAR

Income Sections B.0 and Quarterly 20 business daysStatement B.1 MLAR

Capital Ad- Section C MLAR Quarterly 20 business daysequacy(notes 4and 5)

Lending - Busi- Section D MLAR Quarterly 20 business daysness flow andrates

Residential Lend- Section E MLAR Quarterly 20 business daysing to individuals- New businessprofile


16



Lending - arrears Section F MLAR Quarterly 20 business daysanalysis

Mortgage Ad- Section G MLAR Quarterly 20 business daysministration -Business Profile

Mortgage Ad- Section H MLAR Quarterly 20 business daysministration - Ar-rears analysis

Analysis of loans Section A3 MLAR Quarterly 20 business daysto customers

Provisions Section B2 MLAR Quarterly 20 business daysanalysis

Fees and Levies Section J MLAR Annually 30 business days

Sale and rent Section K MLAR Annually 30 business daysback

Credit Risk (notes Section L MLAR Quarterly 20 business days2 and 4)

Liquidity (notes 3 Section M MLAR Quarterly 20 business daysand 4)

Note 1 When submitting the completed data item required, afirm must use the format of the data item set out in SUP16 Annex 19A. Guidance notes for the completion of thedata items are set out in SUP 16 Annex 19B.

Note 2 Only applicable to a firm that has one or more expo-sures that satisfy the conditions set out in MIPRU 4.2A.4R, and:

- has permission to carry on any home financing whichis connected to regulated mortgage contracts; or

- has permission to carry on home financing and homefinance administration which is connected to regulatedmortgage contracts (and no other activity); or

- has permission to carry on home finance administra-tion which is connected to regulated mortgage con-tracts and has all or part of the home finance transac-tions that it administers on its balance sheet.

Note 3Only applicable to a firm that:

- is subject to MIPRU 4.2D;

- has no restriction to its Part 4A permission preventingit from undertaking new home financing or home fin-ance administration connected to regulated mortgagecontracts; and

- has permission to carry on any home financing orhome finance administration connected to regulatedmortgage contracts.

Note 4 Not applicable if the firm exclusively carries on homefinance administration or home finance providing activ-ities in relation to second charge regulated mortgagecontracts or legacy CCA mortgage contracts (or both).


16

R16.12.18C

R16.12.19

R16.12.19A



Also not applicable if the firm is a P2P platform oper-ator facilitating home finance transactions.

Note 5 Only applicable to a firm that is subject to MIPRU 4.2(Capital resources requirements).

Additional applicable data items, reporting frequencies and submissiondeadlines referred to in ■ SUP 16.12.4 R are set out in the table below for afirm carrying on home finance administration or home finance providingactivities in relation to second charge regulated mortgage contracts.Reporting frequencies are calculated from a firm's accounting referencedate, unless indicated otherwise. The due dates are the last day of theperiods given in the table below following the relevant reporting frequencyperiod.

Description of Data item (note Frequency Submissiondata item 1) deadline

Analysis of se- Section A4 MLAR Quarterly 20 business dayscond chargeloans tocustomers

Second charge Section D1 MLAR Quarterly 20 business daysbusiness flowand rates

Second charge Section E1 MLAR Quarterly 20 business dayslending to in-dividuals

Second charge Section F1 MLAR Quarterly 20 business dayslending - arrearsanalysis

Second charge Section H1 MLAR Quarterly 20 business daysmortgage ad-ministration - ar-rears analysis

Note 1 When submitting the completed data item required, afirm must use the format of the data item set out in SUP16 Annex 19AA R. Guidance notes for the completion ofthe data items are set out in SUP 16 Annex 19B.

Regulated Activity Group 6.....................................................................................................(1) ■ SUP 16.12.19A R to ■ SUP 16.12.21 R do not apply to:


(b) an OPS firm;


(2) [deleted]

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


16


Firms’ prudential category and applicable data items (note 1)Descrip-tion of IPRU(INV) IPRU(INV) IPRU(INV) IPRU(INV)data item Chapter 3 Chapter 5 Chapter 9 Chapter 13

Solvency No stand-statement ard format(note 6)

Balance FSA029 FSA029 FSA029 FSA029 orsheet Section A

RMAR(note 7)

Income FSA030 FSA030 FSA030 FSA030 orstatement Section B

RMAR(note 7)

Capital FSA033 FSA034 or FSA031 FSA032 oradequacy FSA035 or Section D1

FIN071or RMARFIN072 (notes 5(note 4) and 7)

Threshold Section Fconditions RMAR

(Note 7)

Client FSA039 FSA039 FSA039 Section Cmoney and RMARclient (note 7) orassets FSA039

Pillar 2 FSA019ques- (note 8)tionnaire

Note 1 When submitting the completed data item required, a firmmust use the format of the data item set out in SUP 16 Annex24. Guidance notes for completion of the data items are con-tained in SUP 16 Annex 25.

Note 2 [deleted]

Note 3 [deleted]

Note 4 FSA034 must be completed by a firm not subject to the exemp-tion in IPRU(INV) 5.4.2R, unless it is a firm whose permitted busi-ness includes establishing, operating or winding up a personalpension scheme, in which case FIN071 must be completed.

FSA035 must be completed by a firm subject to the exemp-tion in IPRU(INV) 5.4.2R, unless the firm is the depositary of aUCITS scheme in which case, FIN072 must be completed.

Note 5 FSA032 must be completed by a firm subject to IPRU(INV)Chapter 13 which is an exempt CAD firm.

Note 6 Only applicable to a firm that is a partnership, when the re-port must be submitted by each partner.

Note 7 FSA029, FSA030, FSA032 and FSA039 only apply to a firm sub-ject to IPRU(INV) Chapter 13 which is an exempt CAD firm.Sections A, B, C, D1, and F RMAR only apply to a firm subjectto IPRU(INV) Chapter 13 which is not an exempt CAD firm.

