37 Excess in the limits for Tier 1 capital transferred to Tier 2 capital 38 Tier 2 capital instruments. 59 Excess in limits for total Tier 2 capital transferred to Tier 3 capital 60 Short-term subordinated debt. 76 Variable capital requirements to be met by Tier 1 and Tier 2 capital 77 Total component of credit risk capital.
Distribution of deductions between tier 1 capital 126 Significant insurance holdings exempt from distribution 127 Allocated to tier 1 capital. 128 Allocated to Tier 2 capital Companies on the IRB/AMA methods 129 Total capital requirement under pre-CRD rules 130 Total credit risk capital component under pre-CRD.
FSA005
FSA005
FSA005
Other PRR 56 Any other PRR
Internal models-based charges 57 Multiplier
80 Standard rules charge fees for portfolio products with net short correlation trading in the APR model. 81 All Price Risk Floor Charge.
Add-ons
Value
Description
Market risk - supplementary data Daily outturn data
Complete the columns for each approach used. Relevant income indicator - 3-year average 2 - business financing. Operational risk losses - AMA companies only 16 Gross loss amount for the entire period 17 Total number of loss events. Expected loss established in business practice excluded from capital requirements Capital requirements before risk transfer mechanisms and deduction of expected losses.
I confirm that the firm has notified the relevant regulator under SUP 15.3.11R of all exposures that have exceeded or will exceed the limits set out in BIPRU 10.5.6R (check to confirm).
Key data [deleted]
FSA010 Mismatch liquidity [Deleted]
Building society liquidity
Amounts of 8 day liquidity at any time during the month (end of day balance)
Specialist data
FSA012
Non-deposit-taking EEA bank liquidity [Deleted]
Stock liquidity [Deleted]
FSA014
A Profitability (for the financial year)
Balance sheet
Capital adequacy
1 1. collection of mortgage loans to individuals (per MLAR) 2 Other fully secured loans to individuals 3 Partially secured exposures to individuals 4 Card accounts (credit cards/store cards) 5 Unsecured exposures to individuals 6 Retail SME. 7 Fully secured exposures to individuals 8 Partially secured exposures to individuals 9 Unsecured exposures to individuals 10 Retail SME (secured and unsecured). 27 UK collateralised debt bonds 28 Other UK asset backed securities 29 Other UK securities 30 Other non-UK securities.
FSA016 Solo consolidation data
Aggregate use of solo-consolidation at the reporting date
A 1 Number of subsidiaries included in the solo-consolidation
Sensitivity of NPV to + shift (as derived from the data above) Cash balance sheet liabilities with option features and repricing maturity determined in accordance with note 1 below total assets. Sensitivity of NPV to shift (as derived from above data) Alternative estimate of sensitivity of NPV to shift + Alternative estimate of sensitivity of NPV to shift -. An option that is OUT-of-the-money and would remain so in the event of a parallel move calculated at 45 or 46 or higher should be assigned to the "overnight to 3-month" maturity class.
For an option within these two limits, the repricing date must be determined by simple linear interpolation. An option that is IN-the-money or that in the case of the parallel shift would have been calculated in 45 or 46 or more must be assigned an expiration date (i.e. repricing date) equal to the contract expiration date. Discount rate(s) (or forward yield curve) Monetary balance sheet assets (non-optional) as of contractual repricing date.
Monetary balance sheet assets with option features and with repricing maturity as determined per note 1 below.
UK integrated groups - large exposures
Total A
CNCOM Amount % of
FSA019 Pillar 2 information
B yes/no
Note: In this table numerical references correspond with those shown on the online submission form and are not presented here in strict numerical order
Does your company have sufficient liquidity to meet your obligations when they become due in the circumstances of an orderly wind-down? Would the valuation adjustments required under GENPRU 1.3.35G allow you to sell or hedge your company's positions within a short period of time without incurring material losses under normal market conditions? If so, have you taken into account in your ICAAP that these techniques may not work completely as expected.
Do you use an internal model as described in BIPRU 7.10 to calculate regulatory market risk? If so, have you considered the results of market risk stress tests in your ICAAP? Report the effect of a 200 basis point shock in interest rates on your firm's economic value.
