Prudential Regulation Authority Rulebook

1.1

Unless otherwise stated, this Part applies to every firm permitted to carry on the regulated activities listed in column (1) of the table in 6.1, except an incoming EEA firm with permission for cross border services only.

1.2

In this Part, the following definitions shall apply:

administering a home finance transaction

means any of administering a regulated mortgage contract, administering a home purchase plan, administering a home reversion plan or administering a regulated sale and rent back agreement.

administering a home purchase plan

means the regulated activity specified in article 63F(2) of the Regulated Activities Order.

administering a home reversion plan

means the regulated activity specified in article 63B(2) of the Regulated Activities Order.

administering a regulated mortgage contract

means the regulated activity, specified in article 61(2) of the Regulated Activities Order.

administering a regulated sale and rent back agreement

means the regulated activity specified in article 63J(2) of the Regulated Activities Order.

banking and investment services conglomerate

means a financial conglomerate that is identified in paragraph 4.3 of GENPRU 3 Annex 1 R (Types of financial conglomerate) in the PRA Handbook as a ‘banking and investment services conglomerate’.

BIPRU

means the Prudential sourcebook for Banks, Building Societies and Investment Firms in the PRA Handbook.

credit institution

1. (1) a credit institution authorised under the CRD; or
2. (2) an institution which would satisfy the requirements for authorisation as a credit institution under the CRD if it had its registered office (or if it does not have a registered office, its head office) in an EEA State.

data element

means a discrete fact or individual piece of information relating to a particular field within a data item.

data items

means one or more related data elements that are grouped together into a prescribed format (unless specified in this Part as “no standard format”) and required to be submitted by a firm.

entering as provider into a funeral plan contract

means the regulated activity specified in article 59 of the Regulated Activities Order.

entering into a home finance transaction

means any of entering into a regulated mortgage contract, entering into a home purchase plan, entering into a home reversion plan or entering into a regulated sale and rent back agreement.

entering into a home purchase plan

means the regulated activity, specified in article 63F(1) of the Regulated Activities Order.

entering into a home reversion plan

means the regulated activity, specified in article 63B(1) of the Regulated Activities Order.

entering into a regulated mortgage contract

means the regulated activity, specified in article 61(1) of the Regulated Activities Order.

entering into a regulated sale and rent back agreement

means the regulated activity, specified in article 63J(1) of the Regulated Activities Order.

establishing, operating or winding up a collective investment scheme

means the regulated activity specified in article 51ZE of the Regulated Activities Order.

establishing, operating or winding-up a regulated collective investment scheme

means establishing, operating or winding up a collective investment scheme if the scheme is a regulated collective investment scheme.

FINREP firm

means:

1. (1) a credit institution or investment firm subject to the CRR that is also subject to article 4 of Regulation (EC) No 1606/2002; or
2. (2) a credit institution other than one referred to in Article 4 of Regulation (EC) No 1606/2002 that prepares its consolidated accounts in conformity with the international accounting standards adopted in accordance with the procedure laid down in article 6(2) of that Regulation.

[Note: article 99 of the CRR]

FOS Ltd.

means the body corporate established under paragraph 2(1) of Schedule 17 to FSMA (The Scheme Operator) (as originally enacted).

home finance administration

means any of the regulated activities of:

1. (1) administering a regulated mortgage contract;
2. (2) administering a home purchase plan;
3. (3) administering a home reversion plan;
4. (4) administering a regulated sale and rent back agreement; or
5. (5) agreeing to carry on a regulated activity in (1) to (4).

home finance administrator

means a firm with permission (or which ought to have permission) for administering a home finance transaction.

home finance provider

means a firm with permission (or which ought to have permission) for entering into a home finance transaction.

home finance providing activity

means any of the regulated activities of:

1. (1) entering into a regulated mortgage contract;
2. (2) entering into a regulated sale and rent back agreement;
3. (3) entering into a home purchase plan;
4. (4) entering into a home reversion plan; or
5. (5) agreeing to carry on a regulated activity in (1) to (4).

individual consolidation permission

means a CRR permission under Article 9 of the CRR.

insurance conglomerate

means a financial conglomerate that is identified in paragraph 4.3 of GENPRU 3 Annex 1 R (Types of financial conglomerate) in the PRA Handbook as an insurance conglomerate.

intra-group liquidity modification

means a modification to the overall liquidity adequacy rule of the kind described in BIPRU 12.8.7G in the PRA Handbook as in effect on 30 September 2015 granted to a firm and in effect on that date.

IPRU(INS)

means the Interim Prudential Sourcebook for Insurers in the PRA Handbook.

lead regulated firm

means a firm which is the subject of the financial supervision requirements of an overseas regulator in accordance with an agreement between the PRA and that regulator relating to the financial supervision of firms whose head office is within the country of that regulator.

This definition is not related to the defined term ‘UK lead regulated firm’.

managing dormant account funds (including the investment of such funds)

means the regulated activity specified in article 63N(1)(b) of the Regulated Activities Order.

meeting of repayment claims

means the regulated activity, specified in article 63N(1)(a) of the Regulated Activities Order.

non-EEA bank

means a bank which is a body corporate or partnership formed under the law of any country or territory outside the EEA.