Note 8 Only applicable to a firm that is the depositary of a UCITSscheme.


16

R16.12.20

R16.12.21


The applicable reporting frequencies for submission of data items referred toin ■ SUP 16.12.4 R are set out in the table below. Reporting frequencies arecalculated from a firm's accounting reference date, unless indicatedotherwise.

Solvency statement Annually

FSA019 Annually

FSA029 Quarterly

FSA030 Quarterly

FSA031 Quarterly

FSA032 Quarterly

FSA033 Quarterly

FSA034 Quarterly

FSA035 Quarterly

FSA039 Half yearly

FIN071 Quarterly

FIN072 Quarterly

Section A RMAR Half yearly (note 2)

Quarterly (note 3)

Section B RMAR Half yearly (note 2)

Quarterly (note 3)

Section C RMAR Half yearly (note 2)

Quarterly (note 3)

Sections D1 and D2 RMAR Half yearly (note 2)

Quarterly (note 3)

Section F RMAR Half yearly

Note 1 [deleted]

Note 2 Annual regulated business revenueup to and including £5 million.

Note 3 Annual regulated business revenueover £5 million.

The applicable due dates for submission referred to in ■ SUP 16.12.4 R are setout in the table below. The due dates are the last day of the periods given inthe table below following the relevant reporting frequency period set out in■ SUP 16.12.20 R.


16

R16.12.22

R16.12.22A


Data item Quarterly Half yearly Annual


FSA019 2 months

FSA029 20 business days









FIN071 20 business days

FIN072 20 business days

Section A RMAR 30 business days 30 business days

Section B RMAR 30 business days 30 business days

Section C RMAR 30 business days 30 business days

Sections D1 and 30 business days 30 business daysD2 RMAR

Section F RMAR 30 business days

Regulated Activity Group 7.....................................................................................................(1) ■ SUP 16.12.22A R to ■ SUP 16.12.24 R do not apply to:


(b) an OPS firm;


(2) [deleted]


Descrip-tion ofDataitem Firms' prudential category and applicable data item (note 1)

IFPRU BIPRU firm Ex- Firms Firms thatempt (other are also inCAD than ex- one orfirms empt CAD more of


16



subject firms) sub- RAGs 1 to 6to IP- ject to IP- and notRU(- RU(INV) subject toINV) Chapter IPRU(INV)Chap- 13 Chapter 13ter 13

Solvency No standard format (note 11)statement

Balance FSA001/FIN- FSA001 (Note FSA029 Section ASheet REP (Notes 2 2) RMAR

and 29)

Income FSA002/FIN- FSA002 (Note FSA030 Section BStatement REP (Notes 2 2) RMAR

and 29)

Capital COREP FSA003 (Note FSA032 Section D1Adequacy (Note 29) 2) RMAR

(Note 23)

Credit COREP FSA004 (Notesrisk (Note 29) 2, 3)

Market COREP FSA005 (Notesrisk (Note 29) 2, 4)

Market FSA006 FSA006 (Noterisk - sup- (note 5) 5)plementary



Expo- FSA018sures be- (note 12)tweencore UKgroupand non-corelargeexpo-suresgroup

Solo con- FSA016 FSA016solida-tion data

Pillar 2 FSA019 FSA019 (Noteques- (note 8) 8)tionnaire

Non-EEA COREP FSA028 (Notesub- (Note 29) 9)group

Profes- Section E Section E Section E Section Esional in- RMAR RMAR RMAR RMARdemnity


16



insur-ance(note 15)

Thresh- Section Section Fold F RMARConditions RMAR

Training Section G Section G Section Section G Section Gand RMAR RMAR G RMAR RMARCompetence RMAR

COBS Section H Section H Section Section H Section Hdata RMAR RMAR H RMAR RMAR

RMAR

Client Section C Section C Section Section Cmoney RMAR RMAR C RMARand cli- RMARentassets

Fees and Section J Section J Section Section Jlevies RMAR RMAR J RMAR

RMAR

Adviser Section K Section K Section Section K Section Kcharges RMAR (Note RMAR (Note K RMAR RMAR

26) 26) RMAR (Note 26) (Note 26)(Note26)

IRB port- FSA045 FSA045 (Notefolio risk (note 13) 13)

Securitis- COREP (note FSA046 (Noteation: 29) 14)non-trad-ing book


16, 19, 21,24 and 29)

En- FSA048/CO-hanced REP (NotesMis- 16, 19, 21,match 24 and 29)Report

Liquidity FSA050/CO-Buffer REP (NotesQualify- 17, 20, 21,ing Se- 24 and 29)curities

Funding FSA051/CO-Con- REP (Notescentration 17, 20, 21,

24 and 29)


16




17, 20, 21,24 and 29)

Retail FSA053/CO-and cor- REP (Notesporate 17, 20, 21,funding 24 and 29)

Currency FSA054/CO-Analysis REP (Notes

17, 20, 21,24 and 29)

Systems FSA055/CO- FSA055 (Notesand REP (Notes 18 and 24)Controls 18, 24 andQues- 29)tionnaire

Securitis- COREP FSA058 (Noteation: (Note 29) 22)tradingbook

Supple- FIN067 FIN068 (Notementary (Note 28) 28)capitaldata forcollectiveportfoliomanage-ment in-vestmentfirms

Note 1 When submitting the completed data item required, a firm mustuse the format of the data item set out in SUP 16 Annex 24 R, orSUP 16 Annex 18A R in the case of the RMAR. Guidance notes forcompletion 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 3 This applies to a firm that is required to submit data itemFSA003 and, at any time within the 12 months up to its latest ac-counting reference date ("the relevant period"), was reportingdata item FSA004 ("Firm A") or not reporting this item ("FirmB").


In the case of Firm B it must report this item if both the lasttwo submissions in the relevant period show that the thresholdhas been exceeded.


