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:

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) [deleted]
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) [deleted]
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.

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) [deleted]
9. (8) [deleted]

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.

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.