FSA020
ELMIs balance sheet [Deleted]
Income statement ELMIs [Deleted]
FSA022
ELMIs Capital requirements [Deleted]
FSA024
Large exposures (electronic money institutions) [Deleted]
Liquidity (electronic money institutions) [Deleted]
FSA026
ELMI Questions [Deleted]
Non-EEA sub-group
17 Bank loans and overdrafts separated, with maturity within 1 year. 18 Bank loans and overdrafts, not separated, with maturity within 1 year. 23 Bank loans and overdrafts separated, with maturity after 1 year. 24 Bank loans and overdrafts, not separated, with maturity after 1 year.
FSA030
Income Statement
Revenue
Expenditure
Following section for incorporated entities only 23 Profit or (loss) on ordinary activities before taxation
Following section for partnerships (including LLPs) and sole traders 28 Operating Profit or (loss)
20 Material current year losses 22 Perpetual cumulative preference shares 23 Fixed-term capital preference shares 24 Perpetual long-term subordinated loans 25 Long-term subordinated loan 26 Revaluation reserve. 27 Minus the sum of material holdings in credit and financial institutions and material insurance interests 28 Own Funds. Own funds requirement (Will always be a minimum of £5k even if PII/combination is indicated) Other own funds requirement (if applicable).
Does your company have a comparable warranty in lieu of PII or is it otherwise exempt from PII? Does your company carry out insurance distribution activities. 41 Total amount of additional equity required for policy exclusion(s) 42 Total additional equity required. Amount of additional capital required for increased deductible(s) (if applicable, aggregate amount for all PII policies) Revaluation Reserves.
Long-term subordinated loans (in accordance with IPRU (INV) 13.1A.18 to 13.1A.20) Preference share capital with a fixed term (if not redeemed by shareholders within 5 years) Minus: tangible shares in credit and financial institutions and tangible collateral Own assets of holding companies. Requirement for own funds (will always be at least £20,000 even if PII / combination is specified) Requirement for additional capital resources for PII (if applicable). If not, does your company have a comparable warranty or is otherwise exempt from the requirement to hold PII.
If your policy excludes all business activities conducted before a certain date (i.e. a retroactive start date), enter the date here.
FSA033
Capital Adequacy (for firms subject to IPRU(INV) Chapter 3)
Regulatory Capital
Regulatory capital test 15 Primary Requirement
Capital adequacy (for companies subject to IPRU(INV) Chapter 5 not subject to the exemption in IPRU(INV) 5.2.3(2)R. 23 Expense-based requirement 24 Position risk requirement 25 Counterparty risk requirement 26 Currency risk requirement 27 Other Asset requirement 28 Total capital requirement 29 Surplus/ shortage of liquid capital Capital adequacy (for companies subject to IPRU(INV) Chapter 5, subject to the exemption in 5.2.3(2)R) Testing capital.
FSA038
Volumes and Type of Business
Number and Type of Customer
FSA040
CFTC DATA: Specialist data for firms subject to CFTC part 30 exemption order
Secured amount
A 13 Number of occasions when any one individual letter of credit was deficient
Asset Managers that use Hedge Fund Techniques Report
FSA042 FSA042
UCITS
Key data (for exempt CAD firms)
FSA044
IRB portfolio risk
1 Tick here if you have no exposures in these asset classes A 2 Please indicate whether your PDs are PiT or TTC or Hybrid PiT
13 Tick here if you have no exposures in these asset classes. 14 Please indicate if your PDs are PiT or TTC or Hybrid PiT 15 Enter number of days in the definition of Default. 19 Tick here if you have no exposures in these asset classes 20 Please indicate if your PDs are PiT or TTC or Hybrid PiT 21 Enter number of days in the definition of Default. 25 Tick here if you have no exposures in these asset classes. 26 Please indicate if your PDs are PiT or TTC or Hybrid PiT 27 Enter number of days in the definition of Default.
31 Tick here if you have no exposure in these asset classes 32 Please indicate if your PDs are PiT or TTC or Hybrid PiT 33 Enter number of days in the definition of default. 37 Tick here if you have no exposure in these asset classes 38 Please indicate if your PDs are PiT or TTC or Hybrid PiT 39 Enter number of days in the definition of default. 43 Mark here if you have no exposure in these asset classes A 44 Please indicate if your PDs are PiT or TTC or Hybrid PiT.