16




Note 4 This applies to a firm that is required to submit data itemFSA003 and, at any time within the 12 months up to its latestaccounting reference date ("the relevant period"), was re-porting data item FSA005 ("Firm A") or not reporting this item("Firm B").


In the case of Firm B it must report this item if both the lasttwo submissions in the relevant period show that the thresholdhas been exceeded.


Note 5 Only applicable to firms with a VaR model permission.

Note 6 [deleted]

Note 7 [deleted]

Note 8Only applicable to IFPRU investment firms and BIPRU firms that:

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

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


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

Note 9 This will be applicable to firms that are members of a UK consol-idation group on the reporting date.

Note 10 [deleted]

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 anon-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, orare the originator or sponsor of securitisations of non-tradingbook exposures.


16



Note 15 This item only applies to firms that are subject to an FCA re-quirement to hold professional indemnity insurance and are notexempt CAD firms.

Note 16 A firm must complete this item separately on each of the fol-lowing bases (if applicable).

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

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


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

Note 17 A firm must complete this item separately on each of the fol-lowing bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquid-ity reporting firm in a UK DLG by modification. Therefore evenif it has a solo consolidation waiver it must complete the itemon an unconsolidated basis by reference to the firm alone.


Note 18 If it is a non-ILAS BIPRU firm, it must complete it on a solo ba-sis. Therefore even if it has a solo consolidation waiver it mustcomplete the item on an unconsolidated basis by reference tothe 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 thanthe reporting currency, all currencies (including the reportingcurrency) must be combined into a figure in the reportingcurrency.




(3) does not apply.

(4) If there are more than three material currencies for this dataitem, (3) only applies to the three largest in amount. A firmmust identify the largest in amount in accordance with the fol-lowing procedure.


16






(6) The reporting currency for this data item is whichever of thefollowing currencies the firm chooses, namely USD (the UnitedStates Dollar), EUR (the euro), GBP (sterling), JPY (the JapaneseYen), 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 notapply, meaning that material currencies must not be recordedseparately.

Note 21 Any changes to reporting requirements caused by a firm receiv-ing an intra-group liquidity modification (or a variation to one)do not take effect until the first day of the next reportingperiod applicable under the changed reporting requirementsfor the data item in question if the firm receives that intra-group liquidity modification or variation part of the waythrough such a period. If the change is that the firm does nothave to report a particular data item or does not have to reportit at a particular reporting level, the firm must nevertheless re-port that item or at that reporting level for any reportingperiod that has already begun. This paragraph is subject to any-thing that the intra-group liquidity modification says to thecontrary.

Note 22 Only applicable to firms that hold securitisation positions in thetrading book and/ or are the originator or sponsor of securitisa-tions 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.

Note 24 FSA047, FSA048, FSA050, FSA051, FSA052, FSA053 and FSA054must be completed by an ILAS BIPRU firm. An ILAS BIPRU firmdoes not need to complete FSA055. A non-ILAS BIPRU firm mustcomplete 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 namedin FSA052, so that liabilities in GBP are reported in GBP in rows1 to 4, those in USD are reported in USD in rows 5 to 8, andthose in Euro are reported in Euro in rows 9 to 12. Liabilities inother currencies are not to be reported.

Note 26 This item only applies to firms that provide advice on retail in-vestment products and P2P agreements.

Note 27 [deleted]

Note 28 Only applicable to firms that are collective portfolio manage-ment investment firms.


16

G16.12.22B

R16.12.22C

R16.12.23

R16.12.23A



Note 29 Requirements under COREP and FINREP should be determinedwith reference to the EU CRR and applicable technicalstandards.

The column in the table in ■ SUP 16.12.22A R that deals with IFPRU firmscovers some liquidity items that only have to be reported by an ILAS BIPRUfirm (see notes 18 and 24). (see notes 18 and 24).

[deleted]

[deleted]

The applicable reporting frequencies for data items referred to in■ SUP 16.12.22A R are set out in the table below. Reporting frequencies arecalculated from a firm's accounting reference date, unless indicatedotherwise.

Frequency

Unconsol- Solo con-idated BI- solidated AnnualPRU in- BIPRU in- UK Consol- regulated Annualvestment vestment idation business regulatedfirm and firm and- Group or revenue businessIFPRU in- IFPRU in- defined li- up to and revenuevestment vestment quidity including over £5

Data item firm firm group £5 million million


Solvency Annuallystatement

FSA001 Quarterly Quarterly Half yearlyor half ye- or half ye-arly (Note arly (Note1) 1)


FSA003 Monthly, Monthly, Half yearlyquarterly quarterly


16


Frequency




or half ye- or half ye-arly (Notes arly (Notes2 and 11) 2 and 11)

FSA004 Quarterly Quarterly Half yearlyor half ye- or half ye-arly (Notes arly (Notes1 and 11) 1 and 11)

FSA005 Quarterly Quarterly Half yearlyor half ye- or half ye-arly (Notes arly (Notes1 and 11) 1 and 11)


FSA007 Annually

FSA016 Half yearly


FSA019 Annually Annually Annually

FSA028 Half yearly Half yearly(Note 11) (Note 11)




FSA047 Daily, Daily, Daily,weekly, weekly, weekly,monthly or monthly or monthly orquarterly quarterly quarterly(Notes 4, 5 (Notes 4, (Notes 4, 6and 7) 5, 7 and and 7)

10)

FSA048 Daily, Daily, Daily,weekly, weekly, weekly,monthly or monthly or monthly orquarterly quarterly quarterly


16


Frequency




(Notes 4, 5 (Notes 4, (Notes 4, 6and 7) 5, 7 and and 7)

10)

FSA050 Monthly Monthly Monthly(Note 4) (Notes 4 (Note 4)

and 10)

FSA051 Monthly Monthly Monthly(Note 4) (Notes 4 (Note 4)

and 10)

FSA052 Weekly or Weekly or Weekly ormonthly monthly monthly(Notes 4 (Notes 4, 8 (Notes 4and 8) and 10) and 9)