RAG

means a regulated activity group.

regulated activity group

means a set of one or more regulated activities referred to in determining a firm’s data item submission requirements.

reporting level

means (in relation to a data item) the basis on which that data item is prepared (being either:

1. (1) an individual basis; or
2. (2) the basis of a group) and, if it is prepared on the basis of a group, the type of group (such as a UK DLG by modification or a non-UK DLG by modification (firm level)).

sole trader

means an individual who is a firm.

third-country financial conglomerate

means a financial conglomerate that is of a type that falls under Article 5(3) of the Financial Groups Directive.

UK consolidation group

means the consolidation group of a firm to which supervision on a consolidated basis by the PRA applies in accordance with Article 111 of CRD.

UK- regulated EEA financial conglomerate

means a financial conglomerate (other than a third-country financial conglomerate) that satisfies one of the following conditions:

1. (1) GENPRU 3.1.29 R (Capital adequacy calculations for financial conglomerates) in the PRA Handbook applies with respect to it; or
2. (2) a firm that is a member of that financial conglomerate is subject to obligations imposed through its Part 4A permission to ensure that financial conglomerate meets levels of capital adequacy based or stated to be based on Annex I of the Financial Groups Directive.

whole-firm liquidity modification

means a modification to the overall liquidity adequacy rule of the kind described in BIPRU 12.8.22G in the PRA Handbook as in effect on 30 September 2015 granted to a firm and in effect on that date.

1.3

Unless otherwise defined, any italicised expression used in this Part:

1. (1) listed in Annex 1 (Liquidity definitions) to this Part has the meaning specified in the PRA Handbook as in effect on 30 September 2015; and
2. (2) in the CRR, has the same meaning as in the CRR.

2.1

Unless otherwise stated, a firm permitted to carry on any of the regulated activities within any RAG set out in column (1) of the table in 6.1 must submit to the PRA the data items, applicable to the relevant RAG as specified in the corresponding rule referred to in column (2) of that table.

2.2

Where, in accordance with 2.1, a firm is required to submit data items for more than one RAG, that firm must only submit the data item of the same name and purpose in respect of the lowest numbered RAG applicable to it, RAG 1 being the lowest and RAG 5 the highest.

2.3

Where, but for 2.2, a firm is required to submit data items for more than one RAG and this includes the submission of data items in respect of fees, the FOS Ltd. or FSCS levy, or threshold conditions, that firm must only submit these data items if required to do so for the lowest numbered of the RAGs applicable to the firm.

2.4

Unless otherwise stated, any data items to be submitted in accordance with 2.1 to 2.3 by a non-EEA bank, or an EEA bank, should cover the activities of the branch operation in the UK only.

2.5

A firm that is a member of a financial conglomerate must also submit data items as required by Chapter 12.

2.6

A UK bank and a UK designated investment firm must also submit Prudent Valuation Returns as required by Chapter 13.

2.7

A bank must also submit data items as required by Chapter 17.

3.1

Where a firm is required to submit data items in accordance with 2.1 to 2.3, it must submit this information at the frequency and in respect of the periods specified in the rule referred to in the relevant row of column (3) of the table in 6.1.

4.1

Where a firm is required to submit data items in accordance with 2.1 to 2.3, it must submit this information by the due date specified in the rule referred to in the relevant row of column (4) of the table in 6.1.

4.2

If the due date for submission of a data item required by this Part falls on a day which is not a business day, the data item must be submitted so as to be received by the PRA no later than the first business day after the due date.

4.3

Unless otherwise stated, if the reporting frequency for submission of a data item required by this Part is expressed as half yearly, quarterly or monthly and the due date for submission is expressed as a set period of time:

1. (1) the first due date for submission after the firm’s accounting reference date is to be calculated as the last day of that set period from the accounting reference date; and
2. (2) thereafter, until the firm’s next accounting reference date, the due dates for submission are to be calculated as the last day of that set period from:
1. (a) the date falling six months after the firm’s accounting reference date, in the case of half yearly reporting frequency;
2. (b) the dates falling every three months after the firm’s accounting reference date, in the case of quarterly reporting frequency; and
3. (c) the dates falling every month after the firm’s accounting reference date, in the case of monthly reporting frequency.

5.1

Unless otherwise stated, where a firm is required to submit data items in accordance with Chapter 2, it must submit this information by electronic means made available by the PRA.

5.2

5.1 does not apply to:

1. (1) credit unions solely in relation to the reporting requirement for RAG 1 regulated activities; in such cases, the following submission methods apply:
1. (a) Post to the Bank of England for postal submission:

Regulatory Data Group
Statistics and Regulatory Data Division (HO5 A-B)
Bank of England
Threadneedle Street
London
EC2R 8AH

1. (b) Leaving the report marked for the attention of "Regulatory Data Group, Statistics and Regulatory Data Division (TS 5 A-B) at the Bank of England, Threadneedle Street, London, EC2R 8AH, and obtaining a dated receipt
2. (c) Electronic mail:

(CreditUnionReporting@BankofEngland.co.uk) or fax (020 7601 3334) to the Regulatory Data Group of the Bank of England

1. (d) Online submission via the appropriate systems accessible from the PRA's website.
1. (2) firms in RAG 2.1 in relation to the reporting requirements for RAG 2.1 regulated activities; and
2. (3) those data items specified as "No standard format".

