FSA001 Balance sheet

This data item provides the FSA with a snapshot of the assets and liabilities of a firm, and details of items which although not on the balance sheet, nevertheless will have a potential impact on the financial health of the firm if they were to crystallise. Valuation Firms should follow their normal accounting practice wherever possible. As there is no direct linkage with FSA003, there is no need for the data to follow the valuation rules applicable for capital adequacy purposes eg in relation to adjustments to the accounting values set out in GENPRU 1.3.36R. Consolidation When reporting the balance sheet on a UK consolidation group basis, firms should where possible treat the consolidation group as a single entity (ie line-by-line) rather than on an aggregation basis. However, for the liabilities, in the same way as for the capital resources calculation figure in FSA003, the consolidation should only treat the group as a single entity (ie line-by-line). Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Assets These are broken down between trading book assets, and those that are not trading book assets. Hence the items reported in column B will exclude the items reported in column A. If a firm cannot easily identify trading book assets, all assets should be reported in the nontrading book column. Firms can determine whether they have trading book or not. However, it is expected that a firm that identifies trading book profits in FSA002, or reports trading book profits in FSA003 (in data element 61A), should be able to identify trading book assets. However, even if a firm does not identify trading book assets, it does not preclude that firm from having foreign exchange and commodities risk in the market risk capital requirement (data element 93A) in FSA003. 1 Is this report on behalf of a UK consolidation group? See BIPRU 8.2. Firms should answer yes or no. 2 If yes, please list the FSA firm reference numbers of the other firms in the UK consolidation group. Firms should list the FSA reference numbers of all the firms included within the UK consolidation group in Column B.

FSA001 definitions Page 1

3 5

If no (to data element 1), is this a solo consolidated report? Cash and balances at central banks (excluding client money)

See BIPRU 2.1. Firms that have a solo consolidation waiver should answer yes here. This is money physically held by the firm, and money deposited with central banks. Include any gold coin and bullion held. Any client money held should be reported in data element 64A. 6 Credit items in the course of collection from banks

This data element is only relevant for UK banks and building societies. This includes the total amount of cheques, etc drawn on and in the course of collection on other firms, and debit items in transit between domestic offices of the reporting firm in each country. Report cheques that have been credited to customers accounts but are held overnight before being presented or paid into the reporting firms account with another firm. 7 Treasury bills and other eligible bills held

Enter here any holdings of treasury bills or other bills eligible for rediscount at central banks. 8 Deposits with, and loans to, credit institutions

For BIPRU investment firms, this will include any bank balances. Overdrawn accounts with banks should be reported in data element 23A. It includes funds lent to or placed with customers/counterparties. This includes holdings of certificates of deposit (other than those issued by the firm) and negotiable deposits made on terms identical to those on which a certificate of deposit would have been issued, but for which it has been mutually convenient not to have issued a certificate (these items should be reported on a contract date basis). It also includes funds lent to or placed with customers/counterparties including: (a) (b) (c) (d) (e) assets leased out under finance lease agreements, but legally owned by the firm; loans made under conditional sale agreements and hire purchase contracts; acceptances discounted; advances purchased by or assigned to the firm under a transferable loan facility, purchase and resale agreements, factoring, or similar arrangement; and bills (including eligible bills), promissory notes and other negotiable paper owned (including forfait paper), which should be reported according to the drawee.

FSA001 definitions Page 2

Loans and advances to customers

This will mainly be relevant for UK banks and building societies. It covers all funds lent or placed with all counterparties other than credit institutions. 10 Debt securities

Report here only long positions in debt securities. If there is an overall short position, it should be reported in data element 30A. 11 Equity shares

This comprises long holdings of securities. If there is an overall short position, it should be reported in data element 30A. 12 Investment in group undertakings

This will generally only apply for solo and unconsolidated reporting. When completing this on a UK consolidation group basis, investments in subsidiary and associated companies should only include those companies that are excluded from the consolidation. 13 Reverse repurchase agreements and cash collateral on securities borrowed

Report here any reverse repos or stock borrowing. 14 Derivatives

Report here derivatives balances, on the same basis as they are reported on the face of the firms balance sheet. 15 Goodwill

Report here the amount of any goodwill. 16 Other intangible assets

Include here intangible assets, other than goodwill. The value here may differ from that reported in FSA003 - see GENPRU 2.2.155R and GENPRU 2.2.156G. 17 Tangible fixed assets

Includes property, real estate, plant and equipment beneficially owned by the firm. 18 Prepayments and accrued income

Include here any sundry debtors arising in the course of the firms business, including prepayments and accruals. 19 Other assets

Include any other assets not reported elsewhere on FSA001, items in suspense (in the case of UK banks and building societies), and any assets in respect of trading settlement accounts. For UK consolidation group reports, any assets consolidated other than on a line-by-line basis may be reported here. FSA001 definitions Page 3

Includes exchange traded margins. 20 Total assets

The sum of the trading book total assets plus the non-trading book total assets will equal the sum of total liabilities and equity of the firm in data element 45A. Liabilities 21A Own bank notes issued This is only relevant for those banks that can issue bank notes. It is the figure of bank notes in circulation, ie the firms issue of bank notes less any own notes held. 22A Items in the course of collection due to other banks

This is only likely to be relevant for UK banks and building societies. It should include items in the course of transmission. 23A Deposits from banks and building societies, including overdrafts and loans from them For BIPRU investment firms, this element will contain any borrowings made from banks or building societies. Deposit-taking firms will include here deposits from other credit institutions. 24A Customer accounts

This is unlikely to be relevant for BIPRU investment firms. It comprises deposits from all customers other than credit institutions (that are reported in 23A). These should be broken down into retail (excluding e-money), e-money issued (this should be identified where firms have permission to issue e-money), corporate, intra-group and other in data elements 25A to 29A. Firms should use their best endeavours to allocate customers, but should follow a consistent approach on each reporting date. 30A Trading liabilities

Include here any short positions in equities or debt securities. 31A Debt securities in issue, excluding covered bonds

This data element is unlikely to be relevant to BIPRU investment firms. Report all certificates of deposit issued by the firm, whether at fixed or floating rates, and still outstanding. Also report negotiable deposits taken on terms in all respects identical to those on which a certificate of deposit would have been issued, but for which it has been mutually convenient not to have issued certificates. If a firm holds certificates of deposits which it has itself issued, these should not be reported. Also report promissory notes, bills and other negotiable paper issued (including commercial paper) by the reporting institution including bills drawn under an acceptance credit facility provided by another firm. FSA001 definitions Page 4

Include unsubordinated FRNs and other unsubordinated market instruments issued by the firm. Covered bonds should be excluded and reported in data element 32A. 32A Covered bonds

This data element is unlikely to be relevant to BIPRU investment firms. See the Glossary for a definition of covered bonds. 33A Derivatives

Report here any derivative liabilities. 34A Liabilities in respect of sale and repurchase agreements and cash collateral received for securities lent This entry applies to the cash liability on sale and repurchase and stock lending agreements. Where the firm reports assets reversed in on the balance sheet, the liability under such agreements should be reported here. Stock borrowing that is reported on balance sheet should also be included here. 35A 36A Retirement benefit liabilities Taxation liabilities

Include liabilities arising in respect of pension scheme deficiencies. Deferred tax assets should be reported as an asset in data element 19A or 19B. 37A Provisions

Report general provisions / collective impairment that are held against possible or latent losses but where the losses have not as yet been identified, in line with the accounting practice adopted by the firm. 38A 39A 40A Subordinated liabilities Accruals and deferred income Other liabilities

Include all subordinated debt issued by the firm. Building societies should include PIBS here. Include here accruals and deferred income. Include net short positions in physical commodities where the FSA has agreed that commodity transactions may be included in the non-trading Book. UK banks and building societies should include items in suspense here. Includes exchange traded margins. 41A Subtotal

This is the total of data elements 21A, 22A, 23A and 30A to 40A.

FSA001 definitions Page 5

42A

Called up share capital, including partnership, LLP and sole trader capital

Exclude holdings by the firm of its own shares (although these holdings should be reported in FSA003) and also excess of drawings over profits for partnerships, LLPs or sole traders (which are also reported in FSA003). Building societies should exclude PIBS, which should be reported in 38A. 43A Reserves

As firms may use figures compiled on the same basis as audited accounts, the figures presented here may differ from those reported in FSA003. This is because of the different valuation basis used for capital adequacy, as set out in GENPRU 1.3. 44A Minority interests

As firms may use figures compiled on the same basis as audited accounts, the figures presented here may differ from those reported in FSA003 as a memorandum item. This is because of the different valuation basis used for capital adequacy, as set out in GENPRU 1.3. 45A Total liabilities and shareholders funds

This will equal the sum of trading book plus non-trading book assets (data elements 20A plus 20B), and also the sum of 41A to 44A. Memorandum items 46-53 Derivatives This provides further information on OTC derivatives. Firms should allocate the contracts to the bands as accurately as possible but, if some of the breakdowns are not available, they should report on the basis of the predominant type of derivative. A Notional contract amount Firms should provide this amount, if available, or their best estimate of it from internal sources. B Assets Firm should use the value placed on these contracts in the balance sheet, before accounting netting. C Liabilities Firm should use the value placed on these contracts in the balance sheet, before accounting netting. 53B/53C Total after netting

This is the value of derivatives, for columns B and C, after accounting netting. 53B should equal 14A plus 14B, while 53C should equal 33A. Other items 54A Direct credit substitutes This is likely to be relevant only for UK banks and building societies. FSA001 definitions Page 6

Report here those direct credit substitutes which do not appear on the face of the balance sheet. Direct credit substitutes relate to the financial requirements of a counterparty, where the risk of loss to the firm on the transaction is equivalent to a direct claim on the counterparty, ie the risk of loss depends on the creditworthiness of the counterparty. Report instruments such as: (a) acceptances granted and risk participations in bankers acceptances. Where a firms own acceptances have been discounted by that institution the nominal value of the bills held should be deducted from the nominal amount of the bills issued under the facility and a corresponding on-balance sheet entry made: guarantees given on behalf of customers to stand behind the current obligations of the customer and to carry out these obligations should the customers fail to do so, eg a loan guarantee; guarantees of leasing operations; guarantees of a capital nature such as undertakings given to firms authorised under the Financial Services and Markets Act 2000 which are considered as capital; letters of credit not eligible for inclusion in 54A; standby letters of credit, or other irrevocable obligations, serving as financial guarantees where the firm has an irrevocable obligation to pay a third party beneficiary if the customer fails to repay an outstanding commitment, eg letters of credit supporting the issue of commercial paper, delivery of merchandise, or for stock lending (standby letters of credit which are related to non-financial transactions should be reported in 55A below); re-insurance or window letters of credit; acceptances drawn under letters of credit, or similar facilities where the acceptor does not have specific title to an identifiable underlying shipment of goods (eg sales of electricity); and confirmations of letters of credit. Transaction-related contingents

(b)

(c) (d) (e) (f)

(g) (h)

(i) 55A

This is likely to be relevant only for UK banks and building societies. Report here those transaction-related contingents which do not appear on the face of the balance sheet. Transaction-related contingents relate to the on-going trading activities of a counterparty where the risk of loss to the firm depends on the likelihood of a future event which is independent of the creditworthiness of the counterparty. They are essentially guarantees which support particular non-financial obligations rather than supporting customers general financial obligations. Report such items as:

FSA001 definitions Page 7

(a)

performance bonds, warranties and indemnities (indemnities given for lost share certificates or bills of lading and guarantees of the validity of papers rather than of payment under certain conditions should not be reported); bid or tender bonds; advance payment guarantees; VAT, customs and excise bonds. The amount recorded for such bonds should be the firms maximum liability (normally twice the monthly amount being guaranteed); and standby letters of credit relating to a particular contract or to non-financial transactions (including arrangements backing, inter alia, subcontractors and suppliers performance. labour and materials, contracts, and construction bids). Trade-related contingents

(b) (c) (d) (e)

56A

This is likely to be relevant only for UK banks and building societies. Report here those trade-related contingents which do not appear on the face of the balance sheet. Report short-term, self liquidating trade-related items such as documentary letters of credit issued by the firm which are, or are to be, collateralised by the underlying shipment, ie where the credit provides for the firm to retain title to the underlying shipment. Letters of credit issued by the firm without provision for the firm to retain title to the underlying shipment or where the title has passed from the firm should be reported under direct credit substitutes (54A). A memorandum of pledge and a trust receipt are not regarded as giving the firm title, and transactions secured by these should be shown under 54A. Letters of credit issued on behalf of a counterparty back-to back with letters of credit of which the counterparty is a beneficiary (back-to-back letters) should be reported in full. Letters of credit advised by the firm or for which the firm is acting as reimbursement agent should not be reported. 57A Asset sales with recourse

This is likely to be relevant only for UK banks and building societies. Report here those asset sales without recourse which do not appear on the face of the balance sheet. Report put options written where the holder of the asset is entitled to put the asset back to the firm, eg if the credit quality deteriorates. Also report put options written by the firm attached to marketable instruments or other physical assets. 58A Forward asset purchases

This is likely to be relevant only for UK banks and building societies.

FSA001 definitions Page 8

Report here those forward asset purchases which do not appear on the face of the balance sheet. Include commitments for loans and other on-balance sheet items with certain drawdown. Exclude foreign currency spot deposits with value dates one or two working days after trade date. 59A Forward forward deposits placed

This is likely to be relevant only for UK banks and building societies. Report here those forward forward deposits placed which do not appear on the face of the balance sheet. This covers agreements between two parties whereby one will pay, and the other receive, an agreed rate of interest on a deposit to be placed by one with the other at some predetermined date in the future. Exclude foreign currency spot deposits with value dates one or two working days after trade date. 60A Uncalled partly-paid shares and securities

Only report if there is a specific date for the call on the unpaid part of the shares and securities held. If there is no specific date, the unpaid part should be treated as a long-term commitment (see 63A). 61A NIFs and RUFs

This is likely to be relevant only for UK banks and building societies. Report here those NIFs and RUFs which do not appear on the face of the balance sheet. Note issuance facilities and revolving underwriting facilities should include the total amounts of the firms underwriting obligations of any maturity. Where the facility has been drawn down by the borrower and the notes are held by anyone other than the firm, the underwriting obligation should continue to be reported at the full nominal amount. The firms own holding of the notes should be reported in data elements 8 and 9 and therefore the nominal amount of the notes held should be deducted from the nominal amount of the facility to be shown here. 62A Endorsements of bills

This is likely to be relevant only for UK banks and building societies. Report here those endorsed bills which do not appear on the face of the balance sheet. Endorsements of bills (including per aval endorsements) should be reported at the full nominal amount, less any amount for bills which the firm now holds but had previously endorsed. 63A Other commitments

This is likely to be relevant only for UK banks and building societies. FSA001 definitions Page 9

Report here other commitments which do not appear on the face of the balance sheet, and are not reported in items 54A to 62A above. The firm is regarded by the FSA as having a commitment regardless of whether it is revocable or irrevocable, conditional or unconditional and, in particular whether or not it contains a material adverse change clause. Include unused credit card lines. Commitments for loans and other on-balance sheet items with certain drawdown should not be reported here but under 58A. 64A Client money held

Provide the total amount of client money held at the reporting date. Firms should be identifying this already to ensure compliance with CASS. For UK consolidation group reports, firms should only include client money to which CASS applies. 65A Number of UK retail customers

This is only applicable to UK banks and building societies. This is intended to identify the number of UK retail customers. Firms should use their best estimate for this, which might even be based on the number of accounts. It can even be the firms most reasonable approximation, based on whatever information they can use. We recognise that this may lead to firms duplicating customers who have a number of different products or accounts and thus we are provided with the number of total customers, rather than different customers. We do not expect firms to develop systems to give precise numbers, although obviously we would prefer the figures to be as reliable as possible. (We have considered bandings, but that will not give the degree of precision we require.)