FSA053 Quarterly Quarterly Quarterly(Note 4) (Notes 4 (Note 4)

and 10)

FSA054 Quarterly Quarterly Quarterly(Note 4) (Notes 4 (Note 4)

and 10)

FSA055 Annually Annually Annually(Note 4) (Notes 4 (Note 4)

and 10)

FSA058 Quarterly Quarterly Quarterly(Note 11) (Note 11)

FIN067 Quarterly Quarterly(Note 4) (Note 4)

FIN068 Half yearly Half yearly

Section A Half yearly QuarterlyRMAR

Section B Half yearly QuarterlyRMAR

Section C Half yearly QuarterlyRMAR

Sections Half yearly QuarterlyD1 and D2RMAR

Section E Half yearly Half yearly Half yearly Half yearly QuarterlyRMAR

Section F Half yearly Half yearly Half yearly Half yearly Half yearlyRMAR

Section G Half yearly Half yearly Half yearly Half yearly Half yearlyRMAR


16


Frequency




Section H Half yearly Half yearly Half yearly Half yearly Half yearlyRMAR

Section J Annually Annually Annually Annually AnnuallyRMAR

Section K Annually Annually Annually Annually AnnuallyRMAR

Note 1 IFPRU 730K firms and IFPRU 125K firms - quarterly;

IFPRU 50K firms and BIPRU firms - half yearly.

Note 2 IFPRU 730K firms - monthly;

IFPRU 125K firms - quarterly;

IFPRU 50K firms and BIPRU firms - half yearly.

Note 3 The reporting date for this data item is six months after afirm's most recent accounting reference date.

Note 4 Reporting frequencies and reporting periods for this dataitem are calculated on a calendar year basis and not from afirm's accounting reference date. In particular:

(1) a week means the period beginning on Saturday and end-ing on Friday;

(2) a month begins on the first day of the calendar monthand ends on the last day of that month;

(3) quarters end on 31 March, 30 June, 30 September and 31December;

(4) daily means each business day.


Any changes to reporting requirements caused by a firm re-ceiving an intra-group liquidity modification (or a variation toone) do not take effect until the first day of the next re-porting period applicable under the changed reporting re-quirements if the firm receives that intra-group liquidity modi-fication or variation part of the way through such a period,unless the intra-group liquidity modification says otherwise.



(a) weekly if the firm is a standard frequency liquidity re-porting firm; and


16


Frequency






(a) weekly if the firm is a standard frequency liquidity re-porting firm; and



Note 6 (1) If the report is by reference to the firm's DLG by defaultthe reporting frequency is:


(b) monthly if the group liquidity low frequency reportingconditions are met.



(b) monthly if the group liquidity low frequency reportingconditions are met.

(3) If the report is by reference to the firm's non-UK DLG bymodification the reporting frequency is quarterly.

Note 7 (1) If the reporting frequency is otherwise weekly, the item isto be reported on every business day if (and for as long as)there is a firm-specific liquidity stress or market liquidity stressin relation to the firm or group in question.

(2) If the reporting frequency is otherwise monthly, the itemis to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation tothe firm or group in question.

(3) A firm must ensure that it would be able at all times tomeet the requirements for daily or weekly reporting under(1) or (2) even if there is no firm-specific liquidity stress ormarket liquidity stress and none is expected.


16

R16.12.24

R16.12.24A


Frequency





(1) weekly if the firm is a standard frequency liquidity re-porting firm; and




(2) monthly if the group liquidity low frequency reportingconditions are met.

Note 10 As specified in SUP 16.12.22A R, solo consolidation has no ap-plication to liquidity reporting. Therefore, it does not makeany difference to the reporting of this item whether or notthe firm is solo consolidated.

Note 11 Only applicable to firms that are not required to report adata item with a similar name and purpose under the EU CRRand applicable technical standards.

[deleted]

The applicable due dates for submission referred to in ■ SUP 16.12.4 R are setout in the table below. The due dates are the last day of the periods given inthe table below following the relevant reporting frequency period set out in■ SUP 16.12.23A R, unless indicated otherwise.


16


Data HalfItem Daily Weekly Monthly Quarterly yearly Annual















FSA019 2 months

FSA028



(note 1),45 busi-ness days(note 2)

FSA046

FSA047 22.00 22.00 15 busi- 15 busi-hours hours ness days ness days(London (London or onetime) on time) on Monththe the (Note 3)business business


16




day im- day im-medi- medi-ately fol- atelylowing follow-the last ing theday of last daythe re- of the re-porting portingperiod periodfor the for theitem in item inquestion question

FSA048 22.00 22.00 15 busi- 15 busi-hours hours ness days ness days(London (London or onetime) on time) on Monththe the (Note 3)business businessday im- day im-medi- medi-ately fol- atelylowing follow-the last ing theday of last daythe re- of the re-porting portingperiod periodfor the for theitem in item inquestion question



FSA052 22.00 15 busi-hours ness days(Londontime) onthe se-condbusinessday im-medi-atelyfollow-ing thelast dayof the re-portingperiodfor the


16

R16.12.25




item inquestion





FIN067 30 days

FIN068 30 days




Section 30 busi- 30 busi-D1 ness days ness daysRMAR

Section E 30 busi- 30 busi-RMAR ness days ness days


Section 30 busi-G RMAR ness days

Section 30 busi-H RMAR ness days

Section J 30 busi-RMAR ness days

Section K 30 busi-RMAR ness days

Note 1 For unconsolidated and solo consolidated reports.



Regulated Activity Group 8.....................................................................................................(1) ■ SUP 16.12.25A R does not apply to:



16

R16.12.25A


(b) an OPS firm;


(d) a service company.

