Prudential Regulation Authority Rulebook

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:

1. (1) When submitting the completed data item required, a firm must use the format of the data item set out in Chapter 16.
2. (2) Firms that are members of a UK consolidation group must also submit this data item on a UK consolidation group basis.
3. (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.
4. (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.
5. (5) Only applicable to a firm that has an individual consolidation permission.
6. (6) [deleted.]
7. (7) Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
8. (8) Only applicable to a firm that is a partnership, when the report must be submitted by each partner.
9. (9) Members of a UK consolidation group should only submit this data item at the UK consolidation group level.
10. (10) [deleted.]
11. (11) Only applicable to firms that have an CRR permission to use the IRB Approach
12. (12) [Deleted.]
13. (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, which for the purposes of this item, means that even if it has an individual consolidation permission it must complete the item on an unconsolidated basis by reference to the firm alone.
1. (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.
2. (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.
3. (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.
14. (14) [deleted]
15. (15) [deleted]
16. (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, 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.
1. (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.
2. (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).
17. (17) [deleted]
18. (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 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.
19. (19) [deleted.]
20. (20) This data item includes all annual reports and accounts that a firm is required to prepare under the Companies Act 2006 including group accounts, where required under that Act.
21. (21) A firm which is a IFRS firm must use the templates at Annex III of the Supervisory Reporting ITS. Any other firm must use the templates at Annex IV of the Supervisory Reporting ITS.
22. (22) Not applicable either to a firm which is a IFRS firm or Opt-in IFRS 9 firm.
23. (23) Only applicable to a firm which is a IFRS firm or Opt-in IFRS 9 firm.
24. (24) Only applicable to a firm which is a IFRS firm or Opt-in IFRS 9 firm, and which has total assets equal to or greater than £5 billion on an individual basis or UK consolidation group basis. If this data item applies to a IFRS firm or Opt-in IFRS 9 firm firm due to the level of total assets calculated on the basis of its UK consolidation group only, the firm must report the item only at the UK consolidation group level. If, during any reporting period as set out in 7.2, the total assets of a IFRS firm or Opt-in IFRS 9 firm become equal to or greater than £5 billion on an individual basis or UK consolidation group basis, the firm is required to start reporting this data item from the following reporting period. This requirement stops applying to a firm if its total assets on both an individual basis and UK consolidation group basis reduce to less than £5 billion for at least two consecutive reporting periods as set out in 7.2, in which case the firm does not report this item from the following reporting period.
25. (25) Only applicable to a firm which has total assets equal to or greater than £5 billion on an individual basis or on a UK consolidation group basis. If this data item applies to a firm due to the level of total assets calculated on the basis of its UK consolidation group only, the firm must report the item only at the UK consolidation group level. If, during any reporting period as set out in 7.2, the total assets of a firm become equal to or greater than £5 billion on an individual basis or UK consolidation group basis, the firm is required to start reporting this data item from the following reporting period. This requirement stops applying to a firm if its total assets on both an individual basis and UK consolidation group basis reduce to less than £5 billion for at least two consecutive reporting periods as set out in 7.2, in which case the firm does not report this item from the following reporting period.
26. (26) Annex III applies in accordance with Article 9(2)(d) and Annex IV in accordance with Article 11(2)(d) of the Supervisory Reporting ITS.
27. (27) Firms in a UK consolidation group that does not include one or more ring-fenced bodies are exempt from individually reporting this data item where they satisfy each of the following conditions:
28. 1. (a) during the two most recent successive reporting periods set out in 7.2, one firm in the UK consolidation group (“Firm A”) contributed more than 95% of the consolidated total assets in the UK consolidation group (where the contribution to consolidated total assets is calculated as Firm A’s total assets less any assets resulting from intra-group transactions with the other members of the UK consolidation group);
    2. (b) a representative member of the UK consolidation group notifies the PRA within 30 business days of the end of the previous reporting period; and
    3. (c) this data item is reported at the level of the UK consolidation group.