FSA001 definitions Page 10

FSA001 Balance sheet validations

Internal validations Data elements are referenced by row then column. Validation Data element number 1 2 3 4 20A 20B 24A 41A = = = = 5A + 6A + 7A + 8A + 9A + 10A + 11A + 12A + 13A + 14A + 15A + 16A + 17A + 18A + 19A 5B + 6B + 7B + 8B + 9B + 10B + 11B + 12B + 13B + 14B + 15B + 16B + 17B + 18B + 19B 25A + 26A + 27A + 28A + 29A 21A + 22A + 23A + 24A + 30A + 31A + 32A + 33A + 34A + 35A + 36A + 37A + 38A + 39A + 40A 41A + 42A + 43A +44A 20A + 20B 46A + 47A + 48A + 49A + 50A + 51A 46B + 47B + 48B + 49B + 50B + 51B 46C + 47C + 48C + 49C + 50C + 51C 14A + 14B 33A

5 6 7 8 9 10 11

45A 45A 52A 52B 52C 53B 53C

= = = = = = =

External validations There are no external validations for this data item.

FSA001 validations Page 1

FSA002 Income statement

This data item provides the FSA with information on the main sources of income and expenditure for a firm. It should be completed on a cumulative basis for the firm's current financial year up to the reporting date. Valuation Firms should follow their normal accounting practice wherever possible. In this regard, the figure for profits reported here may differ from the figures reported at the same date in FSA003, primarily because of valuation differences that arise from the application of GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Consolidation Firms reporting on a UK consolidation group basis can use the same accounting basis for consolidation as in their accounts, as long as the group on which it is based accords with the UK consolidation group. (On FSA003, such firms will, however, have to report their capital resources on a line-by-line basis under BIPRU 8, and firms may prefer to do so here too.) Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Trading book Data elements in column A relate only the trading book. Firms should identify their trading book profits separately from the non-trading book profits wherever possible. Firms that intend to include net interim trading book profit and loss in data element 61A in FSA003 should complete this column. It is optional for other firms. See BIPRU 1.2 for the definition of the trading book.. Column B should contain the total (in this regard, it differs from the layout in FSA001). 1B Financial and operating income

This is the total of financial and operating income, which is broken down in more detail in elements 2B, 7B, 15B and 20B to 24B. Where firms can allocate financial and operating income to the trading book, this should be reported in 1A. Firms that intend to include net interim trading book profit and loss in element 61A of FSA003 should be able to identify the trading book portion separately here. 2B Interest income

Include both interest actually received and interest receivable which has accrued but has not yet been received. Amounts accrued should be based on the latest date to which these FSA002 definitions Page 1

calculations were made; thus for an institution which accrues profits on a daily basis, accruals should include amounts up to and including the reporting date. Elements 3B to 6B break this down in more detail, but only 4B and 6B are likely to be relevant for BIPRU investment firms. Firms should use their best endeavours to allocate interest income according to the categories shown, and should adopt a consistent approach on each reporting date. 3B Of which: Retail secured loans

This is unlikely to be relevant for BIPRU investment firms. This part of interest income comprises interest received or receivable from any secured lending to retail customers. Firms may use their best estimate to derive this figure, as long as the approach is applied consistently at each reporting date. 4B Of which: Retail unsecured loans (including bank deposits)

For BIPRU investment firms, this will include interest paid by banks or building societies on deposits with them. For deposit takers, this comprises interest received or receivable from retail customers other than on secured lending or card accounts. It includes overdrafts. Firms may use their best estimate to derive this figure, as long as the approach is applied consistently at each reporting date. Any interest from credit or charge cards should be included in data element 5B. 5B Of which: Card accounts

This is unlikely to be relevant for BIPRU investment firms. This includes any interest received on charge cards accounts. Firms may use their best estimate to derive this figure, as long as the approach is applied consistently at each reporting date. 6B Of which: Other

This comprises all other interest received and receivable and will includes all interest receivable on bonds, floating rate notes (FRNs) and other debt instruments as well as interest receivable on repos / reverse repos. Receipts from security lending / borrowing should only be included when cash collateral is involved other income from security lending / borrowing should be classified as fees. Exclude any interest paid relating to interest rate swaps, which should be reported under data element 14B. It also comprises any interest received not reported in items 3B to 5B. 7B Fee and commission income

This covers all fee and commission income, and is broken down in more detail in elements 8B to 14B below. If a firm cannot allocate the income in a precise manner, it should allocate FSA002 definitions Page 2

the income on a best endeavours basis, which should be consistently applied on each reporting date. Firms should use their best endeavours to allocate fee and commission income according to the categories shown, and should adopt a consistent approach on each reporting date. 8B Of which: Gross commission and brokerage

Include commission and brokerage earned by the firm, before the deduction of commissions shared or paid to third parties (these commissions paid to others should be reported in 32B). It will include income from the provision of foreign exchange facilities. 9B Of which: Performance fees

This will include incentive fees received by the firm. 10B Of which: Investment management fees

Include all underwriting fees and commissions, and fees and commissions from valuations, management of investments and unit trusts and pension funds. 11B Of which: Investment advisory fees

Include all fees arising from investment advice. 12B Of which: Corporate finance

Include all income earned by the firm from corporate finance business. 13B Of which: UCITS management fees

This covers income earned through the management of UCITS. 14B Of which: Other fee and commission income

Report here any other fee and commission income not reported in data elements 8B to 13B. 15B Trading income (losses)

A net loss should be shown with a minus sign to indicate a negative figure. This is further broken down in elements 16B to 19B. Firms should use their best endeavours to allocate trading income (losses) according to the categories shown, and should adopt a consistent approach on each reporting date. 16B of which: Trading investments

This portion of 15B includes all profits or losses (including revaluation profits or losses) on investments held for dealing. This will generally exclude profits or losses arising from the sale of investments in subsidiary or associated companies, trade investments or the amortisation of premiums or discounts on the purchase of fixed maturity investments. 17B of which: Charges on UCITS sales / redemptions

This is that part of 15B (dealing profits/losses) arising from charges made to clients for UCITS sales or redemptions. FSA002 definitions Page 3

18B

of which: Foreign exchange

This is unlikely to be relevant for BIPRU investment firms. This part of 15B includes revaluations of foreign exchange positions, but excludes fees and commissions relating to foreign exchange business (which should be included under data element 8B). 19B Other trading income (losses)

Report here any other trading income not reported in data elements 16B to 18B. 20B Gains (losses) arising from non-trading instruments

This element is unlikely to be relevant for BIPRU investment firms. Includes gains (losses) arising from non-trading instruments designated at initial recognition to be measured at fair value through profit and loss (FVTPL), commonly referred to as the fair value option. 21B Realised gains (losses) on financial assets & liabilities (other than HFT and FVTPL) This element is unlikely to be relevant for BIPRU investment firms. This should include gains (losses) on financial assets and liabilities (other than those held for trading (HFT) or those measured at fair value through profit and loss (FVTPL)). 22B Dividend income

This includes dividend income on all equity investments. 23B Other operating income

This is unlikely to be relevant for BIPRU investment firms. It includes property rentals and increases in respect of linked liabilities. 24B Gains (losses) on disposals of HFS non-current assets & discontinued operations

This is unlikely to be relevant for BIPRU investment firms. Includes gains (losses) on non-financial items which are held for sale as defined in IFRS 5. 25B Financial & operating charges

This is the total of the firms operating charges that are broken down in more detail in elements 26B, 32B and 33B. Where firms can allocate financial and operating charges to the trading book, this should be reported in 25A. 26B Interest paid

This is broken down in further detail in 27B to 31B. Firms should use their best endeavours to allocate interest paid according to the categories shown, and should adopt a consistent approach on each reporting date. FSA002 definitions Page 4

For BIPRU investment firms, this is likely to be limited to interest paid, or overdraft charges paid, to banks (also detailed in 27B) or on intra-group loans (detailed in 30B). Include both interest actually paid and interest payable which has accrued but has not yet been paid. 27B Of which: Bank and building society deposits

In the case of BIPRU investment firms, this will include interest payments to banks for loans or overdrafts. For deposit takers, this will includes all interest paid on balances placed by banks, building societies or other financial institutions. 28B Of which: Retail deposits

This will not be relevant for BIPRU investment firms. Deposit takers will include here all interest paid on balances placed by retail customers. 29B Of which: Corporate deposits

This will not be relevant for BIPRU investment firms. Deposit takers will include here all interest paid on balances placed by non-bank, nonconnected corporate customers. 30B Of which: Intra-group deposits

This will only be relevant for BIPRU investment firms that have borrowed money from other group companies. Deposit takers will include all interest paid on balances placed by group companies. 31B Of which: On other deposits

This will not be relevant for BIPRU investment firms. Deposit takers will include all interest paid on all other balances not reported in 27B to 30B. 32B Fees and commissions expenses

Include commissions paid or shared with other firms, plus fees, brokerage and other charges paid in relation to the execution, registration or clearing of transactions. Commissions paid to staff should be reported under 35B. 33B Other operating expenses

Include here other expenses (that are not identified elsewhere) that arise in the course of undertaking the firms activities. However, costs such as electricity and rent should be reported under 38B (general administrative expenses). 34B Other costs

This is the total of other costs and charges that are detailed in items 35B and 38B to 43B below. FSA002 definitions Page 5

Where firms can allocate other costs to the trading book, this should be reported in 34A. 35B Staff expenses

This is the total of the costs broken down in 36B and 37B. It should exclude general staff benefits, such as subsidised restaurants, which should be included in general administrative expenses in 38B. 36B Of which: Staff costs (ie non-discretionary)

Include salary costs, employers national insurance contributions and social security costs, the employers contribution to any pension scheme, and benefits in kind. Also include here commissions paid to staff on business they have introduced. 37B Of which: Charges for discretionary staff costs

Include discretionary bonuses and profit/performance share and share option schemes. Any commissions paid to staff on business they did not introduce should be recorded here. 38B General administrative expenses

This includes rates, rent, insurance of building, lighting, heating, depreciation and maintenance costs. Also include marketing, communications, professional fees including auditors remuneration and other general overheads of the business. 39B Depreciation and amortisation

This covers the depreciation of property, plant and equipment and includes amortisation of intangibles. 40B Impairment/provisions

This is the total cost of impairment charges and provisions made. 41B Other charges

This will include operating lease rentals. 42B Share of profit (losses) of associates

Firms reporting on a solo or unconsolidated basis should include the dividends from other group companies only. 43B Exceptional items

Include here any significant items which are separately disclosed in your accounts by virtue of their size or incidence to enable a full understanding of the groups financial performance. Transactions which may give rise to exceptional items may include gains or losses on disposal of investments, subsidiaries and early termination of debt instruments. Details relating to these amounts should be provided in data element 48A. 44B Profit (loss) before tax

This is the total financial and operating income (data element 1) less the financial and operating charges (25), and other costs (34). If the profit attributable to the trading book can be calculated, it should be reported in 44A. FSA002 definitions Page 6

45B

Tax charge (income)

This comprises current tax charge (income) and deferred tax charge (income). Include any adjustments recognised in the period for current tax of prior periods. It may also include the amount of deferred tax charge (income) relating to the origination and reversal of temporary differences. 46B Net profit (loss)

This is the total profit (loss) after tax, before accounting for any minority interests (which only get reported on FSA003). Memorandum items 47B Dividends paid during year Only those dividends paid in the period should be reported here. 48A Details of exceptional items

Please provide details of any amounts included in data item 43B.

FSA002 definitions Page 7

FSA002 Income statement validations

Internal validations Data elements are referenced by row then column. Validation Data element number 1 1a 2 3 4 5 6 7 8 8a 9 10 11 12 13 44A 44B 46B = = = 1B 1A 2B 7B 15B 25B 25A 26B 34B 34A 35B = = = = = = = = 2B + 7B + 15B + 20B + 21B + 22B + 23B +24B 1B 3B + 4B + 5B + 6B 8B + 9B + 10B + 11B + 12B + 13B + 14B 16B + 17B + 18B + 19B 26B + 32B + 33B 25B 27B + 28B + 29B + 30B + 31B 35B + 38B + 39B + 40B + 41B + 42B + 43B 34B 36B + 37B [deleted] 1A 25A 34A 1B 25B 34B 44B 45B

External validations There are no external validations for this data item.

FSA002 validations Page 1

FSA003 Capital adequacy

This data item provides the FSA with information on the solvency of the firm. The data item is intended to reflect the underlying prudential requirements contained in GENPRU and BIPRU and allows monitoring against the requirements set out there and also those individual requirements placed on firms. We have provided references to the underlying rules to assist in its completion. This data item is largely based on CEBS COREP Table CA1, but reflects the rules and wording in the Handbook, omits elements which are not in our view relevant in the UK, and combines some other elements. The numbers in parenthesis and italics show the corresponding element(s) in CEBS Table CA and are only provided for information purposes to identify the linkage to the CEBS data. The data item is designed to be applicable to all BIPRU firms. For that reason, the initial elements identify the capital rules which will apply to certain firms (see GENPRU 2.1.40R onwards). Also relevant are the waivers which investment firms may have under BIPRU TP 5.1R or BIPRU 6.1.2G, so these are also identified. In the text below, we have identified where elements are not applicable to all firms. Columns A and B There are two different measures of capital resources. For the purposes of the capital resources requirement under GENPRU 2.1.40R onwards and for disclosure purposes under BIPRU 11, it is calculated and set out in Column B of this data item. This column excludes stage C in the capital resources calculation set out in GENPRU 2 Annexes 2R, 3R, 4R, 5R and 6R. For the purposes of GENPRU 2.2.17R, capital resources are set out in Column A. The difference between them is in relation to innovative tier one capital (ie Stage C) which, for the purposes of GENPRU 2.1.9R, cannot be included (GENPRU 2.2.42R). Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Consolidated reports For calculating capital resources in elements 15 to 68, the group should be treated as a single entity. However, for calculating the variable capital requirements in elements 70 to 104, the default method of consolidation is aggregation, adding up the solo numbers of the entities included where deemed equivalent in Annex 6 of BIPRU 8. Alternatively, the group can be treated as a single entity, using that method on its own or partially in conjunction with aggregation. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s.

www.c-ebs.org/documents/GL04_CA.xls

FSA003 definitions Page 1

Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. 1A Is the firm a UK bank or a building society? This box should be ticked if the report is being completed by a UK bank or a building society, or a UK consolidation group that is subject to the capital rules at Stage 1 of BIPRU 8 Annex 5R. 2A Is the firm a full scope BIPRU investment firm? This box should be ticked it the report is being completed by either a full scope BIPRU investment firm, or a UK consolidation group that is subject to the capital rules at Stage 2 of BIPRU 8 Annex 5R. A BIPRU limited licence firm or BIPRU limited activity firm that has a waiver under BIPRU 6.1.2G or has a variation of permission to be treated as a full scope BIPRU investment firm should also tick here. 3A Is the firm a BIPRU limited activity firm? This box should be ticked it the report is being completed by either a BIPRU limited activity firm, or a UK consolidation group that is subject to the capital rules at Stage 3 of BIPRU 8 Annex 5R. A BIPRU limited activity firm that has a waiver under BIPRU 6.1.2G or has a variation of permission to be treated as a full scope BIPRU investment firm should tick 2A, unless the waiver or variation had not been granted at the reporting date. 4A Is the firm a BIPRU limited licence firm? This box should be ticked it the report is being completed by either a BIPRU limited licence firm, or a UK consolidation group that is subject to the capital rules at Stage 4 of BIPRU 8 Annex 5R. UCITS investment firms should also tick this box. A BIPRU limited licence firm that has a waiver under BIPRU 6.1.2G or has a variation of permission to be treated as a full scope BIPRU investment firm should tick 2A, unless the waiver or variation had not been granted at the reporting date. 5A If you are a full scope BIPRU investment firm, do you meet the conditions in BIPRU TP 12.1R? This is only relevant for a full scope BIPRU investment firm. Only tick this box if you have a waiver under BIPRU 6 that allows you to calculate your operational risk capital requirement in accordance with BIPRU TP 12. 6A Are you a BIPRU 730K firm? This is only relevant if you are a BIPRU investment firm. Tick only if you meet the conditions in BIPRU 1.1.21R. 7A Are you a BIPRU 125K firm? This is only relevant if you are a BIPRU investment firm. Tick only if you meet the conditions in BIPRU 1.1.19R. UCITS investment firms should see 8A. 8A 9A Are you a UCITS investment firm? Are you a BIPRU 50K firm? This box should be ticked it the report is being completed by a UCITS investment firm. This is only relevant if you are a BIPRU investment firm. Tick here if you meet the conditions set out in BIPRU 1.1.20R. FSA003 definitions Page 2

10A

Do you have a waiver from consolidated supervision?