(2) [deleted]

(3) [deleted]


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

IFPRU investment firms Firms other than BIPRU firms or IFPRU in-and BIPRU firms vestment firmsDe-

scrip- IPRU(- IPRU(- IPRU(- IPRU(-tion of INV) INV) INV) INV)data Chap- Chap- Chap- Chap-item IFPRU BIPRU ter 3 ter 5 ter 9 ter 13

Solv- No stand-ency ard formatstate-ment(note11)

Bal- FSA001/FIN- FSA001 FSA029 FSA029 FSA029 Sectionance REP (Notes (Note 2) Asheet 2 and 30) RMAR

(note17) orFSA029

In- FSA002/FIN- FSA002 FSA030 FSA030 FSA030 Sectioncome REP (Notes (Note 2) Bstatement 2 and 30) RMAR

(note17) orFSA030

Cap- COREP FSA003 FSA033 FSA034 FSA031 Sectionital (Note 30) (Note 2) or D1adequacy FSA035 RMAR

or (noteFIN071 17) or(note FSA14) 032

(note15)

Credit COREP FSA004risk (Note 30 (Notes 2, 3)

Mar- COREP FSA005ket (Note 30) (Notes 2, 4)risk

Mar- FSA006 FSA006ket (note 5) (Note 5)risk -sup-plementary


16







UK In- FSA018teg- (note 12)ratedgrouplargeexposures

Expo- FSA016sures (note 20)be-tweencoreUKgroupandnon-corelargeexpo-suresgroup

Solo FSA016con- (note 20)solida-tiondata

Pillar 2 FSA019 FSA019ques- (note 8) (Note 8)tionnaire

Non- COREP FSA028EEA (Note 30) (Note 9)sub-group

Thresh- Sectionold Fconditions RMAR

(note17)

Client FSA039 FSA039 FSA039 FSA039 FSA039 Sectionmoney Cand RMARclient (Noteassets 13) or

FSA039


16





IRB FSA045 FSA045port- (note 18) (Note 18)foliorisk

Secur- COREP FSA046itis- (Note 30) (Note 19)ation:non-trad-ingbook


21, 24, 26,28 and 30)

En- FSA048/CO-hanced REP (NotesMis- 21, 24, 26,match 28 and 30)Report

Liquid- FSA050/CO-ity REP (NotesBuffer 22, 25, 26,Quali- 28 and 30)fyingSe-curities

Fund- FSA051/CO-ing REP (NotesCon- 22, 25, 26,centration 28 and 30)


22, 26, 28,29 and 30)

Retail FSA053/CO-and REP (Notescor- 22, 25, 26,porate 28 and 30)funding

Cur- FSA054/CO-rency REP (NotesAnalysis 22, 25, 26,

28 and 30)

Sys- FSA055/CO- FSA055tems REP (Notes (notes 23and 23, 28 and and 28)Con- 30)trols


16





Ques-tionnaire

Secur- COREP FSA058itis- (Note 30) (Note 27)ation:trad-ingbook

Note When submitting the completed data item required, a firm must1: use the format of the data item set out in SUP 16 Annex 24 R. Guid-

ance notes for completion of the data items are contained in SUP16 Annex 25 G.


Note 3 This applies to a firm that is required to submit data item FSA003and, at any time within the 12 months up to its latest accountingreference date ("the relevant period"), was reporting data itemFSA004 ("Firm A") or not reporting this item ("Firm B").




Note This applies to a firm that is required to submit data item FSA0034 and, at any time within the 12 months up to its latest accounting

reference date ("the relevant period"), was reporting data itemFSA005 ("Firm A") or not reporting this item ("Firm B").




Note Only applicable to firms with a VaR model permission.5

Note [deleted]6


16





Note [deleted]7

Note Only applicable to IFPRU investment firms and BIPRU firms that:8

(a) are subject to consolidated supervision under BIPRU 8, exceptthose that are either included within the consolidated supervisionof a group that includes a UK credit institution, or that have beengranted an investment firm consolidation waiver; or

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


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

Note This will be applicable to firms that are members of a UK consol-9 idation group on the reporting date.

Note [deleted]10


Note Only applicable to a firm that has both a core UK group and a12 non-core large exposures group.

Note FSA039 must only be completed by a firm subject to IPRU(INV)13 Chapter 13 which is an exempt CAD firm. Section C RMAR must

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

Note FSA034 must be completed by a firm not subject to the exemption14 in IPRU(INV) 5.4.2R, unless it is a firm whose permitted business in-

cludes establishing, operating or winding up a personal pensionscheme, in which case FIN071 must be completed.


Note FSA032 must be completed by a firm subject to IPRU(INV) Chapter15 13 which is an exempt CAD firm.

Note [deleted]16

Note This is only applicable to a firm subject to IPRU(INV) Chapter 1317 that is not an exempt CAD firm.



exposures.



16





Note A firm must complete this item separately on each of the follow-21 ing bases (if applicable).


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

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

Note A firm must complete this item separately on each of the follow-22 ing bases that are applicable.

(1) It must complete it on a solo basis unless it is a group liquidityreporting firm in a UK DLG by modification. Therefore even if ithas a solo consolidation waiver it must complete the item on anunconsolidated basis by reference to the firm alone.

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



Note (1) This item must be reported in the reporting currency.24





(3) does not apply.





16

G16.12.25B

R16.12.25C

R16.12.26






(6) The reporting currency for this data item is whichever of thefollowing currencies the firm chooses, namely USD (the UnitedStates Dollar), EUR (the euro), GBP (sterling), JPY (the JapaneseYen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (theSwedish Krona).

Note Note 24 applies, except that paragraphs (3), (4) and (5) do not ap-25 ply, meaning that material currencies must not be recorded

separately.

Note Any changes to reporting requirements caused by a firm receiving26 an intra-group liquidity modification (or a variation to one) do

not take effect until the first day of the next reporting period ap-plicable under the changed reporting requirements for the dataitem in question if the firm receives that intra-group liquidity mo-dification or variation part of the way through such a period. Ifthe change is that the firm does not have to report a particulardata item or does not have to report it at a particular reportinglevel, the firm must nevertheless report that item or at that re-porting level for any reporting period that has already begun.This paragraph is subject to anything that the intra-group liquid-ity modification says to the contrary.




does not need to complete FSA055. A non-ILAS BIPRU firm mustcomplete FSA055 and does not need to complete FSA047, FSA048,FSA050, FSA051, FSA052, FSA053 and FSA054.