5.3

Unless otherwise stated, firms must submit data items specified as “No standard format” via electronic mail to regulatoryreporting@bankofengland.co.uk or via post or hand delivery to Regulatory Data Group, Statistics and Regulatory Data Division (HO5 A-B), Bank of England, Threadneedle Street, London EC2R 8AH; or via fax to the Regulatory Data Group of the Bank of England (020 7601 3334).

5.4

A data item must:

1. (1) give the firm reference number (or all the firm reference numbers in those cases where a data item is submitted on behalf of a number of firms); and
2. (2) if submitted in paper form, be submitted with the cover sheet specified in 16.25 duly completed.

6.1

Unless otherwise indicated, firms must comply with the rules specified in the following table (which set out the data items, frequency and submission periods as applicable to each RAG) in accordance with Chapters 2, 3 and 4.

(1)	(2)	(3)	(4)
RAG number	Regulated Activities	Rules containing:
		applicable data items	reporting frequency / period	due date
RAG 1	• accepting deposits • meeting of repayment claims • managing dormant account funds (including the investment of such funds)	7.1, except that the requirement to submit data items FSA001 and FSA002 on a consolidated basis does not apply to FINREP firms	7.2	7.3
RAG 2.1	• effecting contracts of insurance • carrying out contracts of insurance • entering as provider into a funeral plan contract	8.1, 8.2, 8.3	8.1, 8.2, 8.3	8.1, 8.2, 8.3
RAG 3	• dealing in investments as principal	9.1 9.2 for UK designated investment firms, except that the requirement to submit data items FSA001 and FSA002 on a consolidated basis does not apply to FINREP firms	9.1 9.3 for UK designated investment firms	9.1 9.4
RAG 4	• managing investments • establishing, operating or winding-up a collective investment scheme	10.2 for UK designated investment firms, except that the requirement to submit data items FSA001 and FSA002 on a consolidated basis does not apply to FINREP firms	10.3 for UK designated investment firms	10.4
RAG 5	• home finance administration or home finance providing activity	11.2	11.2	11.2

7.1

The applicable data items referred to in the table in 6.1 are set out according to firm type in the table below:

RAG 1	Prudential category of firm, applicable data items and reporting format (1)
	UK bank	Building society	Non-EEA bank	EEA bank that has permission to accept deposits and that has its registered office (or, if it has no registered office, its head office) outside the EU	Credit union	Dormant account fund operator (12)
Description of data item
Annual report and accounts	No standard format		No standard format, but in English			No standard format
Annual report and accounts of the mixed-activity holding company (7)	No standard format
Solvency statement (8)	No standard format
Balance sheet	FSA001 (2)	FSA001 (2)			CQ; CY
Income statement	FSA002 (2)	FSA002 (2)	FSA002		CQ; CY
Capital adequacy					CQ; CY
Market risk	FSA005 ((2), (3))	FSA005 ((2), (3))
Market risk & supplementary	FSA006 (4)
Large exposures					CQ; CY
Exposures between core UK group and non-core large exposures group	FSA018 (10)	FSA018 (10)
Liquidity (other than stock)		FSA011			CQ; CY
Forecast data	FSA014 (9)	FSA014 (9)
Solo consolidation data	FSA016 (5)	FSA016 (5)
Interest rate gap report	FSA017	FSA017
Sectoral information, including arrears and impairment	FSA015 (2)	FSA015 (2)
IRB portfolio risk	FSA045 (11)	FSA045 (11)
Daily Flows	FSA047 ((13), (16) and (18))	FSA047 ((13), (16) and (18))	FSA047 ((13), (15), (16) and (18))	FSA047 ((13), (15), (16) and (18))
Enhanced Mismatch Report	FSA048 ((13), (16) and (18))	FSA048 ((13), (16) and (18))	FSA048 ((13), (15), (16) and (18))	FSA048 (Notes 13, 15, 16 and 18)
Liquidity Buffer Qualifying Securities	FSA050 ((14), (17) and (18))	FSA050 ((14), (17) and (18))
Funding Concentration	FSA051 ((14), (17) and (18))	FSA051 ((14), (17) and (18))
Pricing data	FSA052 ((14), (18) and (19))	FSA052 ((14), (18) and (19))
Retail and corporate funding	FSA053 ((14), (17) and (18))	FSA053 ((14), (17) and (18))