This is only relevant if you are a BIPRU investment firm. Tick only if your firm has a waiver from consolidated supervision under BIPRU 8.4. 11A Have you notified the FSA, at least one month in advance of the date of this report, that you intend to deduct illiquid assets? This is only relevant if you are a BIPRU investment firm. See GENPRU 2.2.19R. 12A Basis of reporting Firms should enter whether the report is on an unconsolidated basis, solo-consolidated basis, or consolidated basis. If the report is on behalf of a UK consolidation group (see BIPRU 8.4), firms should also complete 13A, 13B, 14A and 14B. 13A For consolidated reporting, please provide the Group reference number If 12A is completed as a consolidated report, then please enter the group reference number here. 13B 14A For consolidated reporting, please provide the Group name For consolidated reporting, please provide the FSA FRNs If 12A is completed as a consolidated report, then please enter the group name here. List here the FSA firm reference numbers for all FSA authorised firms included within the UK consolidation group. 14B For consolidated reporting, please provide the names of the firms included List here the names (against the FRN) of all FSA authorised firms included within the UK consolidation group. 15A Total capital after deductions Firms should see GENPRU 2.2.42R and GENPRU 2.2.43G for details of those purposes for which innovative tier one capital may be used. In other circumstance, firms should use the capital resources figures calculated in column B, which excludes innovative tier one capital. This is equivalent to stage T in: GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

This is the capital resources figure that is used under BIPRU 10.5.4R for calculating a firms CNCOM. [CEBS CA 1] 15B Total capital after deductions This is equivalent to 15A, but excludes stage C (in GENPRU 2 Annexes 2R, 3R, 4R, 5R and 6R). It will only differ from 15A if the firm has issued innovative tier one capital. FSA003 definitions Page 3

16A

Total tier one capital after deductions GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Equivalent to stage F in:

See GENPRU 2.2.9G and GENPRU 2.2.10G.[CEBS CA 1.1] 16B Total tier one capital after deductions This is equivalent to 16A, but reflecting GENPRU 2.2.42R and GENPRU 2.2.43G. It will only differ from 16A if the firm has issued innovative tier one capital. 17A Core tier one capital GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This element is equivalent to stage A in

[CEBS CA 1.1.1 less 1.1.1.2] 17B 18A Core tier one capital Permanent share capital This will have the same value as 17A. See GENPRU 2.2.83R. This excludes preference shares and PIBS (see 25A below). [CEBSCA 1.1.1.1] 19A Profit and loss account and other reserves See GENPRU 2.2.85R to GENPRU 2.2.90R, but excluding interim net losses reported in 20A below. [CEBS CA 1.1.2.1] 20A Interim net losses See GENPRU 2.2.85R. UK banks and building societies should include all losses for the current financial year. In the case of BIPRU investment firms, only material interim net losses should be reported. [CEBS CA 1.1.2.4]

FSA003 definitions Page 4

21A

Eligible partnership, LLP or sole trader capital

This includes eligible partnership capital, eligible LLP members capital and sole trader capital. See GENPRU 2.2.93R to GENPRU 2.2.95R. Excludes PIBS and innovative tier one instruments, which are reported in 24A below. [CEBS CA 1.1.1.4] 22A Share premium account See GENPRU 2.2.101R. [CEBS CA 1.1.1.3] 23A Externally verified interim net profits Only include here those profits which have been externally verified at the reporting date. (Profits for the year which have been externally verified between the reporting date and the submission date should be reported in 124A.) See GENPRU 2.2.102R and GENPRU 2.2.103G. [CEBS CA 1.1.2.3] 24A 24B Other tier one capital, subject to limits Other tier one capital, subject to limits [CEBS CA 1.1.4] This will have the same value as in 24A. (Although innovative tier one capital is not included for CRR purposes, it is included here and the disallowable portion is reported in 31B.) 25A Perpetual non-cumulative preference shares GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This data element (after deduction of data element 30A) is equivalent to Stage B in:

It includes perpetual non-cumulative preference shares (see GENPRU 2.2.109R) and PIBS (see GENPRU 2.2.111R). See also GENPRU TP 8.2R to GENPRU TP 8.6R. [CEBS CA 1.1.4.1] 26A Innovative tier one instruments subject to limit See GENPRU 2.2.113R to GENPRU 2.2.137R, before the application of GENPRU 2.2.30R. Also see GENPRU TP 8.7R. This data element (after deduction of data element 31A) is equivalent to Stage C in: GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; FSA003 definitions Page 5

GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

[CEBS CA 1.1.4.2] 27A Deductions from tier one capital 27B GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This data element (excluding 30A and 31A) is equivalent to Stage E in:

Deductions from tier one capital

This figure will differ from 27A only if a firm has issued innovative tier one instruments in 26A. 28A Investments in own shares GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. See Stage E in:

[CEBS CA 1.1.1.2, but with the opposite sign] 28B 29A Investments in own shares Intangible assets This is the same figure as in 28A. See GENPRU 2.2.155R. [CEBS CA 1.1.5.1, but with the opposite sign] 29B 30A Intangible assets Excess on limits for non-innovative tier one instruments This is the same figure as in 29A. The amount reported in 25A which is in excess of the limits set out in GENPRU 2.2.29R. See also GENPRU 2.2.25R. [CEBS CA 1.1.5.2, but with the opposite sign] FSA003 definitions Page 6

30B 31A

Excess on limits for non-innovative tier one instruments Excess on limits for innovative tier one instruments

This is the same figure as in 30A. The amount reported in 26A which is in excess of the limits set out in GENPRU 2.2.30R. See also GENPRU 2.2.25R. As set out in GENPRU 2.2.25R to GENPRU 2.2.27R, the excess is however available in upper tier two capital in 37A. [CEBS CA 1.1.5.3, but with the opposite sign] 31B Excess on limits for innovative tier one instruments In line with GENPRU 2.2.42R, innovative tier one capital cannot be included in tier one capital resources. This figure equates to the whole of the firms innovative tier one capital (26A). As set out in GENPRU 2.2.25R to GENPRU 2.2.27R, the capital is however available in upper tier two capital in 37B. It gives effect to Note (3) in: 32A GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Excess of drawings over profits for partnerships, LLPs and sole traders

See GENPRU 2.2.100R. [Part of CEBS CA 1.1.5.4.2, but with the opposite sign] 32B 33A 33B 34A Excess of drawings over profits for partnerships, LLPs and sole traders Net losses on equities held in the available-for-sale financial assets category Net losses on equities held in the available-for-sale financial assets category Material holdings This is the same figure as reported in 32A. See GENPRU 2.2.185R (2). This is the same figure as reported in 33A. This is only applicable to a BIPRU investment firm with a waiver from consolidated supervision. See Note (4) to GENPRU 2 Annex 6R and also GENPRU 2.2.208R to GENPRU 2.2.215R. 34B 35A Material holdings Total tier two capital after deductions GENPRU 2 Annex 2R for a UK bank; FSA003 definitions Page 7 This is the same figure as reported in 34A. This is equivalent to Stage K in:

GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

See GENPRU 2.2.11G. [CEBS CA 1.2] 35B Total tier two capital after deductions This is broadly similar to 35A, except that it takes account of GENPRU 2.2.42R where a firm has innovative tier one capital that cannot be included in tier one. 36A Upper tier two capital, subject to limits GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This data element (after deducting 44A and 46A) is equivalent to Stage G in:

[CEBS CA 1.2.1] 36B Upper tier two capital, subject to limits This data element (after deducting 44B and 46B) is equivalent, after taking account of GENPRU 2.2.42R where a firm has innovative tier one capital, to Stage G in: 37A GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Excess on limits for tier one capital transferred to upper tier two capital

See GENPRU 2.2.25R to GENPRU 2.2.27R. This will not exceed the sum of 30A and 31A. [CEBS CA 1.2.1.1] 37B Excess on limits for tier one capital transferred to upper tier two capital As 37A, but includes all innovative tier one capital as none of it could be included in tier one capital resources as a result of GENPRU 2.2.42R. This will not exceed the sum of 30B and 31B.

FSA003 definitions Page 8

38A

Upper tier two capital instruments, subject to limits

Report here perpetual cumulative preference shares, perpetual subordinated debt and perpetual subordinated securities. See GENPRU 2.2.159R to GENPRU 2.2.193R. See also GENPRU TP 8.8R. [CEBS CA 1.2.1.6] 38B 39A Upper tier two capital instruments, subject to limits Revaluation reserve This is the same figure as reported in 38A. See GENPRU 2.2.185R. [CEBS CA 1.2.1.2 plus CA 1.2.1.3] 39B 40A Revaluation reserve General/collective provisions This is the same figure as reported in 39A. See GENPRU 2.2.187R to GENPRU 2.2.189R. [CEBS CA 1.2.1.5] 40B 41A General/collective provisions Surplus provisions This is the same figure as reported in 40A. This includes surplus provisions in accordance with GENPRU 2.2.190R to GENPRU 2.2.193R. [CEBS CA 1.2.1.7] 41B 42A Surplus provisions Lower tier two capital GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This is the same figure as reported in 41A. This is equivalent to Stage H at:

[CEBS CA 1.2.2] 42B Lower tier two capital This figure will differ from 42A if the firm had any innovative tier one capital reported in 26A.

FSA003 definitions Page 9

43A

Lower tier two capital instruments subject to limits

Includes fixed term preference shares, long term subordinated debt (after amortisation) and fixed term subordinated securities. See GENPRU 2.2.159R to GENPRU 2.2.174R and GENPRU 2.2.194R to GENPRU 2.2.196R. [CEBS CA 1.2.2.2] 43B 44A Lower tier two capital instruments subject to limits Excess on limits for lower tier two capital This is the same figure as reported in 43A. The amount reported in 43A that is in excess of the limits set out in GENPRU 2.2.46R (2). [CEBS CA 1.2.2.5, but with the sign reversed] 44B Excess on limits for lower tier two capital The amount reported in 43B that is in excess of the limits set out in GENPRU 2.2.46R (2). If the firm has not reported innovative tier one capital instruments in 26A, this number will be the same as 44A. 45A Deductions from tier two capital GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This data element (excluding 46A) is equivalent to Stage J in:

[CEBS CA 1.2.3, but with the sign reversed] 45B Deductions from tier two capital If the firm has not reported innovative tier one instruments in 26A, this number will be the same as 45A. Otherwise, this data element (excluding 46B) is equivalent to Stage J (after taking account of Note (3)) in: 46A GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Excess on limits for tier two capital FSA003 definitions Page 10

The amounts reported in 36A and 42A in excess of the limits set out GENPRU 2.2.46R (1).

[CEBS CA 1.2.3.1, but with the sign reversed] 46B Excess on limits for tier two capital If the firm has not reported innovative tier one instruments in 26A, this number will be the same as 46A. Otherwise it is the amounts reported in 36B and 42B in excess of the limits set out GENPRU 2.2.46R (1). 47A Other deductions from tier two capital Do not report here certain additional deductions made under GENPRU 2.2.239R (3) and (4). BIPRU investment firms with a waiver from consolidated supervision should see Note (5) of Part 2 of GENPRU 2 Annex 6R. [CEBS CA 1.2.3.2, but with the sign reversed] 47B 48A Other deductions from tier two capital Deductions from total of tiers one and two GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This is the same figure as reported in 47A. This is equivalent to Stage M of:

[CEBS CA 1.3 minus 1.3.10, but with the sign reversed] 48B 49A Deductions from total of tiers one and two Material holdings This is the same figure as reported in 48A. This is not relevant for a BIPRU investment firm that deducts illiquid assets under GENPRU 2.2.19R. BIPRU investment firms that have a waiver from consolidated supervision should see Note (5) of Part 2 of GENPRU 2 Annex 6R, as well as GENPRU 2.2.208R to GENPRU 2.2.215R. BIPRU firms other than those already mentioned should see GENPRU 2.2.208R to GENPRU 2.2.215R. Firms should also note the transitional arrangements for material insurance holdings in GENPRU TP 7. [CEBS CA 1.3.1, 1.3.2, 1.3.4, and 1.3.5, but with the signs reversed] 50A Expected loss amounts and other negative amounts See GENPRU 2.2.236R. [CEBS CA 1.3.8, but with the sign reversed]

FSA003 definitions Page 11

51A

Securitisation positions

See GENPRU 2.2.237R. [CEBS CA 1.3.7, but with the sign reversed] 52A Qualifying holdings This is only relevant for UK banks and building societies. See GENPRU 2.2.202R to GENPRU 2.2.207R. [CEBS CA 1.3.9, but with the sign reversed] 53A Contingent liabilities This is only relevant for a BIPRU investment firm with a waiver from consolidated supervision. These firms should see Note (6) to Part 2 of GENPRU 2 Annex 6R. [Part of CEBS CA 1.3.11] 54A Reciprocal cross holdings See GENPRU 2.2.217R to GENPRU 2.2.220R. [CEBS CA 1.3.3, but with the sign reversed] 55A Investments which are not material holdings or qualifying holdings This is only relevant for UK banks and building societies. See Part 2 of Stage M in GENPRU 2 Annex 2R for UK banks, and GENPRU 2 Annex 3R for building societies. 56A Connected lending of a capital nature This is only relevant for UK banks. See GENPRU 2.2.221R to GENPRU 2.2.233R. [Part of CEBS CA 1.3.6, but with the sign reversed] 57A Total tier one capital plus tier two capital after deductions GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This is equivalent to Stage N of:

(It is also the basis for the capital resources used under BIPRU 10.5.3R for the purposes of measuring large exposures. However, it is further adjusted under BIPRU 10.5.5R to remove data elements 41A (surplus provisions), 50A (expected loss amounts) and 51A (securitisation positions) for these purposes.) [CEBS CA 1.4 plus 1.5 minus 1.3.10] 57B Total tier one capital plus tier two capital after deductions This may differ from 57A if the firm reported innovative tier one instruments in 26A. FSA003 definitions Page 12

This is equivalent to Stage N of: GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Firms should note that if this figure is less than the base capital resources requirement (reported in data element 69A), the firms capital resources are less than its capital resources requirement. See Note (2) in GENPRU 2 Annexes 2R, 3R, 4R, 5R and 6R. [CEBS CA 1.4 plus 1.5 minus 1.3.10] 58A Total tier three capital 58B GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This is equivalent to Stage Q of:

Total tier three capital

This is broadly similar to 58A, except that it takes account of GENPRU 2.2.42R where a firm has innovative tier one capital that cannot be included in tier one. 59A Excess on limits for tier two capital transferred to tier three capital See GENPRU 2.2.25R to GENPRU 2.2.27R. This will be no greater than the sum of 44A and 46A. 59B Excess on limits for tier two capital transferred to tier three capital See GENPRU 2.2.25R to GENPRU 2.2.27R. This will be no greater than the sum of 44B and 46B. If the firm has not reported innovative tier one instruments, the figure should be the same as 59A. 60A Short term subordinated debt, subject to limits See GENPRU 2.2.241R to GENPRU 2.2.245R [CEBS CA 1.6.3] 60B Short term subordinated debt, subject to limits This figure will be the same as 60A. [CEBS CA 1.6.3] 61A Net interim trading book profit and loss FSA003 definitions Page 13 See GENPRU 2.2.246R to GENPRU 2.2.249R.