The column in the table in ■ SUP 16.12.25A R that deals with IFPRU firms coversome liquidity items that only have to be reported by an ILAS BIPRU firm (seenotes 23 and 28).

[deleted]

The applicable reporting frequencies for data items referred to in■ SUP 16.12.25A R are set out according to the type of firm in the table below.


16


Reporting frequencies are calculated from a firm's accounting referencedate, unless indicated otherwise.

Firms' prudential category

Firmsother

UK con- than BI-solida- PRUtion firms orgroup or IFPRU

IFPRU IFPRU defined invest-Data 730K 125K IFPRU BIPRU liquidity mentitem firm firm 50K firm firm group firms









FSA006 Quarterly Quarterly Quarterly Quarterly

FSA007 Annual Annually(note 4) (note 4)




FSA028 Halfyearly

FSA029 Quarterly

FSA030 Quarterly

FSA031 Quarterly

FSA032 Quarterly

FSA033 Quarterly

FSA034 Quarterly

FSA035 Quarterly

FSA039 Half Half Half Half Halfyearly yearly yearly yearly yearly


16



Firmsother






FSA046 Quarterly








monthly(Notes 5and 10)

FSA053 Quarterly (Note 5) Quar-terly(Note 5)

FSA054 Quarterly (Note 5) Quar-terly(Note 5)

FSA055 Annually (Note 5) Annually Annually(Note 5) (Note 5)

FSA058 [deleted] [deleted] [deleted] Quarterly Quarterly

FIN071 Quarterly


16



Firmsother





Section Half ye-A RMAR arly

(note 2)Quar-terly(note 3)

Section B Half ye-RMAR arly


Section C Half ye-RMAR arly


Section Half ye-D1 arlyRMAR (note 2)

Quar-terly(note 3)

Section F HalfRMAR yearly

Note 1 [deleted]





(1) A week means the period beginning on Saturday and end-ing on Friday.



16



Firmsother























16

R16.12.26A

R16.12.27



Firmsother







Note 8 (1) If the reporting frequency is otherwise weekly, the item is tobe reported on every business day if (and for as long as) thereis a firm-specific liquidity stress or market liquidity stress in rela-tion to the firm or group in question.


(3) A firm must ensure that it would be able at all times tomeet the requirements for daily or weekly reporting underparagraph (1) or (2) even if there is no firm-specific liquiditystress or market liquidity stress and none is expected.






(2) monthly if the group liquidity low frequency reporting con-ditions are met.

[deleted]



16



COREP/ Refer to EU CRR and applicable technicalFINREP standards

Annual 80 busi-recon- ness daysciliation














FSA007 2 months



FSA019 2 months













FSA046 20 busi-ness days(Note 1);


16




45 busi-ness days(Note 2)





FSA052 22.00 15 busi-hours ness days(Londontime) onthe se-condbusinessday im-medi-ately fol-lowingthe lastday of


16R16.12.27A

R16.12.28




the re-portingperiodfor theitem inquestion









Section 30 busi- 30 busi-D1 ness days ness daysRMAR


Note 1 For unconsolidated and solo consolidated reports.



[deleted]

Regulated Activity Group 9.....................................................................................................(1) ■ SUP 16.12.28A R does not apply to:


(b) an OPS firm;


(d) a third party processor in respect of any home finance activity.


16

R16.12.28A


(2) A lead regulated firm and an OPS firm must submit a copy of itsannual report and audited accounts within 80 business days from itsaccounting reference date.


Description Data item Submissionof data item (note 1) Frequency deadline

Annual regu-lated busi- Annual regu-ness revenue lated busi-up to and in- ness revenuecluding £5 over £5million million

Balance Section A Half yearly Quarterly 30 businessSheet RMAR days

Income Section B Half yearly Quarterly 30 businessStatement RMAR days

Capital Ad- Section D1 Half yearly Quarterly 30 businessequacy (note RMAR days3)

Professional Section E Half yearly Quarterly 30 businessindemnity RMAR daysinsurance

(note 2)

Threshold Section F Half yearly Half yearly 30 businessConditions RMAR days

Training and Section G Half yearly Half yearly 30 businessCompetence RMAR days

COBS data Section H Half yearly Half yearly 30 businessRMAR days

Supplement- Section I Half yearly Annually 30 businessary product RMAR dayssales data

Client money Section C Half yearly Quarterly 30 businessand client as- RMAR dayssets (note 3)

Fees and Section J Annually Annually 30 businesslevies RMAR days

Note 1 When submitting the completed data item required, a firmmust use the format of the data item set out in SUP 16 An-nex 18A. Guidance notes for the completion of the data it-ems is set out in SUP 16 Annex 18B.

Note 2 This item only applies to firms that may be subject to anFCA requirement to hold professional indemnity insuranceand are not exempt CAD firms.

Note 3 This item does not apply to firms who only carry on homefinance mediation activities exclusively in relation to se-cond charge regulated mortgage contracts or legacy CCAmortgage contracts (or both) and who are not otherwise


16

G16.12.29

R16.12.29A

R16.12.29B

R16.12.29C



Annual regu-lated busi- Annual regu-ness revenue lated busi-up to and in- ness revenuecluding £5 over £5million million

expected to complete it by virtue of carrying out otherregulated activities.

This item also does not apply if the firm is a P2P platformoperator facilitating home finance transactions and is notrequired to submit it by virtue of carrying out other regu-lated activities.

Regulated Activity Group 10.....................................................................................................RIEs have separate reporting as set out in REC.