2. (1) When submitting the completed data item required, a firm must use the format of the data item set out in Chapter 18.
3. (2) Firms that are members of a UK consolidation group must also submit this data item on a UK consolidation group basis.
4. (3) For PRA-authorised persons, lines 62 to 64 only are applicable. These lines apply to a firm that applies add-ons to their market risk capital calculation under the RNIV framework.
5. (4) Only applicable to firms with a CRR permission to use internal models in accordance with Part 3, Title IV, Chapter 5 of the CRR.
6. (5) Only applicable to a firm that has an individual consolidation permission.
7. (6) This will be applicable to firms (other than building societies) that are members of a UK consolidation group on the reporting date.
8. (7) Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
9. (8) Only applicable to a firm that is a partnership, when the report must be submitted by each partner.
10. (9) Members of a UK consolidation group should only submit this data item at the UK consolidation group level.
11. (10) Only applicable to a firm that has both a core UK group and a non-core large exposures group.
12. (11) Only applicable to firms that have an CRR permission to use the IRB Approach
13. (12) Only applies to a dormant account fund operator that does not fall into any of the other prudential categories in this table.
14. (13) A firm must complete this item separately on each of the following bases that are applicable.
1. (a) It must complete it on an individual basis (including on the basis of the firm's UK branch). Therefore even if it has an individual consolidation permission it must complete the item on an unconsolidated basis by reference to the firm alone.
2. (b) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.
3. (c) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group and (a) does not apply.
4. (d) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
15. (14) A firm must complete this item separately on each of the following bases that are applicable.
1. (a) It must complete it on an individual basis (including on the basis of the firm's UK branch) unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has an individual consolidation permission it must complete the item on an unconsolidated basis by reference to the firm alone.
2. (b) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
16. (15) (a) If the firm has a whole-firm liquidity modification it must complete this item on the basis of the whole firm (or at any other reporting level the whole-firm liquidity modification may require) and not just its UK branch.
1. (b) If the firm does not have a whole-firm liquidity modification, there is no obligation to report this item.
17. (16) (a) This item must be reported in the reporting currency.
1. (b) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.
2. (c) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency).
3. However if:
1. (i) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or
2. (ii) the only material currency is the reporting currency,
3. then (c) does not apply.
4. (d) If there are more than three material currencies for this data item, (c) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.
1. (i) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.
2. (ii) Take the three largest figures from the resulting list of amounts.
5. (e) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.
6. (f) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
18. (17) (16) applies, except that sub paragraphs (c), (d) and (e) do not apply, meaning that material currencies must not be recorded separately.
19. (18) Unless otherwise stated in the relevant modification, any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification or a whole-firm liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification, whole-firm liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun.
20. (19) This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.

7.2

The applicable reporting frequencies for submission of data items and periods referred to in 7.1 are set out in the table below according to firm type. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

RAG 1
Data item	Unconsolidated UK banks and building societies	Individual consolidated UK banks and building societies	Report on a UK consolidation group or, as applicable, defined liquidity group basis by UK banks and building societies	Other members of RAG 1
Annual report and accounts	Annually			Annually
Annual report and accounts of the mixed-activity holding company	Annually
Solvency statement	Annually
CQ				Quarterly
CY				Annually (1)
FSA001	Quarterly		Half yearly
FSA002	Quarterly		Half yearly	Half yearly
FSA005	Quarterly		Half yearly
FSA006	Quarterly
FSA011	Quarterly
FSA014	Half yearly
FSA015	Quarterly		Half yearly
FSA016		Half yearly
FSA017	Quarterly		Half yearly
FSA018	Quarterly
FSA045	Quarterly		Half yearly
FSA047	Daily, weekly, monthly or quarterly ((2), (3) and (6))		Daily, weekly, monthly or quarterly ((2), (5) and (6))	Daily, weekly, monthly or quarterly ((2),(4) and (6))
FSA048	Daily, weekly, monthly or quarterly ((2), (3) and (6))		Daily, weekly, monthly or quarterly ((2), (5) and (6))	Daily, weekly, monthly or quarterly ((2),(4) and (6))
FSA050	Monthly ((2)		Monthly ((2))	Monthly ((2))
FSA051	Monthly ((2))		Monthly ((2))	Monthly ((2))
FSA052	Weekly or monthly ((2) and (7))		Weekly or monthly ((2) and (8))	Weekly or monthly ((2) and (7))
FSA053	Quarterly (2)		Quarterly ( 2)	Quarterly (2)