[CEBS CA 1.6.2] 61B Net interim trading book profit and loss This figure will be the same as 61A. [CEBS CA 1.6.2] 62A Excess on limit for tier three capital The amount reported in 59A and 60A in excess of the limits set out in GENPRU 2.2.49R to GENPRU 2.2.50R. [CEBS CA 1.6.5, but with the sign reversed] 62B Excess on limit for tier three capital The amount reported in 59B and 60B in excess of the limits set out in GENPRU 2.2.49R to GENPRU 2.2.50R. It will only differ from 62A if the firm has reported innovative tier one capital in 26A. 63A Unused but eligible tier three capital (memo) See GENPRU 2.2.47R. This is data element 58A less the amount shown in data element 92A. If the result is negative, enter 0. This is the surplus tier three capital which may only be used for the purposes set out in BIPRU 2.2.47R. [CEBS CA 1.6.7] 63B Unused but eligible tier three capital (memo) See GENPRU 2.2.47R. This is the sum of data elements 58B less the amount shown in data element 92A. If the result is negative, enter 0. This is the surplus tier three capital which may only be used for the purposes set out in BIPRU 2.2.47R. It may differ from 63A if the firm has reported innovative tier one capital in 26A. 64A Total capital before deductions 64B GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision. This is equivalent to Stage R of:

Total capital before deductions

This figure will differ from 64A if the firm had any innovative tier one capital reported in 26A. 65A Deductions from total capital This is equivalent to Stage S of: FSA003 definitions Page 14

GENPRU 2 Annex 2R for a building society; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

[CEBS CA 1.7] 65B 66A Deductions from total capital Excess trading book position This will be the same value as reported in 65A. This is only relevant for UK banks and building societies. See GENPRU 2.2.263R to GENPRU 2.2.265R. 67A Illiquid assets This is only relevant for a BIPRU investment firm deducting illiquid assets under GENPRU 2.2.19R, or a BIPRU investment firm with a waiver from consolidated supervision. See GENPRU 2.2.259R to GENPRU 2.2.260R. 68A 69A Free deliveries Base capital resources requirement See BIPRU 14.4. Enter here the firms base capital resources requirement, converted into the currency of reporting. See GENPRU 2.1.41R to GENPRU 2.1.43G, GENPRU 2.1.47R and GENPRU 2.1.48R. UK banks authorised before 1993 should also see GENPRU 2.1.60R to GENPRU 2.1.62R. If the report is for a UK consolidation group, this should be zero see BIPRU 8.3.3G. 70A Total variable capital requirement This is the variable capital requirement of the firm or UK consolidations group, as calculated in 71A to 75A below. Each firm will only fill in one variable capital requirement which will have the correct method of calculating the variable capital requirement in accordance with GENPRU 2.1.45R and GENPRU 2.1.46R and any relevant waivers or treatment identified through the responses to data elements 5A, 10A and 11A above. In the case of a UK consolidation group, the rules set out in BIPRU 8 Annex 5R apply irrespective of whether the subsidiaries are in the UK or not. [CEBS CA 2] 71A Variable capital requirement for banks and building societies This is also relevant for a UK consolidation group that is subject to the capital requirements at Stage 1 of BIPRU 8 Annex 5R. This is the sum of the credit risk capital requirement, the market risk capital requirement, and the operational risk capital requirement.

FSA003 definitions Page 15

72A

Variable capital requirement for full scope BIPRU investment firms

This is also relevant for a UK consolidation group that is subject to the capital requirements at Stage 2 of BIPRU 8 Annex 5R. This is the sum of the credit risk capital requirement, the market risk capital requirement, and the operational risk capital requirement less any reduction in the operational risk capital requirement under BIPRU TP 12.1. [Part of CEBS CA 2a plus 2b plus 2c] 73A Variable capital requirement for BIPRU limited activity firms This is also relevant for a UK consolidation group that is subject to the capital requirements at Stage 3 of BIPRU 8 Annex 5R. This is the sum of the credit risk capital requirement, the market risk capital requirement, and the fixed overheads requirement. [Part of CEBS CA 2a plus 2b plus 2c] 74A Variable capital requirement for BIPRU limited licence firms This is also relevant for a UK consolidation group that is subject to the capital requirements at Stage 4 of BIPRU 8 Annex 5R. This is the sum of the credit risk capital requirement and the market risk capital requirement, or the fixed overheads requirement if that is higher. [Part of CEBS CA 2a plus 2b plus 2c] 75A Variable capital requirement for UCITS investment firms This is the sum of the credit risk capital requirement and the market risk capital requirement, or the fixed overheads requirement if that is higher. UCITS investment firms should see GENPRU 2.1.46R. [Part of CEBS CA 2a plus 2b plus 2c] 76A Variable capital requirements to be met from tier one and tier two capital See GENPRU 2.2.44R. This is the sum of the credit risk capital component (data element 77A), the operational risk capital requirement (data element 85A, less data element 90A if applicable) and the counterparty risk capital component (data element 91A). It also includes that part of 92A that is not met from tier three capital alone (58A). 77A Total credit risk capital component See BIPRU 3.1.5R, as modified if a firm has an IRB permission. A further breakdown of this figure is provided quarterly in FSA004 for those firms that are required to report that data item. [CEBS CA 2.1] 78A Credit risk calculated by aggregation for UK consolidation group reporting This is only relevant for UK consolidation groups, and then only if they calculate their credit risk capital component under BIPRU 8.7.13R (2). 79A Credit risk capital requirements under the standardised approach The credit risk capital component calculated under BIPRU 3, using the exposure classes set out in BIPRU 3.2.9. This will agree with data element 1A on FSA004. [CEBS CA 2.1.1] FSA003 definitions Page 16

80A

Credit risk capital requirements under the IRB approach

The credit risk capital component under BIPRU 3 calculated in accordance with a firms IRB permission to use the IRB approach and BIPRU 4. [CEBS CA 2.1.2] 81A Under foundation IRB approach The credit risk capital component under BIPRU 3 calculated in accordance with a firms IRB permission to use the foundation IRB approach and BIPRU 4. This figure covers the following exposures classes: central government and central banks (BIPRU 4.3.2R (1)) institutions (BIPRU 4.3.2R (2)); and corporates (BIPRU 4.3.2R (3)).

This will agree to data element 18A on FSA004. [CEBS CA 2.1.2.1] 82A Retail IRB This covers the credit risk capital component under BIPRU 3 calculated in accordance with a firms IRB permission to use the advanced IRB approach and BIPRU 4, and covers the retail exposure class (BIPRU 4.3.2R (4)). This will agree to data element 23A on FSA004. 83A Under advanced IRB approach The credit risk capital component under BIPRU 3 calculated in accordance with a firms IRB permission to use the advanced IRB approach and BIPRU 4. This figure covers the following exposure classes: central governments and central banks (BIPRU 4.3.2R (1)); institutions (BIPRU 4.3.2R (2)); and corporates (BIPRU 4.3.2R (3)).

This will agree to data element 28A on FSA004. [CEBS CA 2.1.2.2 minus retail] 84A Other IRB exposure classes The credit risk capital component under BIPRU 3 calculated in accordance with a firms IRB permission to use the IRB approach and BIPRU 4. This figure covers the following exposure classes: equity claims (BIPRU 4.3.2R (5)); securitisation positions (BIPRU 4.3.2R (6)); and non credit-obligation assets (BIPRU 4.3.2R (7)).

This will agree to data element 33A on FSA004. [CEBSCA 2.1.2.3 plus 2.1.2.4 plus 2.1.2.5]

FSA003 definitions Page 17

85A

Total operational risk capital requirement

This is only relevant for UK banks, building societies and full scope BIPRU investment firms. It is also relevant for any BIPRU limited activity firm or BIPRU limited licence firm that has a waiver under BIPRU 6.1.2G (to apply an ORCR rather than a fixed overheads requirement). See BIPRU 6. A full scope BIPRU investment firm that meets the conditions set out in BIPRU TP 5.1R should enter here the full ORCR that would have applied but for BIPRU TP 5.7R. The reduction as a result of that rule should be reported in data element 90A. A further breakdown of this figure is provided in FSA007 for firms on the standardised approach, alternative standardised approach or the advanced models approach. [CEBS CA 2.4] 86A Operational risk calculated by aggregation for UK consolidation group reporting This is only relevant for UK consolidation groups completing data element 89A, and then only if they calculate their operational risk capital requirement under BIPRU 8.7.13R (2). 87A Operational risk basic indicator approach This is only relevant for those firms completing data element 85A. See BIPRU 6.3. [CEBS CA 2.4.1] 88A Operational risk standardised/alternative standardised approach This is only relevant for those firms completing data element 85A. See BIPRU 6.4. This will agree to data element 15A on FSA007. [CEBS CA 2.4.2] 89A Operational risk advanced measurement approaches This is only relevant for those firms completing data element 85A. See BIPRU 6.5. This will agree to data element 15B on FSA007. [CEBS CA 2.4.3] 90A Reduction in operational risk capital requirement under BIPRU TP 12.1R. This is only relevant for a full scope BIPRU investment firm that satisfies the conditions set out in BIPRU TP 12.1R. Firms should report here the amount by which the ORCR reported in data element 85A is reduced as a result of the calculation in BIPRU TP 12.1R (thus data element 85A less this data element will give the reduced ORCR). [CEBS CA 2.6.2] 91A Counterparty risk capital component See BIPRU 14.2.1R. [CEBS CA 2.2] FSA003 definitions Page 18

92A

Capital requirements for which tier three capital may be used

See GENPRU 2.2.46R. This comprises the data elements that are relevant for calculating the variable capital requirement for your firm (see GENPRU 2.2.47R) from the data elements 93A (market risk capital requirement), 103A (concentration risk capital component) and 104A (fixed overheads requirement). 93A Total market risk capital requirement See BIPRU 7 and also GENPRU 2.2.46R. A further breakdown of this figure (less 94A in the case of UK consolidation group reports) is provided in FSA005 for firms that meet the reporting thresholds defined in SUP 16.12.5R (note 4), SUP 16.12.11R (note 4), SUP 16.12.15R (note 4), SUP 16.12.22R (note 4) and SUP 16.12.25R (note 4). [CEBS CA 2.3] 94A Market risk capital requirement calculated by aggregation for UK consolidation group reporting This is only relevant for UK consolidation groups, and then only if they calculate their market risk capital component under BIPRU 8.7.13R (2). 95A Position, foreign exchange and commodity risks under TSA See BIPRU 7. [CEBS CA 2.3.1] 96A Interest rate PRR See BIPRU 7.1.7R to BIPRU 7.1.13E, BIPRU 7.2, BIPRU 7.3, BIPRU 7.6, BIPRU 7.9, BIPRU 7.11.12R and BIPRU 7.11.35R. This will agree with data element 18G on FSA005. 97A Equity PRR See BIPRU 7.1.7R to BIPRU 7.1.13E, BIPRU 7.3.48R and BIPRU 7.3.49G, BIPRU 7.6, BIPRU 7.9, BIPRU 7.11.12R and BIPRU 7.11.35R. This will agree with data element 29G on FSA005. [CEBS CA 2.3.1.2] 98A Commodity PRR See BIPRU 7.1.7R to BIPRU 7.1.13E, BIPRU 7.4 and BIPRU 7.9. This will agree with data element 40G on FSA005. [CEBS CA 2.3.1.4] 99A Foreign currency PRR See BIPRU 7.1.7R to BIPRU 7.1.13E, BIPRU 7.5, BIPRU 7.6 and BIPRU 7.9. This will agree with data element 48G on FSA005. [CEBS CA 2.3.1.3] FSA003 definitions Page 19

100A CIU PRR See BIPRU 7.1.7R to BIPRU 7.1.13E, BIPRU 7.6, BIPRU 7.7 and BIPRU 7.9. This will agree with data element 55G on FSA005. 101A Other PRR See BIPRU 7.1.7R to BIPRU 7.1.13E. This will agree with data element 56G on FSA005. 102A Position, foreign exchange and commodity risks under internal models See BIPRU 7.10. This will agree with data element 61G on FSA005. [CEBS CA 2.3.2] 103A Concentration risk capital component This is the CNCOM. See BIPRU 10.5.14R to BIPRU 10.5.21G for details of how this is calculated. Figures appearing here should also appear on FSA008 under data element 5R for the same quarterly reporting date. 104A Fixed overheads requirement This should only be completed by BIPRU limited activity firms and BIPRU limited licence firms. See GENPRU 2.1.53R to GENPRU 2.1.59G. [CEBS CA 2.5] 105A Capital resources requirement arising from capital floors This is only relevant for a firm that has adopted the IRB approach. Firms should enter the capital resources required to equal or exceed the amounts defined in BIPRU TP 2 and BIPRU TP 2.8R in particular. When reporting, the scaling factors set out in BIPRU TP 2.8R should have been applied. 106A Surplus/deficit of own funds This is 15A less 70A. This should be a positive figure, showing the amount of excess capital over that required for the variable capital requirement measured at the reporting date, as well as any requirements. [CEBS CA 3.2] 106B Surplus/deficit of own funds This is 15B less 70A. This should be a positive figure, showing the amount of excess capital over that required for the risks measured at the reporting date, as well as any requirements. Firms that have adopted the IRB approach for credit risk or advanced measurement approach for operational risk should also be monitoring data element 105A against 15B. Firms should note that although this figure may show a surplus, if this figure reported in data element 57B is less than the base capital resources requirement (reported in data element 69A), the firms capital resources are less than its capital resources requirement. See Note (2) in GENPRU 2 Annexes 2R, 3R, 4R, 5R and 6R. FSA003 definitions Page 20