Regulated Activity Group 11.....................................................................................................A firm must submit the form contained in ■ SUP 16 Annex 32 R (Bidding inemissions auctions return) annually within 30 business days from itsaccounting reference date unless the firm did not carry on any auctionregulation bidding during the year to which that form relates.

Regulated Activity Group 12.....................................................................................................■ SUP 16.12.29C R does not apply:

(1) to a credit firm if the only credit-related regulated activity it carrieson is providing credit references;

(2) [deleted]

(2A) to a firm if the only credit-related regulated activity it carries on isadvising on regulated credit agreements for the acquisition of land;

(3) with respect to credit-related regulated activity to the extent that itrelates to credit agreements secured by a legal or equitable mortgageon land.



Annual rev- Annual rev-enue from enue from


16



credit- credit-related regu- related regu-lated activit- lated activit-ies up to and ies over £5including £5 millionmillion (note2)

Financial CCR001 Annually Half yearly 30 businessdata (note 3) days

Volumes CCR002 Annually Half yearly 30 business(note 4) days

Lenders (note CCR003 Annually Half yearly 30 business5) days

Debt man- CCR004 Annually Half yearly 30 businessagement days(note 6)

Client CCR005 Annually Half yearly 30 businessMoney & As- dayssets (note 7)

Debt collec- CCR006 Annually Half yearly 30 businesstion (note 8) days

Key data CCR007 Annually Annually 30 business(note 9) days

Credit brok- [deleted]ing websites(note 10)

Note 1 When submitting the required data item, a firm must usethe format of the data item set out in SUP 16 Annex 38A.Guidance notes for the completion of the data items is setout in SUP 16 Annex 38B.

Note 2 References to revenue in SUP 16.12.29C R in relation to anyfirm do not include the amount of any repayment of anycredit provided by that firm as lender.

Note 3 (a) Subject to (b) to (d) below, this data item applies to allcredit firms.

(b) This data item does not apply to a firm if the onlycredit-related regulated activity for which it has permissionis operating an electronic system in relation to lending.

(c) This data item does not apply to a firm required to sub-mit a Balance Sheet, Income Statement or Capital Ad-equacy data item from a RAG other than RAG 12.

(d) This data item does not apply to a firm with limited per-mission unless it is a not-for-profit debt advice body and atany point in the last 12 months has held £1 million or morein client money or as the case may be, projects that it willhold £1million or more in client money in the next 12months.

Note 4 (a) Subject to (b) below, this data item applies to all creditfirms.

(b) This data item does not apply to a firm with limited per-mission unless it is a not-for-profit debt advice body and atany point in the last 12 months has held £1 million or morein client money or as the case may be, projects that it will


16

R16.12.30



hold £1million or more in client money in the next 12months.

Note 5 This data item applies to all firms with permission for en-tering into a regulated credit agreement as lender or exer-cising, or having the right to exercise, the lender's rightsand duties under a regulated credit agreement.

Note 6 (a) Subject to (b) to (d) below, this data item applies to adebt management firm and to a not-for-profit debt advicebody that at any point in the last 12 months has held £1million or more in client money or, as the case may be, pro-jects that it will hold £1million or more in client money inthe next 12 months.

(b) This data item does not apply to a firm with limited per-mission other than a not-for-profit debt advice body within(a).

(c) This data item does not apply to a firm required to sub-mit a Capital Adequacy data item from a RAG other thanRAG 12, or under SUP 16.13, unless (d) applies

(d) Where a firm is required to submit a Capital Adequacydata item from a RAG other than RAG 12 or under SUP16.13 but the firm's highest capital requirement derivesfrom its activity under RAG 12, the firm should submit bothCCR004 and the Capital Adequacy data item required fromthe RAG other than RAG 12 or SUP 16.13.

Note 7 This data item applies to a CASS debt management firm,unless the firm is subject to a requirement imposed undersection 55L of the Act stating that it must not hold clientmoney, or such a requirement to the same effect.

Note 8 This data item applies to a firm with permission to carry ondebt collecting or operating an electronic system in rela-tion to lending.

Note 9 (a) Subject to (b) and (c) below, this data item applies to afirm that has limited permission.

(b) This data item does not apply to an authorised profes-sional firm that is a CASS debt management firm. Such afirm is instead required to submit the other data items inSUP 16.12.29C R as appropriate.

(c) This data item does not apply to a not-for-profit debtadvice body that at any point in the last 12 months hasheld £1 million or more in client money or, as the case maybe, projects that it will hold £1million or more in clientmoney in the next 12 months. Such a not-for-profit debt ad-vice body is instead required to submit data items CCR001,CCR002, CCR004 and CCR005.

Note 10 [deleted]

Note 11 [deleted]

Authorised professional firms.....................................................................................................(1) An authorised professional firm, other than one that must comply

with IPRU(INV) 3, 5 or 13 in accordance with IPRU(INV) 2.1.4R, or onethat is a CASS debt management firm or one that carries on onlycredit-related regulated activity as a non-mainstream regulated

http://www.legislation.gov.uk/ukpga/2000/8/section/55L/2017-07-01


16

R16.12.30A

R16.12.30B

R16.12.31


activity, must submit an annual questionnaire, contained in■ SUP 16 Annex 9R, unless:

(a) its only regulated activities are one or more of:

(i) insurance distribution;

(ii) mortgage mediation;

(iii) retail investment;

(iv) mortgage lending;

(v) mortgage administration; or

(b) its "main business" as determined by IPRU(INV) 2.1.2R(3) isadvising on, or arranging deals in, packaged products, ormanaging investments for private customers;

in which case the authorised professional firm must complete theappropriate report specified in ■ SUP 16.12.31 R.

(2) The due date for submission of the annual questionnaire is fourmonths after the firm's accounting reference date.

(2A) Guidance on the completion of the annual questionnaire contained in■ SUP 16 Annex 9R is set out in ■ SUP 16 Annex 9AG.