2. (1) The annual report required from a credit union by 7.1 must be made up for the same period as the audited accounts published by the credit union in accordance with section 3A of the Friendly and Industrial and Provident Societies Act 1968 or provided in accordance with article 49 of the Credit Unions (Northern Ireland) Order 1985 (as appropriate).
3. (2) Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:
1. (a) A week means the period beginning on Saturday and ending on Friday.
2. (b) A month begins on the first day of the calendar month and ends on the last day of that month.
3. (c) Quarters end on 31 March, 30 June, 30 September and 31 December.
4. (d) Daily means each business day.
5. All periods are calculated by reference to London time.
4. (3) If the report is on an individual basis (and the firm is a UK firm) the reporting frequency is as follows:
1. (a) if the firm does not have an intra-group liquidity modification the frequency is:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm;
2. (b) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm;
3. (c) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.
5. (4) (a) If the report is on an individual basis (and the firm is not a UK firm) the reporting frequency is as follows:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm.
1. (b) If the firm has a whole-firm liquidity modification (a) does not apply and instead the frequency of individual reporting is quarterly (or whatever other frequency the whole-firm liquidity modification requires).
6. (5) (a) If the report is by reference to the firm's DLG by default the reporting frequency is:
1. (i) weekly if the group liquidity standard frequency reporting conditions are met;
2. (ii) monthly if the group liquidity low frequency reporting conditions are met.
1. (b) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:
1. (i) weekly if the group liquidity standard frequency reporting conditions are met;
2. (ii) monthly if the group liquidity low frequency reporting conditions are met.
2. (c) If the report is by reference to the firm's non-UK DLG by modification the reporting frequency is quarterly.
7. (6) (a) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm, branch or group in question.
1. (b) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm, branch or group in question.
2. (c) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (a) or (b) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.
8. (7) If the report is on an individual basis (including by reference to the firm's UK branch) the reporting frequency is as follows:
1. (a) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (b) monthly if the firm is a low frequency liquidity reporting firm.
9. (8) If the report is by reference to the firm's UK DLG by modification the reporting frequency is:
1. (a) weekly if the group liquidity standard frequency reporting conditions are met;
2. (b) monthly if the group liquidity low frequency reporting conditions are met.

7.3

The applicable due dates for submission referred to in the table in 6.1 are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in 7.2, unless indicated otherwise.

RAG 1
Data item	Daily	Weekly	Monthly	Quarterly	Half yearly	Annually
Annual report and accounts						80 business days (1) 7 months (2)
Annual report and accounts of the mixed-activity holding company						7 months
Solvency statement						3 months
CQ				1 month
CY						6 months
FSA001				20 business days	45 business days
FSA002				20 business days	45 business days
FSA005				20 business days	45 business days
FSA006				20 business days
FSA011				15 business days
FSA014					30 business days (3); 45 business days (4)
FSA015				30 business days	45 business days
FSA016					30 business days
FSA017				20 business days	45 business days
FSA018				45 business days
FSA045				20 business days	45 business days
FSA047	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	15 business days	15 business days or one Month (5)
FSA048	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	15 business days	15 business days or one Month (5)
FSA050			15 business days
FSA051			15 business days
FSA052		22.00 hours (London time) on the second business day immediately following the last day of the reporting period for the item in question	15 business days
FSA053			15 business days

1. (1) Applicable to UK banks and dormant account fund operators.
2. (2) Applicable to non-EEA banks.
3. (3) Applicable to unconsolidated and individual consolidated reports.
4. (4) Applicable to UK consolidation group reports.
5. (5) It is one month if the report relates to a non-UK DLG by modification or the firm has a whole-firm liquidity modification.

8.1

The financial reporting requirements for RAG 2.1 activities for:

1. (1) a UK Solvency II firm, the Society and managing agents are set out in the Reporting Part in the Solvency II Firms Sector; and
2. (2) a third country branch undertaking is set out in Third Country Branches 9 in the Solvency II Firms Sector.

8.2

The financial reporting requirements for RAG 2.1 activities for a non-directive insurer is set out in Transitional Measures 3.1 in the Non-Solvency II Firms Sector.

8.3

A UK ISPV must submit a copy of its annual audited financial statements within 3 months of its accounting reference date, but the report is only required if it was audited as a result of a statutory provision other than under FSMA.

9.1

A lead regulated firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

9.2

The applicable data items referred to in the table in 6.1 for a UK designated investment firm are set out in the table below:

RAG 3
Description of data item	Applicable data items (1)
Annual report and accounts	No standard format
Annual report and accounts of the mixed-activity holding company (5)	No standard format
Solvency statement	No standard format (6)
Balance sheet	FSA001 (2)
Income statement	FSA002 (2)
Market risk	FSA005 ((2) and (16))
Market risk-supplementary	FSA006 (3)
Exposures between core UK group and non-core large exposures group	FSA018 (7)
Solo consolidation data	FSA016 ((8)
Pillar 2 questionnaire	FSA019 (4)
IRB portfolio risk	FSA045 (15)
Daily flows	FSA047 ((9), (11) and (13))
Enhanced Mismatch Report	FSA048 ((9), (11) and (13))
Liquidity Buffer Qualifying Securities	FSA050 ((10), (12) and (13))
Funding Concentration	FSA051 ((10), (12) and (13))
Pricing data	FSA052 ((10), (13) and (14))
Retail and corporate funding	FSA053 ((10), (12) and (13))