This should be a positive figure and is the calculation required in GENPRU 2.1.40R. 107A Overall solvency ratio This is 15A divided by 70A, multiplied by 100 and represents the firms overall solvency. [CEBS CA 3.2.a] 107B Overall solvency ratio This is 15B divided by 70A, multiplied by 100 and represents the firms overall solvency for CRR purposes. This ratio represents the firms solvency in relation to its variable capital requirement under GENPRU 2.1.9R(1). In most cases, it may be the same as figure as appears in Column A, but that will not be the case if data element 15 differs between Column A and Column B because of the different treatment of innovative tier one instruments (see GENPRU 2.2.43R). 108A Individual capital guidance total capital resources Enter the amount of total capital resources that the FSA considers the firm should hold in order to meet GENPRU 1.2.26R (adequate financial resources). This amount can be calculated from information provided in the most recent letter the firm has received from the FSA setting out Individual Capital Guidance (as described in BIPRU 2.2.12G). The amount should be calculated as at the same reporting date as all other information included in this data item. Where this data item is being used to report for a UK consolidation group, you should enter the total group capital resources indicated in the ICG letter which will typically be based on the group capital resources requirement (data element 15B) see BIPRU 2.2.19G. For the purposes of giving individual capital guidance, the FSA may distinguish between capital resources which can be used to meet all risks (general purpose capital, ie stage N in GENPRU 2 Annexes 2R, 3R, 4R, 5R and 6R as appropriate) and capital resources which can only be used to meet certain risks, for instance trading book risks. Total capital resources after deductions is defined in GENPRU 2.2.12R and is stage T in GENPRU 2 Annexes 2R, 3R, 4R, 5R and 6R as appropriate. The amount of total capital resources should be shown in data element 15B. See GENPRU 2.2.16G. This data element should be used where an ICG letter provides guidance on the amount of total capital or is silent on the nature of the capital which can be used to meet the obligation in GENPRU 1.2.26R. If no ICG has been set, firms should enter 0 here. 109A Individual capital guidance general purpose capital Enter the amount of general purpose capital that the FSA considers the firm should hold in order to meet GENPRU 1.2.26R (adequate financial resources). The amount should be calculated on the same basis set out for data element 15B, but refers only to general purpose capital rather then to total capital. If the firms ICG letter does not provide guidance on the amount of general capital (or limited purpose capital) that the firm should hold or no ICG has been set for the firm, it should enter 0 here. 110A Surplus/(deficit) total capital over ICG This is the amount in data element 15B (total capital resources) less the amount in data element 108A. However, if no ICG has been set and data element 108A is 0, this should also be 0. FSA003 definitions Page 21

111A Surplus/(deficit) general purpose capital over ICG This is the amount in data element 57B less the amount in data element 109A. However, if no ICG has been set and data element 109A is 0, this should also be 0. Memorandum items 112A Value of portfolio under management This should only be provided by UCITS investment firms. Prudential filters Information on these data elements is required so that we can monitor their impact (or potential impact) on capital resources. 113A Unrealised gains on available-for sale-equities This is the amount of the gain related to available-for-sale equities included within revaluation reserves reported in 39A and 39B. See GENPRU 2.2.185R(2)(b). 114A Unrealised gains (losses) on investment properties This is the value of gains (losses) arising from revaluation reserves of investment properties that have been included within capital resources. See GENPRU 2.2.185R(3). 115A Unrealised gains (losses) on land and buildings This is the value of gains (losses) arising from revaluation reserves of land and buildings that have been included within capital resources. See GENPRU 2.2.185R(4). 116A Unrealised gains (losses) on debt instruments held in the available-for-sale category This is the unrealised gains (losses) on debt instruments held in the available-for-sale category that are excluded from capital resources. See GENPRU 1.3.36R(2)(b). 117A Unrealised gains (losses) on cash flow hedges of financial instruments This is the fair value reserves related to gains (losses) on cash flow hedges of financial instruments measured at amortised cost that are excluded from capital resources. See GENPRU 1.3.36R(2)(a). 118A Unrealised gains (losses) on fair value financial liabilities This is the value of unrealised gains (losses) on liabilities designated as at fair value that are excluded from capital resources. See GENPRU 1.3.9R(1). 119A Defined pension benefit (liability) This is the value of any defined benefit asset (defined benefit liability), in respect of a defined benefit occupational pension scheme, that has been excluded from capital resources. See GENPRU 1.3.9R(2). 120A Deficit reduction amount if used This is the value of any deficit reduction amount substituted for a defined benefit liability in respect of a defined benefit occupational pension scheme. See GENPRU 1.3.9R(2)(b). It should be entered as a positive figure.

FSA003 definitions Page 22

121A Deferred acquisition costs (deferred income) This is the value of assets in respect of deferred acquisition costs (DACs) (liabilities in respect of deferred income DIRs) that have been excluded from capital resources. See GENPRU 1.3.36R(3). Minority interests These are included indistinguishably within capital resources. 122A Minority interests included within capital resources Report here the amount of minority interests included indistinguishably in the components of capital resources. See BIPRU 8.6.8R to BIPRU 8.6.16R. 123A Of which: innovative tier one instruments Report here the amount of innovative tier one instruments that are included within minority interests (122A) and also within innovative tier one capital in 26A. See BIPRU 8. Profits Capital resources calculated above should only include in tier one profits that have been externally verified at the reporting date. This section captures information on profits at the reporting date that have subsequently been verified. 124A Profits not externally verified at the reporting date but subsequently have been Enter here the amount of profits (for the financial year covered by the reporting date) which were not externally verified at the reporting date but which have subsequently been verified. This amount should not be included within 23A. Also, do not include here any amount already reported in 23A. This data element may be zero if no profits have been verified between the reporting date and the submission date. 125A Total capital after deductions, including externally verified profits This figure should be a firms alternative calculation of data element 15B, based on the figure in 124A being included within tier one capital. It will not necessarily be equivalent to 15B plus 124A, because other components of the capital resources calculation may also have been revised following the external verification. This cell should be zero if data element 124A is zero. Allocation of deductions between tiers one and two capital 126A Material insurance company holdings excluded from allocation This is the value of material insurance holdings (included within 49A) that are not allocated to tier one and two capital under GENPRU TP 7. 127A Allocated to tier one capital Firms should allocate the sum of data elements 49A, 50A and 51A less 126A between tier one capital and tier two capital. See GENPRU 2.2.239R(3) and GENPRU 2.2.239R(4). 128A Allocated to tier two capital Firms should allocate the sum of data elements 49A, 50A and 51A less 126A between tier one capital and tier two capital. See GENPRU 2.2.239R(3) and GENPRU 2.2.239R(4). FSA003 definitions Page 23

Firms on IRB/AMA approaches 129A Total capital requirement under pre-CRD rules This is only relevant for those firms that have adopted the approaches in BIPRU 4 (IRB) or BIPRU 6.5 (AMA) for the calculation of their capital requirements. Firms should report the total capital requirement calculated under whichever part of IPRU applies under BIPRU TP 1.4R. 130A Total credit risk capital component under pre-CRD rules This is only relevant for those firms that have adopted the approaches under BIPRU 4 (IRB) for the calculation of their capital requirements. Firms should report the credit risk capital component under whichever part of IPRU applies under BIPRU TP 1.4R. 131A Expected loss amounts wholesale, retail and purchased receivables This is only relevant for firms that have adopted the approaches under BIPRU 4 (IRB) for the calculation of their capital requirements. This is the amount for exposures to sovereigns, institutions, corporate IRB, specialised lending and retail, and for purchased receivables, that result from the calculations under BIPRU 4.3.6R (1), (2) and (4). 132A Expected loss amounts equity This is only relevant for firms that have adopted the approaches under BIPRU 4 (IRB) for the calculation of their capital requirements. This is the amount for exposures to equities that result from the calculations under BIPRU 4.3.6R (3). 133A Total value adjustments and provisions eligible for the EL less provisions calculation under IRB This is only relevant for firms that have adopted the approaches under BIPRU 4 (IRB) for the calculation of their capital requirements. This is the sum of value adjustments and provisions related to exposures in BIPRU 4.3.6R (1), (2) and (4) which are eligible for the EL less provisions calculation in BIPRU 4.3.8R. 134A Total deductions from tier 1 and tier 2 capital according to pre-CRD rules This is only relevant for firms that have adopted the approaches under BIPRU 4 (IRB) or BIPRU 6.5 (AMA) for the calculation of their capital requirements. Firms should report here the deductions calculated under whichever part of IPRU applies under BIPRU TP 1.4R.

FSA003 definitions Page 24

FSA003 Capital adequacy validations

Internal validations Data elements are referenced by row then column. Validation number Data element 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 28B 29B 30B 31B 32B 33B 34A 15A 15B 16A 16B 17A 17B 24A 24B 27A = = = = = = = = = = = = = = = = 1A 2A 3A 4A 5A 6A 7A 8A 9A If (2A+3A+4A)=yes, then no, else yes If (1A+3A+4A)=yes, then no, else yes If (1A+2A+4A)=yes, then no, else yes If (1A+2A+3A)=yes, then no, else yes If 2A = no, then no If (3A+4A) = no, then no If (1A+8A+9A)=yes, then no If (1A+7A+9A)=yes, then no If (1A+7A+8A)=yes, then no [deleted replaced by validation 114] [deleted replaced by validation 115] [Not used] 64A 65A 64B 65B 17A + 24A - 27A 17B + 24B - 27B 18A + 19A 20A +21A +22A + 23A 17A 25A + 26A 24A 28A + 29A + 30A + 31A + 32A + 33A +34A [deleted replaced by validation 116] 28A 29A 30A 26A 32A 33A If 10A = no, then 0 FSA003 validations Page 1

30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63

34B 35A 35B 36A 36B 37A 37B 38B 39B 40B 41B 42A 42B 43B 45A 45B 47B 48A 48B 49A 52A 53A 55A 56A 57A 57B 58A 58B 59A 59B 60B 61B

= = = = = = = = = = = = = = = = =

34A [Not used] 36A + 42A - 45A 36B + 42B - 45B 37A + 38A + 39A + 40A + 41A 37B + 38B + 39B + 40B + 41B 30A + 31A 30B + 31B 38A 39A 40A 41A 43A 44A 43B - 44B 43A 46A + 47A 46B + 47B 47A 49A + 50A + 51A + 52A + 53A + 54A + 55A + 56A 48A If 11A = yes, then 0 If 1A = no, then 0 If 10A = no, then 0 If 1A = no, then 0 If 1A = no, then 0

= = = = = =

16A + 35A 48A 16B + 35B 48B 59A + 60A + 61A - 62A 59B + 60B + 61B - 62B 44A + 46A 44B + 46B 60A 61A [deleted replaced by validation 102] FSA003 validations Page 2

64 65 66 67 68 69 70 71 72 72a 72b 72c 72d 72e 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93A 94A 95A 104A 106A 106B = = = = = 77A 78A 80A 85A 86A 90A = = 76A = 64A 64B 65A 65B 66A 67A 69A 70A = = = = =

[deleted replaced by validation 103] 57A + 58A 57B + 58B 66A + 67A + 68A 65A If 1A = no, then 0 If 11A = no, then (if 10A = no, then 0) If 12A = consolidated, then 0, else >0 71A + 72A + 73A + 74A + 75A [deleted] [deleted] [deleted] [deleted] [deleted] [deleted replaced by validation 104] [deleted replaced by validation 105] [deleted replaced by validation 106] [deleted replaced by validation 107] [deleted replaced by validation 108] 77A + 85A 90A +91A [Not used] 78A + 79A + 80A If 12A consolidated, then 0 81A + 82A + 83A + 84A 86A + 87A + 88A + 89A If 12A consolidated, then 0 If 5A = no, then 0 [deleted replaced by validation 109] 94A + 95A + 102A If 12A consolidated, then 0 96A + 97A + 98A + 99A + 100A + 101A If 1A = yes, then 0, else (if 2A = yes, then 0, else > 0) 15A 70A 15B 70A FSA003 validations Page 3

93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 127A 128A 63A 63B 71A 72A 73A 74A = = 123A 110A 111A =

[deleted replaced by validation 110] [deleted replaced by validation 111] If 108A = 0, then 0, else (15B 108A) If 109A = 0, then 0, else (57B 109A) [deleted replaced by validation 112] 26A [deleted replaced by validation 113] 16B 35B Max (59A + 60A + 61A 62A 92A), 0 Max (59B + 60B + 61B 62B 92A), 0 If 1A = Yes, then 76A + 92A, else 0 If 2A = Yes, then 76A + 92A, else 0 If 3A = Yes, then 76A + 92A, else 0 If 4A = Yes, then (if 8A = Yes, 0, else (Max (77A + 91A + 93A + 103A), 104A)), else 0 If 8A = Yes, then (Max ((77A + 91A + 93A + 103A), 104A)), else 0 = = = 93A + 103A + 104A (15A/70A) * 100 (15B/70A) * 100 If 8A = no, then 0 49A + 50A + 51A 126A If 1A = yes, then no If 1A = yes, then no = 28B + 29B + 30B + 31B + 32B + 33B + 34B

108 109 110 111 112 113 114 115 116

75A 92A 107A 107B 112A 127A + 128A = 10A 11A 27B

FSA003 validations Page 4

External validations Validation number 1 2 3 4 4a 5 6 7 8 9 10 11 12 13 14 15 16 103A If FSA008.3A = no, then (103A = FSA008.5RT), else (103A FSA008.5RT) Data element 79A 81A 82A 83A 84A 88A 89A 93A 94A 96A 97A 98A 99A 100A 101A 102A = = = = = = = = = = = = = = = FSA004.1A FSA004.18A FSA004.23A FSA004.28A FSA004.33A FSA007.15A FSA007.15B FSA005.62G FSA005.18G FSA005.29G FSA005.40G FSA005.48G FSA005.55G FSA005.56G FSA005.61G

FSA003 validations Page 5

FSA004 Credit risk

This data item provides details of the credit risk capital requirements of firms reported in FSA003. For UK consolidation groups, the figures reported should exclude any credit risk capital requirement that has been calculated using aggregation under BIPRU 8.7.13R (2). This data item uses elements from CEBS COREP Tables CR SA, CR SEC SA, CR IRB, CR EQU IRB and CR SEC IRB1, but reflects the Rules and wording in the Handbook, omits elements which are not in our view relevant in the UK, and combines some other elements. The numbers in parenthesis and italics show the corresponding element(s) in CEBS Tables CR SA, CR SEC SA, CR IRB, CR EQU IRB and CR SEC IRB and are only provided for information purposes to identify the linkage to the CEBS data. Valuation Unless indicated otherwise, the valuation of data elements should follow BIPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Column A This contains the capital requirement, calculated in accordance with BIPRU 3 and BIPRU 4, but excluding securitisation positions. Column B For firms on the standardised approach, this should be calculated as set out in BIPRU 3 and BIPRU 5. It equates to the fully adjusted exposures values (E*) after adjustment to offbalance sheet items under BIPRU 3.6.1R. For firms on an IRB approach, this should be calculated in accordance with BIPRU 4 and BIPRU 5 and is the exposure value before the risk weight is applied. Breakdown under the standardised approach to credit risk by exposure classes excluding securitisation positions 1A Total capital requirement