(3) An authorised professional firm must also, where applicable, submitthe other report to the FCA in accordance with ■ SUP 16.12.31 R inrespect of the other regulated activities it undertakes under (1)(a).

An authorised professional firm that must comply with IPRU(INV) 3, 5, 10 or13 in accordance with IPRU(INV) 2.1.4R must submit the relevant reports in■ SUP 16.12.4 R to ■ SUP 16.12.29 G, according to the regulated activity groupsthat its business falls into.

An authorised professional firm that is a CASS debt management firm and isnot within ■ SUP 16.12.1G (3A) must complete the appropriate reportsspecified in ■ SUP 16.12.4 R and ■ SUP 16.12.29C R.

Table of data items from an authorised professional firm

Frequency (NoteReport Return (note 1) 4) Due date

Adequate in- RMAR (Note 3) Half yearly (quar- For half yearly re-formation relat- terly for sections port: 30 businessing to the follow- A to E for larger days after perioding activities: firms, subject to end For quarterly

Note 3 exemp- report: 30 busi-(1) insurance dis-tions) (note 2) ness days aftertribution activity;

quarter end(2) mortgage me-diation activity;

(3) retail invest-ment activity;

(4) advising on,or arranging de-als in, packaged


16

R16.12.32

R16.12.33


Frequency (NoteReport Return (note 1) 4) Due date

products, or man-aging invest-ments for privatecustomers wherethese activitiesare the au-thorised profes-sional firm's"main business"as determined byIPRU(INV) 2.1.2 R(3)

Adequate in- MLAR Quarterly 20 business daysformation relat- after quarter ending to mortgagelending andmortgage ad-ministration.

Note 1 When giving the report required, a firm must use the re-turn indicated. The RMAR and MLAR are located at SUP16 Annex 18A and SUP 16 Annex 19A respectively. Guidanceon the completion of the data items are located at SUP16 Annex 18B and SUP 16 Annex 19B respectively.

Note 2 For the purposes of RMAR reporting, a larger firm is afirm whose annual regulated business revenue in its pre-vious financial year was greater than £5m. Annual regu-lated business revenue for these purposes is a firm's to-tal revenue relating to insurance distribution activity,mortgage mediation activity and retail investmentactivity.

Note 3 A firm which submits an MLAR is not required to submitsections A and B of the RMAR.

Note 4 Reporting dates are calculated from a firm's accountingreference date.

Financial conglomerates.....................................................................................................(1) A firm that is a member of a financial conglomerate must submit

financial reports to the FCA in accordance with the table in■ SUP 16.12.33 R if:

(a) it is at the head of a UK-regulated EEA financial conglomerate; or

(b) its Part 4A permission contains a relevant requirement.

(2) In (1)(b), a relevant requirement is one which:

(a) applies ■ SUP 16.12.33 R to the firm; or

(b) applies ■ SUP 16.12.33 R to the firm unless the mixed financialholding company of the financial conglomerate to which the firmbelongs submits the report required under this rule (as if the ruleapplied to it).

Financial reports from a member of a financial conglomerate (see■ SUP 16.12.32 R)


16


Content of Form (Note 1) Frequency Due DateReport

Calculation of Note 2 Note 5 Note 5supplementary

Yearlycapital adequacyrequirements inaccordance withone of the threetechnical calcu-lation methods

Identification of Note 3 Yearly 4 months aftersignificant risk year endconcentrationlevels

Identification of Note 4 Yearly 4 months aftersignificant intra- year endgrouptransactions

Report on com- Note 6 Note 5 Note 5pliance with GEN-PRU 3.1.35 Rwhere it applies

Note 1 When giving the report required, a firm must use theform indicated, if any.

Note 2 In respect of FCA-authorised persons, if Part 1 of GEN-PRU3 Annex 1 (method 1), or Part 2 of GENPRU 3 Annex 1(method 2), or Part 3 of GENPRU 3 Annex 1 (method 3)applies, there is no specific form. Adequate informa-tion must be provided, specifying the calculationmethod used and each financial conglomerate forwhich the FCA is the co-ordinator must discuss with theFCA the form which this reporting will take and the ex-tent to which verification by an auditor will berequired.

Note 3 Rather than specifying a standard format for each fin-ancial conglomerate to use, each financial conglomer-ate for which the FCA is the co-ordinator must discusswith the FCA the form of the information to be re-ported. This should mean that usual information man-agement systems of the financial conglomerate can beused to the extent possible to generate and analyse theinformation required.

When reviewing the risk concentration levels, the FCAwill in particular monitor the possible risk of contagionin the financial conglomerate, the risk of a conflict ofinterests, the risk of circumvention of sectoral rules,and the level or volume of risks.

Note 4 For the purposes of this reporting requirement, an in-tra-group transaction will be presumed to be signific-ant if its amount exceeds 5% of the total amount ofcapital adequacy requirements at the level of the finan-cial conglomerate.

Rather than specifying a standard format for each fin-ancial conglomerate to use, each financial conglomer-ate for which the FCA is the co-ordinator must discusswith the FCA the form of the information to be re-ported. This should mean that the usual information


16


Content of Form (Note 1) Frequency Due DateReport

management systems of the financial conglomerate canbe used to the extent possible to generate and analysethe information required.

When reviewing the intra-group transactions, the FCAwill in particular monitor the possible risk of contagionin the financial conglomerate, the risk of a conflict ofinterest, the risk of circumvention of sectoral rules, andthe level or volume of risks.

Note 5 The frequency and due date will be as follows:

(1) banking and investment services conglomerate; fre-quency is yearly with due date 45 business days afterperiod end; and

(2) insurance conglomerate: frequency is yearly withdue date four months after period end for the capitaladequacy return and three months after period end forthe report on compliance with GENPRU 3.1.35 R where itapplies.

Note 6 Adequate information must be added as a separateitem to the relevant form for sectoral reporting.

chapter 16 reporting requirements - fca handbook · sup 16 : reporting section 16.12 : integrated...

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