29. The contribution of Firm A to the consolidated total assets in the UK consolidation group must be reassessed at the end of each reporting period. If, for a given reporting period, Firm A ceases to contribute more than 95% of the consolidated total assets in the UK consolidation group, this exemption is no longer available to the members of the UK consolidation group, and a representative member of the UK consolidation group must notify the PRA of that fact within 30 business days of the end of that reporting period.
30. (28) Ring-fenced bodies within a sub-consolidation group must also submit the data item on a sub-consolidated basis.
31. (29) Ring-fenced bodies that are within a sub-consolidation group must submit this data item at the UK consolidation group level and on a sub-consolidated basis only. Ring-fenced bodies that are not within a sub-consolidation group but are within a UK consolidation group must submit this data item at the UK consolidation group level only.
32. (30) Ring-fenced bodies within a sub-consolidation group must submit the data item on a sub-consolidated basis only.
33. (31) The data item may be submitted by a single ring-fenced body in a sub-consolidation group.
34. (32) Ring-fenced bodies within a sub-consolidation group must also submit the data item at the level of the sub-consolidation group. When completing the data item, the ring-fenced body must aggregate gross values for each entity within the sub-consolidation group without netting any intragroup transactions.
35. (33) A ring-fenced body is not required to submit this data item on an individual basis if the ring-fenced body has total assets of less than £5 billion on an individual basis. If, during any reporting period set out in 7.2, the ring-fenced body’s total assets increase to £5 billion or more on an individual basis, the ring-fenced body is required to start reporting this data item from the following reporting period on an individual basis. If the ring-fenced body’s total assets on an individual basis reduce to less than £5 billion for at least two consecutive reporting periods as set out in 7.2, the ring-fenced body does not report this data item from the following reporting period on an individual basis.
36. (34) A ring-fenced body is not required to submit this data item on a sub-consolidated basis if the ring-fenced body has total assets of less than £5 billion on a sub-consolidated basis. If, during any reporting period set out in 7.2, the ring-fenced body’s total assets increase to £5 billion or more on a sub-consolidated basis, the ring-fenced body is required to start reporting this data item from the following reporting period on a sub-consolidated basis. If the ring-fenced body’s total assets on a sub-consolidated basis reduce to less than £5 billion for at least two consecutive reporting periods as set out in 7.2, the ring-fenced body does not report this data item from the following reporting period on a sub-consolidated basis.
37. (35) A firm must complete this item separately on each of the following bases that are applicable.
38. 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 part of a domestic liquidity sub-group, it must complete the item on the basis of that group and (a) does not apply.
    3. (c) If it is part of a sub-consolidation group, it must complete the item on the basis of that sub-consolidation group.
    4. (d) If it is an EU parent institution, it must complete the item on the basis of its consolidated situation.
    5. (e) If it is a UK bank or building society controlled by an EU parent financial holding company or by an EU parent mixed financial holding company it must complete the item on the basis of the consolidated situation of that holding company if the PRA is responsible for supervision of the firm on a consolidated basis under Article 111 of the CRD.
    6. (f) If it is a UK designated investment firm controlled by an EU parent financial holding company or by an EU parent mixed financial holding company the firm must complete the item on the basis of the consolidated situation of that holding company if: (1) there is no subsidiary of the holding company which is a credit institution to which (e) applies; and (2) the PRA is responsible for the supervision of the firm on a consolidated basis under Article 111 of the CRD.
39. If the data item is required to be completed by the firm on a consolidated basis (pursuant to (d), (e) or (f) above) or on a sub-consolidated basis (pursuant to (c) above), the firm must carry out the consolidation or sub-consolidation to the same extent and in the same manner as it is required to comply with the obligations laid down in Part Six of the CRR on a consolidated basis or sub-consolidated basis.
40. (36) Unless otherwise stated in the relevant modification, any changes to reporting requirements caused by a firm receiving a domestic liquidity sub-group permission 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 permission 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 data item or at that reporting level for any reporting period that has already begun.
41. (37) This data item must be reported in the single currency in which the firm reports for the purposes of Article 415(1) of the CRR and in any additional currencies in which the firm is required to report under Article 415(2) of the CRR.