This is the same as the capital requirement reported in data element 79A in FSA003. [CEBS CR SA column 22]

www.c-ebs.org/documents/GL04_CR.xls

FSA004 definitions Page 1

1B 2A

Total exposure value Central government or central banks

This is the total exposure value, being the sum of data elements 2B to 17B. This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (1). [CEBS CR SA column 22] 2B Central government or central banks This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (1). [CEBS CR SA column 20] 3A Regional governments or local authorities This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (2). [CEBS CR SA column 22] 3B Regional governments or local authorities This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (2). [CEBS CR SA column 20] 4A Administrative bodies and non-commercial undertakings This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (3). [CEBS CR SA column 22] 4B Administrative bodies and non-commercial undertakings This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (3). [CEBS CR SA column 20] 5A Multilateral development banks This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (4). [CEBS CR SA column 22] 5B Multilateral development banks This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (4). [CEBS CR SA column 20] 6A International organisations This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (5). [CEBS CR SA column 22] 6B International organisations This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (5). FSA004 definitions Page 2

[CEBS CR SA column 20] 7A Institutions This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (6). [CEBS CR SA column 22] 7B Institutions This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (6). [CEBS CR SA column 20] 8A Corporates This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (7). [CEBS CR SA column 22] 8B Corporates This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (7). [CEBS CR SA column 20] 9A Retail This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (8). [CEBS CR SA column 22] 9B Retail This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (8). [CEBS CR SA column 20] 10A Secured on real estate property This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (9). [CEBS CR SA column 22] 10B Secured on real estate property This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (9). [CEBS CR SA column 20] 11A Past due items This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (10). [CEBS CR SA column 22] 11B Past due items This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (10). [CEBS CR SA column 20] FSA004 definitions Page 3

12A

Items belonging to regulatory high-risk categories

This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (11). [CEBS CR SA column 22] 12B Items belonging to regulatory high-risk categories This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (11). [CEBS CR SA column 20] 13A Covered bonds This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (12). [CEBS CR SA column 22] 13B 14A Covered bonds Securitisation positions This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (12). This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (13). [CEBS CR SEC SA column 33] 14B Securitisation positions This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (13). [CEBS CR SEC SA column 19] 15A Short term claims on institutions and corporates This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (14). [CEBS CR SA column 22] 15B Short term claims on institutions and corporates This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (14). [CEBS CR SA column 20] 16A Collective investment undertakings This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (15). [CEBS CR SA column 22] 16B Collective investment undertakings This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (15). [CEBS CR SA column 20] 17A Other items This is the capital requirement, calculated in accordance with BIPRU 3, relating to the asset class defined in BIPRU 3.2.9R (16). FSA004 definitions Page 4

[CEBS CR SA column 22] 17B Other items This is the exposure value relating to the asset class defined in BIPRU 3.2.9R (16). Breakdown under the foundation IRB approach to credit risk 18A Total capital requirement This is the same as the capital requirement reported in data element 81A in FSA003. [CEBS CR IRB column 24] 18B 19A Total exposure value Central governments and central banks This is the total exposure value, being the sum of 19B to 21B. This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (1). [CEBS CR IRB column 24] 19B Central governments and central banks This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (1). [CEBS CR IRB column 11] 20A Institutions This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (2). [CEBS CR IRB column 24] 20B Institutions This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (2). [CEBS CR IRB column 11] 21A Corporates This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (3). [CEBS CR IRB column 24] 21B Corporates This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (3). [CEBS CR IRB column 11] 22A Of which: To companies according to BIPRU 4.4.59R to BIPRU 4.4.60R This is the capital requirement, calculated in accordance with BIPRU 4 using the correlation formula in BIPRU 4.4.59R, relating to exposures to the asset class defined in BIPRU 4.3.2R (3) that meet the size requirements in BIPRU 4.4.59R and BIPRU 4.4.60R. It is part of 21A. [CEBS CR IRB column 24]

FSA004 definitions Page 5

22B

Of which: To companies according to BIPRU 4.4.59R to BIPRU 4.4.60R

This is the exposure value relating to exposures to the asset class defined in BIPRU 4.3.2R (3) that meet the size requirements in BIPRU 4.4.59R and BIPRU 4.4.60R. It is part of 21B. [CEBS CR IRB column 11] Breakdown of Retail IRB 23A Total capital requirement This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (4). It is the same as the capital requirement reported in data element 82A in FSA003. [CEBS CR IRB column 24] 23B Total capital requirement This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (4) and is the sum of 24B to 27B. [CEBS CR IRB column 11] 24A Retail mortgages This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (4) and subject to BIPRU 4.6.43R. [CEBS CR IRB column 24] 24B Retail mortgages This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (4) and subject to BIPRU 4.6.43R. [CEBS CR IRB column 11] 25A Qualifying Revolving Retail Exposures This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (4) and subject to BIPRU 4.6.44R to BIPRU 4.6.46R. [CEBS CR IRB column 24] 25B Qualifying Revolving Retail Exposures This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (4) and subject to BIPRU 4.6.44R to BIPRU 4.6.46R. [CEBS CR IRB column 11] 26A Retail SME This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (4) for an exposure to a Retail SME. [CEBS CR IRB column 24] 26B Retail SME This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (4) for an exposure to a Retail SME. [CEBS CR IRB column 11] FSA004 definitions Page 6

27A

Other retail

This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (4) that is not otherwise reported in 24A, 25A or 26A. [CEBS CR IRB column 24] 27B Other retail This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (4) that is not otherwise reported in 24B, 25B or 26B. [CEBS CR IRB column 11] Breakdown under the advanced IRB approach to credit risk 28A Total capital requirement This is the same as the capital requirement reported in data element 83A in FSA003. [CEBS CR IRB column 24] 28B 29A Total exposure value Central governments and central banks This is the total exposure value, being the sum of 23B to 26B. This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (1). [CEBS CR IRB column 24] 29B Central governments and central banks This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (1). [CEBS CR IRB column 11] 30A Institutions This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (2). [CEBS CR IRB column 24] 30B Institutions This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (2). [CEBS CR IRB column 11] 31A Corporates This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (3). [CEBS CR IRB column 24] 31B Corporates This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (3). [CEBS CR IRB column 11]

FSA004 definitions Page 7

32A

Of which: To companies according to BIPRU 4.4.59R to BIPRU 4.4.60R

This is the capital requirement, calculated in accordance with BIPRU 4 using the correlation formula in BIPRU 4.4.59R, relating to exposures to the asset class defined in BIPRU 4.3.2R (3) that meet the size requirements in BIPRU 4.4.59R and BIPRU 4.4.60R. It is part of 31A. [CEBS CR IRB column 24] 32B Of which: To companies according to BIPRU 4.4.59R to BIPRU 4.4.60R This is the exposure value relating to exposures to the asset class defined in BIPRU 4.3.2R (3) that meet the size requirements in BIPRU 4.4.59R and BIPRU 4.4.60R. It is part of 31B. [CEBS CR IRB column 11] Other IRB exposure classes 33A Total other exposure classes This is the same as the capital requirement reported in data element 84A in FSA003. It is the sum of 34A to 36A. 33B 34A Total other exposure classes Equity claims This is the total exposure value, being the sum of 34B to 36B. This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (5). [CEBS CR EQU IRB column 13] 34B Equity claims This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (5). [CEBS CR EQU IRB column 9] 35A Securitisation positions This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (6). [CEBS CR SEC IRB column 39] 35B Securitisation positions This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (6). [CEBS CR SEC IRB column 17] 36A Non credit-obligation assets This is the capital requirement, calculated in accordance with BIPRU 4, relating to the asset class defined in BIPRU 4.3.2R (7). [CEBS CA 2.1.2.5] 36B Non credit-obligation assets This is the exposure value relating to the asset class defined in BIPRU 4.3.2R (7). It is calculated as the figure in 36A divided by 8%.

FSA004 definitions Page 8

FSA004 Credit risk validations

Internal validations Data elements are referenced by row then column. Validation Data number element 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 1B 18A 18B 22A 22B 23A 23B 28A 28B 32A 32B 36B 1A 33A 33B [deleted replaced by validation 14] = 2B+3B+4B+5B+6B+7B+8B+9B+10B+11B+12B+13B+14B+15B+ 16B+17B = 19A+20A+21A = 19B+20B+21B 21A 21B = 24A+25A+26A+27A = 24B+25B+26B+27B = 29A+30A+31A = 29B+30B+31B 31A 31B = 36A/8% = 2A + 3A + 4A + 5A + 6A + 7A + 8A + 9A + 10A + 11A + 12A + 13A + 14A + 15A + 16A + 17A = 34A + 35A + 36A = 34B + 35B + 36B

External validations Validation Data number element 1 2 3 4 5 [deleted replaced by validation 6] [deleted replaced by validation 7] [deleted replaced by validation 8] [deleted replaced by validation 9] [deleted replaced by validation 10] FSA004 validations Page 1

6 7 8 9 10

1A 18A 23A 28A 33A

= FSA003.79A = FSA003.81A = FSA003.82A = FSA003.83A = FSA003.84A

FSA004 validations Page 2

FSA005 Market risk

This data item provides the FSA with information on the market risk capital requirement under GENPRU 2.1.40R. The data item is intended to reflect the underlying prudential requirements contained in GENPRU and BIPRU and allows monitoring against the requirements set out there and also those individual requirements placed on firms. We have provided references to the underlying rules to assist in its completion. For UK consolidation groups, the figures reported should exclude any market risk capital requirement that has been calculated using aggregation under BIPRU 8.7.13R (2). This data item has similarities to CEBS COREP Tables MKR SA TDI, MKR SA EQU, MKR SA FX, MKR SA COM and MKR IM1, but reflects the Rules and wording in the Handbook, omits elements which are not in our view relevant in the UK, and combines some other elements. The numbers in parenthesis and italics show the corresponding element(s) in CEBS Tables and are only provided for information purposes to identify the linkage to the CEBS data. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Interest rate risk See BIPRU 7.2. 1 Valuation of longs Report the long positions. [CEBS MKR SA TDI, items 1 and 2 combined, column 1] 2 Valuation of shorts Report the short positions. [CEBS MKR SA TDI, items 1 and 2 combined, column 2] 3 PRR See BIPRU 7.2.52R

www.c-ebs.org/documents/GL04_MKR.xls

FSA005 definitions Page 1

[CEBS MKR SA TDI, items 1 and 2 combined, column 9] 4 Specific interest rate risk 0% risk bucket Enter the amounts subject to this risk bucket weighting. See BIPRU 7.2.43R to BIPRU 7.2.51G [CEBS MKR SA TDI item 3.1, column 8] 5 Specific interest rate risk 0.25% risk bucket Enter the amounts subject to this risk bucket weighting. See BIPRU 7.2.43R to BIPRU 7.2.51G. [CEBS MKR SA TDI item 3.2a, column 8] 6 Specific interest rate risk 1.00% risk bucket Enter the amounts subject to this risk bucket weighting. See BIPRU 7.2.43R to BIPRU 7.2.51G. [CEBS MKR SA TDI item 3.2b, column 8] 7 Specific interest rate risk 1.60% risk bucket Enter the amounts subject to this risk bucket weighting. See BIPRU 7.2.43R to BIPRU 7.2.51G. [CEBS MKR SA TDI item 3.2c, column 8] 8 Specific interest rate risk 8.00% risk bucket Enter the amounts subject to this risk bucket weighting. See BIPRU 7.2.43R to BIPRU 7.2.48G. [CEBS MKR SA TDI item 3.3, column 8] 9 Specific interest rate risk 12.00% risk bucket Enter the amounts subject to this risk bucket weighting. See BIPRU 7.2.43R to BIPRU 7.2.48G. [CEBS MKR SA TDI item 3.4, column 8] 10 Specific interest rate PRR See BIPRU 7.2.43R. [CEBS MKR SA TDI items 3.1 to 3.4, column 9] 11 Securitisation exposures/unrated liquidity facilities PRR See BIPRU 7.2.47R. [CEBS MKR SA TDI item 3.5, column 9] 12 Ordinary CDS PRR See BIPRU 7.11.24R. [Part of CEBS MKR SA TDI item 3, columns 6 and 7] 13 Securitisation CDS PRR See BIPRU 7.11.35R. [Part of CEBS MKR SA TDI item 3, columns 6 and 7] FSA005 definitions Page 2

14 15

Basic interest rate PRR calculation for equity instruments Option PRR for interest rate positions

See BIPRU 7.3. See BIPRU 7.6. [Part of CEBS MKR SA TDI item 7 column 9] 16 CAD1 PRR for interest rate positions See BIPRU 7.9. [Part of CEBS MKR SA TDI item 7 column 9] 17 Other PRR for interest rate risk Where a prudent uplift is required under BIPRU 7.2.46R or PRR arising from other nonstandard transactions as required by BIPRU 7.1.7R to BIPRU 7.1.13E and that is attributable to interest rate risk 18 Total interest rate PRR This is the sum of the general interest rate, specific interest rate, securitisation exposures/unrated liquidity facilities, ordinary CDS, securitisation CDS, basic interest rate, options, CAD1 and other PRRs. This will have the same value as data element 96A in FSA003. [CEBS MKR SA TDI column 9 total less item 4 column 9] Equity risk See BIPRU 7.3. General equity risk (or simplified) See BIPRU 7.3.26G to BIPRU 7.3.30R and BIPRU 7.3.40R to BIPRU 7.3.43G. 19 Valuation of longs This is the sum of the notional long positions. See BIPRU 7.3.9G to BIPRU 7.3.25G. [CEBS MKR SA EQU item 1, column 1] 20 Valuation of shorts This is the sum of the notional short positions. See BIPRU 7.3.9G to BIPRU 7.3.25G. [CEBS MKR SA EQU item 1, column 2] 21 PRR This is the PRR under the simplified equity method. See BIPRU 7.3.29R to BIPRU 7.3.30R. [CEBS MKR SA EQU item 1, column 7] Specific equity risk by risk bucket See BIPRU 7.3.31R to BIPRU 7.3.39R. 22 Qualifying equities Enter the valuation of the instruments. See BIPRU 7.3.35R to BIPRU 7.3.37G. [CEBS MKR SA EQU item 2.1, column 6] FSA005 definitions Page 3