2. (1) When submitting the completed data item required, a firm must use the format of the data item set out in Chapter 18.
3. (2) Firms that are members of a consolidation group must also submit this report on a consolidation group basis.
4. (3) Only applicable to firms with a CRR permission to use internal models in accordance with Title IV, Chapter 5 of the CRR.
5. (4) Only applicable to UK designated investment firms that:
1. (a) are subject to consolidated supervision under the CRR, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or
2. (b) are not subject to consolidated supervision under the CRR.
6. A UK designated investment firm under (a) must complete the report on the basis of its consolidation group. A UK designated investment firm under (b) must complete the report on the basis of its individual position.
7. (5) Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
8. (6) Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.
9. (7) Only applicable to a firm that has both a core UK group and a non-core large exposures group.
10. (8) Only applicable to a firm with an individual consolidation permission
11. (9) A firm must complete this item separately on each of the following bases (if applicable).
1. (a) It must complete it on an individual basis. Therefore even if it has an individual consolidation permission it must complete the item on an unconsolidated basis by reference to the firm alone.
2. (b) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.
3. (c) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group and (a) does not apply.
4. (d) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
12. (10) A firm must complete this item separately on each of the following bases that are applicable.
1. (a) It must complete it on an individual basis unless it is a group liquidity reporting firm in a UK DLG by modification. Therefore even if it has an individual consolidation permission it must complete the item on an unconsolidated basis by reference to the firm alone.
2. (b) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group.
13. (11) (a) This item must be reported in the reporting currency.
1. (b) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.
2. (c) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency).
3. However if:
1. (i) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or
2. (ii) the only material currency is the reporting currency,
4. then (c) does not apply.
5. (d) If there are more than three material currencies for this data item, (c) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.
1. (i) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.
2. (ii) Take the three largest figures from the resulting list of amounts.
6. (e) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.
7. (f) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
14. (12) (11) applies, except that sub paragraphs (c), (d) and (e) do not apply, meaning that material currencies must not be recorded separately.
15. (13) Unless otherwise stated in the relevant modification, any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun.
16. (14) This data item must be reported only in the currencies named in FSA052, so that liabilities in GBP are reported in GBP in rows 1 to 4, those in USD are reported in USD in rows 5 to 8, and those in Euro are reported in Euro in rows 9 to 12. Liabilities in other currencies are not to be reported.
17. (15) Only applicable to firms that have a CRR permission to use the IRB Approach.
18. (16) Lines 62 to 64 only are applicable. These lines apply to a firm that applies add-ons to their market risk capital calculation under the RNIV framework.

9.3

The applicable reporting frequencies for submission of data items and periods referred to in 9.2 are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

RAG 3
Data item	Reporting frequency
Annual report and accounts	Annually
Annual report and accounts of the mixed-activity holding company	Annually
Solvency statement	Annually
FSA001	Quarterly
FSA002	Quarterly
FSA005	Quarterly
FSA006	Quarterly
FSA016	Half yearly
FSA018	Quarterly
FSA019	Annually
FSA045	Quarterly
FSA047	Daily, weekly, monthly or quarterly ((1), (2) and (3))
FSA048	Daily, weekly, monthly or quarterly ((1), (2) and (3))
FSA050	Monthly (1)
FSA051	Monthly (1)
FSA052	Weekly or monthly ((1) and (4))
FSA053	Quarterly (1)

2. (1) Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:
1. (a) A week means the period beginning on Saturday and ending on Friday.
2. (b) A month begins on the first day of the calendar month and ends on the last day of that month.
3. (c) Quarters end on 31 March, 30 June, 30 September and 31 December.
4. (d) Daily means each business day.
3. All periods are calculated by reference to London time.
4. Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.
5. (2) If the report is on an individual basis the reporting frequency is as follows:
1. (a) if the firm does not have an intra-group liquidity modification the frequency is:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm;
2. (b) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm;
3. (c) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.
6. (3) (a) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.
1. (b) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.
2. (c) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (a) or (b) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.
7. (4) If the report is on an individual basis the reporting frequency is:
1. (a) Weekly if the firm is a standard frequency liquidity reporting firm; and
2. (b) Monthly if the firm is a low frequency liquidity reporting firm.

9.4

The applicable due dates for submission referred to in the table in 6.1 are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in 9.3, unless indicated otherwise.

RAG 3
Data item	Daily	Weekly	Monthly	Quarterly	Half yearly	Annually
Annual report and accounts						80 business days
Annual report and accounts of the mixed-activity holding company						7 months
Solvency statement						3 months
FSA001				20 business days	30 business days (1); 45 business days (2)
FSA002				20 business days	30 business days (1); 45 business days (2)
FSA005				20 business days	30 business days (1); 45 business days (2)
FSA006				20 business days
FSA016					30 business days
FSA018				45 business days
FSA019						2 months
FSA045				20 business days	30 business days (1); 45 business days (2)
FSA047	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	15 business days	15 business days or one month (3)
FSA048	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	15 business days	15 business days or one month (3)
FSA050			15 business days
FSA051			15 business days
FSA052		22.00 hours (London time) on the business day immediately following the last day of the reporting period for the item in question	15 business days
FSA053				15 business days

2. (1) For unconsolidated and individually-consolidated reports.
3. (2) For consolidation group reports.
4. (3) It is one Month if the report relates to a non-UK DLG by modification.

10.1

This Chapter applies only to UK designated investment firms.

10.2

The applicable data items referred to in the table in 6.1 are set out in the table below:

RAG 4
Description of data item	Applicable data items (1)
Volumes and type of business (1)	FSA038
UCITS (2)	FSA042

2. (1) Only applicable to firms that have a managing investments permission.
3. (2) Only applicable to firms that have permission for establishing, operating or winding up a regulated collective investment scheme.