43 Tick here if you have no exposures in these asset classes A 44 Please indicate whether your PDs are PiT or TTC or Hybrid PiT
52 RWEA Lower PD
Location of latest Pillar 3 information for securitization (BIPRU 11.5.17R) Additional capital requirements for significant risk transfer (BIPRU 9.3.1R) Additional capital requirements (BIPRU 9.3.21G and BIPRU 9.15.17G).
Wholesale asset cash flows 18 Designated money market funds
Other asset cash flows 31 Non-retail lending exposures
Part 7 - Other liability cash flows
5 The peak intraday collateral of the previous period is used for settlement and clearing systems outside the UK. 9 Own-name securities and transferable whole loans 10 High-quality asset-backed securities 11 High-quality covered bonds 12 Securities issued by group entities. 13 High-quality corporate bonds (UK credit institutions) 14 High-quality corporate bonds (non-UK credit institutions) 15 High-quality corporate bonds (excluding credit institutions) 16 Equity included in the main indexes.
21 Lending to UK credit institutions 22 Lending to non-UK credit institutions 23 Own account security cash flow. 24 Notional flow of own-name bonds and transferable whole loans 25 Reverse repo (items reported in line 6). 31 Non-Retail Loan Exposures 32 Retail Loan Exposures 33 SSPE Asset Cash Flows Part 5 - Repo Cash Flows.
49 Large Non-Financial Enterprises - Type A 50 Contingent Liabilities Before Triggering Contractual Profile 51 SSPE Commitment Cash Flows. 59 Secured facilities provided - liquidity buffer securities 60 Secured facilities provided - other securities 61 Unsecured facilities provided - credit institutions 62 Unsecured standby facilities provided - firm's SSPEs. 64 Unsecured facilities provided by the company's SSPEs to third parties 65 Unsecured facilities provided - entities other than credit institutions 66 Overdraft and credit card facilities.
68 Contingent obligations to repurchase assets financed by third parties 69 Other obligations and conditional facilities provided. 1 notch 2 notch 3 notch 4 notch 5 notch 6 notch 7 notch 8 notch 9 notch 10 notch 70 Asset resets of third party vehicles. 85 High quality corporate bonds (UK credit institutions) 86 High quality corporate bonds (non-UK credit institutions) 87 High quality corporate bonds (excluding credit institutions) 88 Shares included in major indices.
FSA049
Intentionally left blank
Liquidity Buffer Qualifying Securities
FSA051
Funding Concentration
Wholesale deposits 1 2
Repo Funding 1 2
Pricing Data
Wholesale Liabilities ( Raised during the week or month ending with the reporting date)
FSA053
Retail, SME and large enterprises Type B Funding
SME and large enterprises Type B
Deposit insurance schemes such as FSCS 11 Deposits covered by deposit insurance schemes
Currency analysis
FSA055
Systems and controls questionnaire
- Stress testing
- Contingency funding plans
- Senior management oversight
- Provisions on measurement and management In your liquidity risk management do you consider
Total capital requirement (net long positions plus net short positions) broken down by underlying assets. 26 Specify whether your firm holds additional funds or PII in accordance with regulatory requirements 27 If PII is held, provide the following details of the policy. 13 Specify whether your firm has its own additional funds or PII in accordance with regulatory requirements.
29 Specify whether your firm holds additional funds or PII in accordance with regulatory requirements 30 If PII is held, provide the following details of the policy.
FCA] FIN069: Financial resources requirements for operators of an electronic system in relation to lending
Annual calculation of financial resources requirementTotal deductions
Financial resources
If the answer to 8 is "yes", complete the answers to 9 and 10, otherwise go to question 11 Total amount in the reserve fund at the end of the reporting period. Average expected default rate during the reporting period Average actual default rate during the reporting period Average duration of new loans during the reporting period. If the answer to 11 is "yes", complete the following information for the categories of loans that attract the most money, starting with the category that collected the most investments during the reporting period, up to a maximum of ten.
The amount held in the contingency fund as a proportion of total outstanding loans at the end of the reporting period. Do you allow investors to choose from different loan categories that have different rates of return and expected default rates?
Regulatory capital test
FIN071: Capital adequacy for firms with the permission of establishing, operating or winding up a personal pension scheme
FIN072 - Financial resources requirements for UCITS depositaries Regulatory Capital