23 24

Qualifying equity indices Other equities

Enter the valuation of the instruments. See BIPRU 7.3.38R to BIPRU 7.3.39R. Enter the valuation of all other equities, equity indices or equities baskets. [CEBS MKR SA EQU item 2.2, column 6] 25 PRR for specific equity risk Enter the total PRR calculated in accordance with BIPRU 7.3.33R and BIPRU 7.3.34R. [CEBS MKR SA EQU item 2, column 7] 26 Option PRR for equity positions See BIPRU 7.6. [Part of CEBS MKR SA EQU item 6 column 7] 27 CAD1 PRR for equity positions See BIPRU 7.9. [Part of CEBS MKR SA EQU item 6 column 7] 28 Other PRR This covers, for instance, where a firm nets off positions and is required to cover the risk of the derivative not moving with its constituent equities see BIPRU 7.3.48R and BIPRU 7.3.49G. It also includes PRR arising from other non-standard transactions as required by BIPRU 7.1.7R to BIPRU 7.1.13E that is attributable to equity risk. 29 Total equity PRR This is the sum of the general equity, specific equity, option, CAD1 and other PRRs. This will have the same value as data element 97A in FSA003. [CEBS MKR SA EQU column 7 total less item 3 column 7] Commodity risk See BIPRU 7.4. 30 Valuation of longs Enter the valuation of the derived notional long positions. See BIPRU 7.4.7G to BIPRU 7.4.19G. [CEBS MKR SA COM items 1-2, column 1] 31 Valuation of shorts Enter the valuation of the derived notional short positions. See BIPRU 7.4.7G to BIPRU 7.4.19G. [CEBS MKR SA COM items 1-2, column 2] 32 Outright PRR See BIPRU 7.4.25R to BIPRU 7.4.30G (for maturity ladder approach) or BIPRU 7.4.31R to BIPRU 7.4.37G (for extended maturity ladder approach). FSA005 definitions Page 4

[CEBS MKR SA COM items 1c and 2c, column 8] 33 Spread PRR See BIPRU 7.4.25R to BIPRU 7.4.30G (for maturity ladder approach) or BIPRU 7.4.31R to BIPRU 7.4.37G (for extended maturity ladder approach). [CEBS MKR SA COM items 1a and 2a, column 8] 34 Carry PRR See BIPRU 7.4.25R to 7.4.30G (for maturity ladder approach) or BIPRU 7.4.31R to BIPRU 7.4.37G (for extended maturity ladder approach). [CEBS MKR SA COM items 1b and 2b, column 8] 35 Simplified PRR See BIPRU 7.4.24R. [CEBS MKR SA COM item 3, column 8] 36 Total PRR This is the sum of the outright, spread and carry PRRs. [CEBS MKR SA COM items 1a to1c plus 2a to 2c plus item 3 column 8] 37 Option PRR for commodity positions See BIPRU 7.6. [Part of CEBS MKR SA COM item 6, column 8] 38 CAD1 PRR for commodity positions See BIPRU 7.9. [Part of CEBS MKR SA COM item 6, column 8] 39 Other PRR See BIPRU 7.4.38R to BIPRU 7.4.40R. It includes PRR arising from other non-standard transactions as required by BIPRU 7.1.7R to BIPRU 7.1.13E that is attributable to commodity risk. [Includes CEBS MKR SA COM item 7, column 8] 40 Total commodity PRR This is the sum of the Total, Option, CAD1 and Other PRRs. This will have the same value as data element 98A in FSA003. [CEBS MKR SA COM column 8 total] Foreign currency risk See BIPRU 7.5. General foreign currency risk 41 Total net long positions This is the derived net long positions. See BIPRU 7.5.10G to BIPRU 7.5.19R. [CEBS MKR SA FX items 1 to 4, column 1] FSA005 definitions Page 5

42

Total net short positions

This is the derived net short positions. See BIPRU 7.5.10G to BIPRU 7.5.19R. [CEBS MKR SA FX items 1 to 4, column 2] 43 Net gold positions See BIPRU 7.5.20R. [CEBS MKR SA FX item 5, column 1 minus 2] 44 PRR This is the PRR calculated under BIPRU 7.5.1R. [CEBS MKR SA FX items 1 to 5, column 10] 45 Option PRR for foreign currency See BIPRU 7.6. [Part of CEBS MKR SA FX item 6, column 10] 46 CAD1 PRR for foreign currency See BIPRU 7.9. [Part of CEBS MKR SA FX item 6, column 10] 47 Other PRR for foreign currency PRR arising from other non-standard transactions as required by BIPRU 7.1.7R to BIPRU 7.1.13E that is attributable to foreign currency risk. 48 Total foreign currency PRR This is the sum of the general, option, CAD1 and other PRRs. This will have the same value as data element 99A in FSA003. [CEBS MKR SA FX column 10 total] Collective investment undertaking risk See BIPRU 7.7. General CIU risk 49 Total net long positions This is the value of the net long positions. [CEBS MKR SA TDI item 4 column 1 plus CEBS MKR SA EQU item 3 column 1] 50 Total net short positions This is the value of the net short positions. [CEBS MKR SA TDI item 4 column 2 plus CEBS MKR SA EQU item 3 column 2] 51 PRR See BIPRU 7.7.5R [CEBS MKR SA TDI item 4 column 9 plus CEBS MKR SA EQU item 3 column 7]

FSA005 definitions Page 6

52 53 54

Option PRR for CIU CAD1 PRR for CIU Other PRR for CIU

See BIPRU 7.6. See BIPRU 7.9. PRR arising from other non-standard transactions as required by BIPRU 7.1.7R to BIPRU 7.1.13E that is attributable to CIU risk. 55 Total CIU PRR This is the sum of the general, option, CAD1 and other PRRs. This will have the same value as data element 100A in FSA003. [CEBS MKR SA TDI item 4 column 9 plus CEBS MKR SA EQU item 3 column 7] Other PRR 56 Any other PRR PRR arising from other non-standard transactions as required by BIPRU 7.1.7R to BIPRU 7.1.13E and that is not attributable to any of the other categories e.g. PRR arising from nonfinancial spread betting. This will have the same value as data element 101A in FSA003. VAR model risk See BIPRU 7.10. 57 Multiplier This is the multiplication factor set out in BIPRU 7.10.118R to BIPRU 7.10.126G. [CEBS MKR IM total positions column 7] 58 Previous days VaR PRR This is the VaR under BIPRU 7.10.115R. [CEBS MKR IM total positions column 2] 59 Average of previous 60 days VaR This equates to item (3) in BIPRU 7.10.117G. [CEBS MKR IM total positions column 1 divided by total positions column 7] 60 Incremental default risk charge This is the incremental default risk charge under BIPRU 7.10.116R. It also includes the specific risk surcharge under BIPRU 7.10.127G. [CEBS MKR IM total positions columns 3 and 4] 61 VaR model based PRR See BIPRU 7.10.113R to BIPRU 7.10.117G. This will have the same value as data element 102A on FSA003. [CEBS MKR IM total positions column 5] FSA005 definitions Page 7

62

Grand total PRR

This is the sum of the total interest rate PRR, the total equity PRR, the total foreign currency PRR, the total collective investment undertaking PRR, other PRR and the VaR model based PRR. This figure will have the same value as data element 93A less 94A on FSA003.

FSA005 definitions Page 8

FSA005 Market risk validations

Internal validations Data elements are referenced by row then column. Validation Data number element 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29G 30G 31G 32G 33G 34G 35G 36G 36A 36B 36C 36D 36E 36G 37G 38G 39G 40G 40A 40B 25G 3G 10G 18G = 3A + 3B + 3C + 3D + 3E + 3F = 10A + 10B + 10C + 10D + 10E + 10F = 18A + 18B + 18C + 18D + 18E + 18F [deleted replaced by validation 52] [deleted] [deleted] = (22G * 2%) + (24G * 4%) [deleted] = 21G + 25G + 26G + 27G + 28G = 30A + 30B + 30C + 30D + 30E = 31A + 31B + 31C + 31D + 31E = 32A + 32B + 32C + 32D + 32E = 33A + 33B + 33C + 33D + 33E = 34A + 34B + 34C + 34D + 34E = 35A + 35B + 35C + 35D + 35E = 36A + 36B + 36C + 36D + 36E = 32A + 33A + 34A + 35A = 32B + 33B + 34B + 35B = 32C + 33C + 34C + 35C = 32D + 33D + 34D + 35D = 32E + 33E + 34E + 35E = 32G + 33G + 34G + 35G = 37A + 37B + 37C + 37D + 37E = 38A + 38B + 38C + 38D + 38E = 39A + 39B + 39C + 39D + 39E = 40A + 40B + 40C + 40D + 40E = 36A + 37A + 38A + 39A = 36B + 37B + 38B + 39B FSA005 validations Page 1

29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52

40C 40D 40E 40G 41G 42G 43G 44G 45G 46G 47G 48G 48A 48B 48C 48D 48E 48F 48G 51G 55G 55G 62G 18G

= 36C + 37C + 38C + 39C = 36D + 37D + 38D + 39D = 36E + 37E + 38E + 39E = 36G + 37G + 38G + 39G = 41A + 41B + 41C + 41D + 41E + 41F = 42A + 42B + 42C + 42D + 42E + 42F = 43A + 43B + 43C + 43D + 43E + 43F = 44A + 44B + 44C + 44D + 44E + 44F = 45A + 45B + 45C + 45D + 45E + 45F = 46A + 46B + 46C + 46D + 46E + 46F = 47A + 47B + 47C + 47D + 47E + 47F = 48A + 48B + 48C + 48D + 48E + 48F = 44A + 45A + 46A + 47A = 44B + 45B + 46B + 47B = 44C + 45C + 46C + 47C = 44D + 45D + 46D + 47D = 44E + 45E + 46E + 47E = 44F + 45F + 46F + 47F = 44G + 45G + 46G + 47G = 51A + 51B + 51C + 51D + 51E + 51F = 55A + 55B + 55C + 55D + 55E + 55F = 51G + 52G + 53G + 54G = 18G + 29G + 40G + 48G + 55G + 56G + 61G = 3G + 10G + 11G + 12G + 13G + 14G + 15G + 16G + 17G

FSA005 validations Page 2

External validations Validation number 1 2 3 4 5 6 7 8 Data element 18G 29G 40G 48G 55G 56G 61G 62G = = = = = = = = FSA003.96A FSA003.97A FSA003.98A FSA003.99A FSA003.100A FSA003.101A FSA003.102A FSA003.93A FSA003.94A

FSA005 validations Page 3

FSA006 Market risk supplementary

This data item provides the FSA with VaR backtesting reports. It contains daily outturn data which is only reported to the FSA quarterly in arrears. This data item has similarities to CEBS COREP Tables MKR SA TDI, MKR SA EQU and IM Details1, but reflects the Rules and wording in the Handbook, omits elements which are not in our view relevant in the UK, and combines some other elements. The numbers in parenthesis and italics show the corresponding element(s) in CEBS Tables and are only provided for information purposes to identify the linkage to the CEBS data. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Daily outturn data 1A 1B Closing P&L data VaR confidence level This is the daily figure calculated under BIPRU 7.10.100R. The number reported here will remain constant throughout the period, and is determined in accordance with BIPRU 7.10.98R. [CEBS MKR IM Details column 5] 1C Holding period (days) The number reported here will remain constant throughout the period, and is determined in accordance with BIPRU 7.10.98R. [CEBS MKR IM Details column 9] 1D Business unit code This will record the codes for the major business units, typically ones the firm uses itself, that has previously been agreed with the FSA. See BIPRU 7.10.93G. 1E Currency This identifies the VaR reporting currency. See BIPRU 7.10.113R.

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FSA006 definitions Page 1

1F

Value at Risk

This is the One day VaR measure calculated in accordance with BIPRU 7.10.98R. [CEBS MKR IM Details column 12] 1G BIPRU 7.10 cleaned P&L This is the figure calculated in under BIPRU 7.10.100R. [CEBS MKR IM Details column 15] 1H 1J 1K 1L Starting P&L date Date on which VaR computed Last date VaR historic data updated Add-on VaR This is the date defined under BIPRU 7.10.100R. This is the date when the VaR is computed under BIPRU 7.10.115R. This is the last date on which this has been updated under BIPRU 7.10.34R. This is the figure calculated in accordance with BIPRU 7.10.113R. [Includes CEBS MKR IM Details column 11] 1M BIPRU 7.10 hypothetical P&L This is the figure calculated in accordance with BIPRU 7.10.112G. [CEBS MKR IM Details column 14]

FSA006 definitions Page 2

FSA006 Market risk supplementary validations

Internal validations There are no validations for this data item.

FSA006 validations Page 1

FSA007 Operational risk

This data item provides the FSA with information on the operational risk facing a firm. It is intended to reflect the underlying prudential requirements contained in BIPRU and allows monitoring against the requirements set out there. We have provided references to the underlying rules to assist in its completion. This data item is based on CEBS COREP Table OPR, OPR Details, and OPR LOSS Details1, but reflects the Rules and wording in the Handbook, and omits items which are not in our view relevant in the UK. The numbers in parenthesis and italics show the corresponding item(s) in CEBS Table OPR, OPR Details or OPR LOSS Details and are only provided for information purposes to identify the linkage to the CEBS data. Valuation Unless indicated otherwise, the valuation of data elements should follow GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Individual rows within an element are identified as 2B.1, 2B.2 etc. Definitions 1 Approach adopted (Yes/No)

For each column, enter whether your firm has adopted each approach. See BIPRU 6.2. Relevant income indicator 3 year average 2A 3A 4A 5A 6A 7A 8A 9A Corporate finance Trading and sales Retail brokerage Commercial banking Retail banking Payment and settlement Agency services Asset management

For each of the above business lines, enter the 3 year average, before the percentages are applied. See BIPRU 6.4.6R to BIPRU 6.4.9R.

www.c-ebs.org/documents/GL04_OR.xls

FSA007 definitions Page 1

Nominal amount of loans and advances 3 year average 10A Retail banking Enter the three year average of the total nominal amount of loans and advances in this business line, before applying the multiplication factors. See BIPRU 6.4.18R. 11A Commercial banking Enter the three year average of the total nominal amount of loans and advances in this business line, before applying the multiplication factors. See BIPRU 6.4.18R. 12B Capital requirements before risk transfer mechanisms and expected loss deductions This is relevant for firms with an AMA permission. See BIPRU 6.5. [CEBS OPR, column 9, item 3] 13B Expected loss captured in business practice to be excluded from capital This is relevant for firms with an AMA permission. See BIPRU 6.5.11R. [CEBS OPR, column 10, item 3] 14B Capital alleviation due to risk transfer mechanisms to be excluded from capital This is relevant for firms with an AMA permission. See BIPRU 6.5.27R to BIPRU 6.5.31R. [CEBS OPR, Column 11, item 3] 15A Capital required total TSA/ASA approach This is the operational risk capital requirement arising under BIPRU 6.4. It will agree with data element 88A on FSA003. [CEBS OPR, column 7, items 2 and 3]. 15B Capital required total AMA approach This is the operational risk capital requirement arising under BIPRU 6.5. It will agree with data element 89A on FSA003. [CEBS OPR, column 7, items 2 and 3]. Operational risk losses firms on AMA approach only This section seeks information on all additions to the loss events database occurring in the year, even if they relate to events that took place before the start of the period. 16A Gross loss amount for the whole period Enter the total amount of loss events recorded in the period. [CEBS OPR Details, column 8 total] 17A Total number of loss events Enter the total number of loss events recorded in the period. [CEBS OPR Details, column 8 total]