10.3

The applicable reporting frequencies for submission of data items referred to in 10.2 are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

RAG 4
Data item	Reporting frequency
FSA038	Half yearly
FSA042	Quarterly

10.4

The applicable due dates for submission referred to in the table in 6.1 are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in 10.3, unless indicated otherwise.

RAG 4
Data item	Daily	Weekly	Monthly	Quarterly	Half yearly	Annually
FSA 038					30 business days
FSA042				20 business days

11.1

This Chapter does not apply to a lead regulated firm.

11.2

The applicable data items, reporting frequencies and submission deadlines referred to in the table in 6.1 are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.

RAG 5
Description of data item	Data item (1)	Frequency	Submission deadline
Balance Sheet	Sections A.1 and A.2 MLAR	Quarterly	20 business days
Income Statement	Sections B.0 and B.1 MLAR	Quarterly	20 business days
Capital Adequacy	Section C MLAR	Quarterly	20 business days
Lending - Business flow and rates	Section D MLAR	Quarterly	20 business days
Residential Lending to individuals - New business profile	Section E MLAR	Quarterly	20 business days
Lending - Arrears analysis	Section F MLAR	Quarterly	20 business days
Mortgage administration - Business profile	Section G MLAR	Quarterly	20 business days
Mortgage Administration - Arrears analysis	Section H MLAR	Quarterly	20 business days
Analysis of loans to customers	Section A3 MLAR	Quarterly	20 business days
Provisions analysis	Section B2 MLAR	Quarterly	20 business days
Fees and levies	Section J MLAR	Annually	30 business days
Sale and rent back	Section K MLAR	Annually	30 business days

2. (1) When submitting the completed data item required, a firm must use the format of the data item set out in Chapter 18.

12.1

This Chapter applies only to a firm that is a member of a financial conglomerate and either:

1. (1) it is at the head of a UK-regulated EEA financial conglomerate; or
2. (2) its Part 4A permission contains a requirement which either:
1. (a) applies 12.3 to the firm; or
2. (b) applies 12.3 to the firm unless the mixed financial holding company of the financial conglomerate to which the firm belongs submits the report required under this rule (as if the rule applied to it).

12.2

Firms must submit to the PRA the duly completed data items specified in 12.3 in accordance with 12.3.

12.3

The table below sets out the following:

1. (a) the applicable data items;
2. (b) the applicable reporting frequencies for submission of data items and periods (calculated from a firm's accounting reference date, unless indicated otherwise); and
3. (c) the applicable due dates for submission. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period, unless indicated otherwise.

Financial conglomerates
Content of Report	Data item (1)	Frequency	Due Date
Calculation of supplementary capital adequacy requirements in accordance with one of the three technical calculation methods	(2)	(5) Annually	(5)
Identification of significant risk concentration levels	(3)	Annually	4 months after year end
Identification of significant intra-group transactions	(4)	Annually	4 months after year end
Report on compliance with GENPRU 3.1.35 R where it applies	(6)	(5)	(5)

2. (1) When giving the report required, a firm must use the form indicated, if any.
3. (2) Adequate information must be provided, specifying the calculation method used and each financial conglomerate for which the PRA is the co-ordinator must discuss with the PRA the form which this reporting will take and the extent to which verification by an auditor will be required.
4. (3) Rather than specifying a standard format for each financial conglomerate to use, each financial conglomerate for which the PRA is the co-ordinator must discuss with the PRA the form of the information to be reported. This should mean that usual information management systems of the financial conglomerate can be used to the extent possible to generate and analyse the information required.
5. (4) For the purposes of this reporting requirement, an intra-group transaction will be presumed to be significant if its amount exceeds 5% of the total amount of capital adequacy requirements at the level of the financial conglomerate.
   Rather than specifying a standard format for each financial conglomerate to use, each financial conglomerate for which the PRA is the co-ordinator must discuss with the PRA the form of the information to be reported.
6. (5) The frequency and due date will be as follows:
1. (a) banking and investment services conglomerate: frequency is annually with due date 45 business days after period end;
2. (b) insurance conglomerate: frequency is annually with due date four months after period end for the capital adequacy return and three months after period end for the report on compliance with GENPRU 3.1.35 R where it applies.
7. (6) Adequate information must be added as a separate item to the relevant form for sectoral reporting.

13.1

This Chapter applies only to UK banks and UK designated investment firms.

13.2

Firms must submit to the PRA quarterly (on a calendar year basis and not from a firm's accounting reference date), within six weeks of each quarter end, a Prudent Valuation Return in respect of its fair-value assessments.

13.3

Where a firm is a member of a consolidation group, the firm must comply with 13.2:

1. (1) on an individual consolidation basis if the firm has an individual consolidation permission, or on an unconsolidated basis if the firm does not have an individual consolidation permission; and
2. (2) separately, on the basis of the consolidated situation of the consolidation group.

13.4

Firms must submit the Prudent Valuation Return via electronic mail to prudentvaluationreturns@bankofengland.co.uk or via post or hand delivery to Regulatory Data Group, Statistics and Regulatory Data Division (HO5 A-B), Bank of England, Threadneedle Street, London EC2R 8AH; or via fax to the Regulatory Data Group of the Bank of England (020 7601 3334).