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.

2. (1) [deleted.]
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) [deleted]
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) [deleted]
9. (8) [deleted]
10. (9) A firm which has an individual consolidation permission must submit data items FSA005, FSA011, FSA015, FSA017, FSA045, Templates 1.1, 1.2, 1.3, 2, 3, 4.3.1, 4.4.1, 5.1, 7.1, 9.1.1, 12.1, 12.2, 13.1, 18, 19, 20.4 and 20.7 at Annex III or IV of the Supervisory Reporting ITS, PRA104, PRA105, PRA106, PRA107 and PRA108 on an individual consolidated basis, and all other data items in this column on an unconsolidated basis. All other firms must submit all data items in this column on an unconsolidated basis.
11. (10) The reporting frequency in this row applies to all annual reports and accounts that a firm is required to submit under 7.1.
12. (11) Reporting frequencies and reporting periods for these data items are calculated on a calendar year basis and not from a firm's accounting reference date unless the firm notifies the PRA that it intends to adjust its reporting reference date for submission of the data item from the calendar year to its accounting year-end in accordance with 19.3A. Where a firm reports on a calendar year basis:
    1. (a) a month begins on the first day of the calendar month and ends on the last day of that month;
    2. (b) quarters end on 31 March, 30 June, 30 September and 31 December; and
    3. (c) half years end on 30 June and 31 December.
13. (12) If a firm reports PRA110 monthly in accordance with (14)(b) and otherwise would report FSA047 and FSA048 weekly in accordance with (3), (4) or (5), the firm must report FSA047 and FSA048:
14. 1. (a) monthly instead of weekly for the purpose of (3), (4) or (5); and
    2. (b) weekly instead of every business day for the purpose of (6).
15. (13)
1. (a) If the reporting frequency would otherwise be weekly, the item is to be reported on every business day if (and for as long as) there is a specific liquidity stress or market liquidity stress in relation to the firm, branch or group in question.
2. (b) If the reporting frequency would otherwise be monthly, the item is to be reported weekly if (and for as long as) there is a specific liquidity stress or market liquidity stress in relation to the firm, branch or group in question.
3. (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 specific liquidity stress or market liquidity stress and none is expected.
16. (14) The reporting frequency is as follows:
17. 1. (a) weekly if the firm has total assets, calculated in accordance with Council Directive 86/635/EEC, equal or greater than EUR 30 billion on either an individual basis or UK consolidation group basis. This requirement stops applying if the total assets of the firm on both an individual basis and UK consolidation group basis reduce to less than EUR 30 billion for at least four consecutive weekly reporting periods, in which case the firm is required to start reporting this data item monthly after the end of last consecutive reporting period; and
    2. (b) monthly if the firm has total assets, calculated in accordance with Council Directive 86/635/EEC, of less than EUR 30 billion on both an individual basis and UK consolidation group basis. This requirement stops applying if during any monthly reporting period the total assets of the firm, on either an individual basis or UK consolidation group basis, become equal to or greater than EUR 30 billion, in which case the firm is required to start reporting this data item weekly after the end of that reporting period.

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.

2. (1) Applicable to UK banks.
3. (2) Applicable to non-EEA banks.
4. (3) Applicable to unconsolidated and individual consolidated reports.
5. (4) Applicable to UK consolidation group reports.
6. (5) It is one month if the report relates to a non-UK DLG by modification.
7. (6) A ring-fenced body’s first submission of the data item on a sub-consolidated basis must relate to a period starting on the date that the firm became subject to the Ring-fenced Bodies Part of the PRA Rulebook.
8. (7) A ring-fenced body’s first submission of the data item must relate to a period starting on the date that the firm became subject to the Ring-fenced Bodies Part of the PRA Rulebook.