14.1

Subject to 14.4 this Chapter applies where, immediately before 1 January 2016, a waiver given in relation to a rule in the supervision manual in the PRA Handbook listed in column A of the table in 14.3 has effect.

14.2

Each waiver given in relation to a rule in the supervision manual in the PRA Handbook listed in column A of the table in 14.3 is to be treated as a waiver given by the PRA to the firm under the rule in this Part listed in the same row in column B of the table.

14.3

Column A SUP 16.12 rule as in force until immediately before 1 January 2016	Column B Regulatory Reporting rule as in force from 1 January 2016
SUP 16.12.4	6.1
SUP 16.12.5	7.1
SUP 16.12.6	7.2
SUP 16.12.7	7.3
SUP 16.12.8(1)	8.1
SUP 16.12.8(2)	8.2
SUP 16.12.8(3)	8.3
SUP 16.12.11B	9.2
SUP 16.12.12A	9.3
SUP 16.12.13A	9.4
SUP 16.12.15B	10.2
SUP 16.12.16A	10.3
SUP 16.12.17A	10.4
SUP 16.12.18	11.1
SUP 16.12.18A	11.2

14.4

This Chapter does not apply in relation to a waiver that is an intra-group liquidity modification or a whole-firm liquidity modification.

15.1

This Chapter applies only to a firm that is a member of a financial conglomerate.

15.2

Where, immediately before 1 January 2016, the firm’s Part 4A permission contained a requirement which applied SUP 16.12.33R in the supervision manual in the PRA Handbook to the firm, that requirement is to be treated as applying 12.3 to the firm.

15.3

Where, immediately before 1 January 2016, the firm’s Part 4A permission contained a requirement which applied SUP 16.12.33R in the supervision manual in the PRA Handbook to the firm unless the mixed financial holding company of the financial conglomerate to which the firm belongs submits the report required under that rule (as if the rule applied to it), that requirement is to be treated as applying 12.3 to the firm unless the mixed financial holding company of the financial conglomerate to which the firm belongs submits the report required under that rule (as if the rule applied to it).

16.1

FSA001 can be found here.

16.2

FSA002 can be found here.

16.3

FSA005 can be found here.

16.4

FSA006 can be found here.

16.5

FSA011 can be found here.

16.6

FSA014 can be found here.

16.7

FSA015 can be found here.

16.8

FSA016 can be found here.

16.9

FSA017 can be found here.

16.10

FSA018 can be found here.

16.11

FSA019 can be found here.

16.12

FSA038 can be found here.

16.13

FSA042 can be found here.

16.14

FSA045 can be found here.

16.15

FSA047 can be found here.

16.16

FSA048 can be found here.

16.17

FSA050 can be found here.

16.18

FSA051 can be found here.

16.19

FSA052 can be found here.

16.20

FSA053 can be found here.

16.21

MLAR can be found here.

16.22

CQ can be found here.

16.23

CY can be found here.

16.24

Prudent Valuation Return can be found here.

16.25

Cover sheet can be found here.

17.1

This Chapter applies only to banks.

17.2

A firm must submit to the PRA the duly completed data items described in and in accordance with the following table, which sets out:

1. (1) the applicable data items;
2. (2) the applicable reporting frequencies for submission of data items; and
3. (3) the applicable due dates for submission. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period.

Description of data item	Data item	Frequency	Due date
List of all overseas regulators for each legal entity in the firm’s group	No standard format	Annually	6 months after the firm’s accounting reference date
Organogram showing each authorised person in the firm’s group	No standard format	Annually	6 months after the firm’s accounting reference date

18.1

A firm must notify the PRA if it changes its accounting reference date by submitting the form referred to in Notifications 10.2 (Standing Data Form).

18.2

When a firm extends its accounting period, it must make the notification in 18.1 before the previous accounting reference date.

18.3

When a firm shortens its accounting period, it must make the notification in 18.1 before the new accounting reference date.

18.4

The Notifications Part, including Notifications 5.3A and 5.5 (Core Information Requirements), applies to any notification made under 18.1.

19.1

A firm must notify the PRA if it is required to report financial information in accordance with Article 99(2) of the CRR.

19.2

A firm must notify the PRA when it ceases to report financial information in accordance with Article 99(2) of the CRR.

19.3

A firm must notify the PRA if it adjusts its reporting reference dates for financial information under Article 99 of the CRR from the calendar year to its accounting year-end.

19.4

The Notifications Part, including Notifications 7.4 (Form and Method of Communication), applies to any notification made under this Chapter.

defined liquidity group

DLG by default

DLG by modification (firm level)

firm-specific liquidity stress

group liquidity low frequency reporting conditions

group liquidity reporting firm

group liquidity standard frequency reporting conditions

low frequency liquidity reporting firm

market liquidity stress

material currencies

non-UK DLG by modification

non-UK DLG by modification (DLG level)

non-UK DLG by modification (firm level)

overall liquidity adequacy rule

standard frequency liquidity reporting firm

UK DLG by modification

UK lead regulated firm