FSA007 definitions Page 2

18

Loss events

In this section, report individual loss events that have occurred during the reporting period which are greater than 1% of the capital resources reported in data element 15A on data item FSA003 at the previous accounting reference date (in 2008 firms should alternatively use the figure reported in data element 25A on FSA009). List each loss event on a separate line. 18A Date event added to loss database Enter the date on which the event was added to the loss database since the reporting date in ddmmyy format. 18B 18C Date of loss event Gross loss amount Enter the date of the loss event itself in ddmmyy format. Enter the gross loss amount (in 000s). [OPR LOSS Details, column 2.] 18D Certainty of loss This text field should contain your view of the certainty of the loss amount in this column, for example: amount known with certainty, provisioned amount, management estimate, other. 18E Business line Enter the business line, as set out in BIPRU 6.4.14R, in which the loss was incurred. Please use the following identifiers: CF = Corporate finance TS = Trading and sales RBr = Retail brokerage CB = Commercial banking RB = Retail banking PS = Payment and settlement AS= Agency services AM = Asset management [CEBS OPR LOSS Details, columns 9-16] 18F Event type Enter the loss event type, as set out in BIPRU 6.5.26R. Please use the following numbers to identify the loss event types: 1 = Internal fraud 2 = External fraud 3 = Employee Practices and Workplace Safety 4 = Clients, Products & Business Practices 5 = Damage to Physical Assets 6 = Business disruption and system failures 7 = Execution, Delivery & Process Management [CEBS OPR LOSS Details, column 17] 18G Commentary Enter a brief commentary to identify the event. FSA007 definitions Page 3

FSA007 Operational risk validations

Internal validations Data elements are referenced by row then column. Validation Data element number 1 2 3 4 5 15A 1B 15B 1A = [deleted replaced by validation 5] If 1A = Yes, then 15A>0, else 15A = 0 If 1B = Yes, then 15B>0 12B-13B-14B If 1A = Yes, then (2A + 3A + 4A + 5A + 6A + 7A + 8A + 9A + 10A + 11A) > 0, else (2A + 3A + 4A + 5A + 6A + 7A + 8A + 9A + 10A + 11A) = 0

External validations

Validation Data element number 1 2 15A 15B = = FSA003.88A FSA003.89A

FSA007 validations Page 1

FSA008 Large exposures

This data item captures information on large exposures, connected exposures within that, exposures by integrated groups, trading book concentration risk excesses, and also significant transactions with mixed activity holding companies and their subsidiaries. Unless indicated otherwise, the valuation of items should follow GENPRU 1.3. Valuation Unless indicated otherwise, the valuation of data elements should follow GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Individual rows within an element are identified as 2B.1, 2B.2 etc. General 1A Is this a report for a UK consolidation group under BIPRU 8 Ann 1R?

See BIPRU 8 Ann 1R. If the answer is no, the firm can move on to data element 3A. If the answer is yes, then go to data element 2. 2 FSA Firm Reference Numbers

List the FSA Firm Reference Numbers for all the authorised firms in the UK consolidation group. As this report is a joint requirement across all firms that are members of that group, this notifies us of which firms requirements are being met by this report. Firms should be listed sequentially in 2A, with the FSA Firm Reference Numbers being entered in 2B. 3A Are you a member of a UK integrated group

This is only relevant for unconsolidated or solo-consolidated reporters. The answer is either Yes or No. If the answer to 7A is Yes, one of the members of the UK integrated group is also required to submit FSA018 on behalf of all members of the UK integrated group for the reporting date. Part 1 Large exposures at the reporting date This section should contain details of all large exposures at the reporting date, as defined in BIPRU 10.5.1R.

FSA008 definitions Page 1

However, where a firm has established a UK integrated group (as defined in BIPRU 10.8), it should exclude from Part 1 any large exposures to members of a wider integrated group (as defined in BIPRU 10.9) or to members of each diverse block (BIPRU 10.9) and the residual block (BIPRU 10.8 and BIPRU 10.9) these exposures will be reported separately on FSA018 by the UK integrated group. They should obviously also be excluded from Part 2 (Connected counterparties) in these circumstances. Exposures to connected counterparties (other than members of an integrated group) should be reported here in aggregate, with a more detailed breakdown provided in Part 2. 4A Capital resources under BIPRU 10.5.3R

This will be the figure calculated by the firm at the reporting date for data element 57A within FSA003 (even if the firm is not required to submit FSA003 at that date, as in the case of a BIPRU 50K firm or a UK consolidation group that only reports FSA003 half-yearly), adjusted in line with BIPRU 10.5.5R to remove surplus provisions (data element 41A on FSA003), expected loss amounts (data element 50A on FSA003) and securitisation positions (data element 51A on FSA003). For monitoring large exposures during the quarter, firms may either re-calculate their capital resources on a regular basis or use the figure previously reported to the FSA on FSA003. However, at the reporting date, the figure reported should be the firms latest calculation of capital resources. This is equivalent to Stage N of: 4B GENPRU 2 Annex 2R for a UK bank; GENPRU 2 Annex 3R for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Capital resources under BIPRU 10.5.4R

This will be the figures reported by the firm at the reporting date for data element 15A in FSA003, adjusted in line with BIPRU 10.5.5R to remove surplus provisions (data element 41A on FSA003), expected loss amounts (data element 50A on FSA003) and securitisation positions (data element 51A on FSA 003). This is equivalent to stage T in: 5A GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R for a BIPRU investment firm with a waiver from consolidated supervision.

Exposure number

Please number each large exposure consecutively. FSA008 definitions Page 2

5B

Counterparty name

List here the names of the counterparties, groups of connected clients, and connected counterparties (as set out in BIPRU 10.3) that represent large exposures (excluding, as indicated above, by a member of a UK integrated group to members of the diverse blocks and the residual block). Details of individual counterparties comprising the connected counterparties will be shown in Part 2, although the aggregate should be shown here. Details of exposures by members of a UK integrated group to a members of a diverse block within its wider integrated group or a member of its residual block will be reported in FSA018 and should be excluded from this section. 5C Gross exposure

Report here the gross exposures calculated in accordance with BIPRU 10.2 and BIPRU 10.4. 5D % of capital resources under BIPRU 10.5.3R

This is column C as a percentage of data element 4A, and should be 10% or more. It should be entered to two decimal places, omitting the % sign. 5E Exposure after credit risk mitigation

This is the figure reported in column C after credit risk mitigation. This figure is subsequently broken down in columns F to M. 5F Amount of the exposure that is exempt

That part of the amount reported in column E that is an exempt under BIPRU 10.6 and BIPRU 10.7. 5G % of capital resources under BIPRU 10.5.3R

This is column F as a percentage of data element 4A. It should be entered to two decimal places, omitting the % sign. 5H Amount of the exposure that is not exempt and is in the non-trading book

That part of the exposure reported in column E that is not exempt and is in the non-trading book. 5J % of capital resources under BIPRU 10.5.3R

This is column H as a percentage of the capital resources under BIPRU 10.5.3R. It should be entered to two decimal places, omitting the % sign. 5K Amount of the exposure that is not exempt and is in the trading book

That part of the exposure reported in column E that is not exempt and is in the trading book. 5L % of capital resources under BIPRU 10.5.3R

This is column K as a percentage of the capital resources under BIPRU 10.5.3R. It should be entered to two decimal places, omitting the % sign.

FSA008 definitions Page 3

5M

Aggregate % of capital resources under BIPRU 10.5.3R

This is the sum of columns J and L. The total of the column should be monitored against the limit set out in BIPRU 10.5.6R. It should be entered to two decimal places, omitting the % sign. 5N Trading book concentration risk excess

This is the trading book concentration risk excess, arising under BIPRU 10.5.20R, expressed as a percentage of data element 4B. It should be entered to two decimal places, omitting the % sign. 5P Trading book concentration risk excesses that have existed for 10 business days or less This is the amount of the trading book concentration risk excesses that have existed for 10 business days or less, as a percentage of data element 3B. A total is given for this column to monitor it against BIPRU 10.5.12R. 5Q Trading book concentration risk excesses that have persisted for more than 10 business days This is the amount of the trading book concentration risk excesses that have persisted for more than 10 business days. A total for this column is given to monitor it against BIPRU 10.5.13R. 5R CNCOM

The amount of CNCOM calculated as set out in BIPRU 10.5.16G to 10.5.24G. It should agree with the amount reported in data element 103A on FSA003 for the same reporting date, except when the firm is a member of a UK integrated group when there may some additional CNCOM attributable to the firm. 5S Probability of default %

IRB firms should enter the probability of default (PD) of the exposure, or that part covered by the IRB approach. This may be reported on whatever basis is easiest for firms ie the average, the mean, or the worst case. However, firms should apply that approach consistently across all exposures, and across reporting dates for this data element. 5T Loss given default %

IRB firms should enter the loss given default (LGD) of the exposure, or that part covered by the IRB approach. This may be reported on whatever basis is easiest for firms ie the average, the mean, or the worst case. However, firms should apply that approach consistently across all exposures, and across reporting dates for this data element. 5U Expected loss %

IRB firms should enter the expected loss (EL) of the exposure, or that part covered by the IRB approach. This may be reported on whatever basis is easiest for firms ie the average, the mean, or the worst case. However, firms should apply that approach consistently across all exposures, and across reporting dates for this data element.

FSA008 definitions Page 4

5V

Credit risk capital requirement

This is the credit risk capital requirement for the exposure, calculated in accordance with GENPRU 2.1.51R. 6A Confirmation

Firms should confirm that we have been notified under BIPRU 10.5.9R of all exposures that have exceeded, or will exceed, the limits set out in BIPRU 10.5.6R or 10.5.8R. Part 2 Details of connected counterparties at the reporting date Details of connected counterparties This part sets out details of any connected counterparties reported in aggregate in Part 1, but this time showing each counterparty whose individual exposure exceeds 2.5% of the capital resources calculated under BIPRU 10.5.3R (data element 4A). As with Part 1, this figure should exclude exposures by a member of a UK integrated group to members of a wider integrated group or to members of the diverse blocks and the residual block (which are reported in FSA018). 7A Exposure number

Please number each exposure consecutively. The first exposure will always be the aggregate of those exposures that individually are less than 2.5% of capital resources (data element 4A). 7B Individual counterparty names, each individually above 2.5% of capital resources Report here the individual counterparty names that make up a group of connected counterparties (see BIPRU 10.3.9R), where each counterpartys exposure is individually 2.5% or more of capital resources (data element 4A). As with Part 1, this figure should exclude exposures by a member of a UK integrated group to members of the diverse blocks and the residual block. Data element 7B.1 (the first line of this data element) will always be the aggregate of those connected exposures that are individually under 2.5% of capital resources, where we do not require a further breakdown of individual counterparties. 7C Gross exposure

Report here the gross exposures calculated in accordance with BIPRU 10.2. 7D % of capital resources under BIPRU 10.5.3R

This is column C as a percentage of data element 4A and should be more than 2.5% (except possible in the case of 7D.1, the first line of the data element). It should be entered to two decimal places, omitting the % sign. 7E Exposure after credit risk mitigation

This is the figure reported in column D after credit risk mitigation. This figure is subsequently broken down in columns F to M.

FSA008 definitions Page 5

7F

Amount of the exposure that is exempt

That part of the amount reported in column E that is an exempt under BIPRU 10.6 and BIPRU 10.7. 7G % of capital resources under BIPRU 10.5.3R

This is column F as a percentage of data element 4A. It should be entered to two decimal places, omitting the % sign. 7H Amount of the exposure that is not exempt and is in the non-trading book

That part of the exposure reported in column E that is not exempt and is in the non-trading book. 7J % of capital resources under BIPRU 10.5.3R

This is column H as a percentage of data element 4A. It should be entered to two decimal places, omitting the % sign. 7K Amount of the exposure that is not exempt and is in the trading book

That part of the exposure reported in column E that is not exempt and is in the trading book. 7L % of capital resources under BIPRU 10.5.3R

This is column K as a percentage of data element 4A. It should be entered to two decimal places, omitting the % sign. 7M Aggregate % of capital resources under BIPRU 10.5.3R

This is the sum of columns J and L. It should be entered to two decimal places, omitting the % sign. Part 3 Trading book concentration risk excesses since the last reporting date This part provides an analysis of those trading book concentration risk excesses that have occurred since the previous reporting date. It should therefore: exclude exposures to those counterparties that, at the reporting date, give rise to a trading book concentration risk excess (and are shown in Part 1); include exposures to counterparties that do not, at the reporting date, give rise to a trading book concentration risk excess but are nevertheless shown in Part 1 as there is a large exposure at that date; and include exposures to counterparties that do not appear in Part 1 (as they did not give rise to a large exposure at the reporting date).

If a counterparty gives rise to a trading book concentration risk excess on a number of separate occasions during the quarter, it should only be reported once in this Part. The highest gross exposure should be reported. This fulfils the requirements of BIPRU 10.5.13R. 8A Exposure number

Please number each large exposure consecutively. FSA008 definitions Page 6

8B

Counterparty names

List here the names of the counterparties, groups of connected clients, and connected counterparties (as set out in BIPRU 10.3) that account for trading book concentration risk excesses that have occurred since the previous reporting date but do not exist at the current reporting date. For those firms that are member so of a UK integrated group, they should report those exposures to individual members of the diverse and residual blocks that gave rise to a trading book concentration risk excess during the period. 8C Gross exposure

Report here the gross exposures calculated in accordance with BIPRU 10.2. This should be the highest value in the period. 8D % of capital resources

This is column C as a percentage of data element 4A and should be more than 25%. It should be entered to two decimal places, omitting the % sign. 8E Exposure after credit risk mitigation techniques

This is the figure reported in column D after credit risk mitigation. 8F Non-exempt exposures in the non-trading book

This is the amount of the non-exempt exposures that were in the non-trading book. 8G Non-exempt exposures in the trading book

This is the amount of the non-exempt exposures that were in the trading book. 8H Amount of non-exempted exposures in excess of 25% of capital resources under BIPRU 10.5.4R This is the amount reported in columns F and G that was in excess of 25% of data element 4B. 8J Is it a member of a diverse block or residual block

This will only be relevant to a firm that answers Yes to data element 3A. If the firm had a trading book concentration risk excess to a member (of the diverse blocks or residual block), it should be marked with an X to show it is a member of one of these blocks. Part 4 Significant transactions with the mixed activity holding company and its subsidiaries This part provides an analysis of significant transactions (other than those resulting in large exposures) with the mixed activity holding company and its subsidiaries. A transaction is presumed to be significant if its amount exceeds 5% of the total amount of capital resources at the level of the UK consolidation group (see BIPRU 8). This section is not completed where the report is for a UK consolidation group. FSA008 definitions Page 7

9A

Exposure number

Please number each transaction consecutively. 9B Counterparty name

This is the individual counterparty name for each significant transaction (other than one resulting in a large exposure). 9C Transaction or exposure value

The amount of each significant transaction (other than one resulting in a large exposure) should be entered. 9D % of capital resources

Enter the percentage the figure reported in column C as a percentage of the total amount of capital resources at the level of the UK consolidation group (see BIPRU 8). It will use the figure reported by the UK consolidation group at the previous reporting date that coincided with submission of FSA008. So for a UK consolidation group that reports to us half yearly on FSA003 on December, the firm should use that figure of capital resources for both the March and June submissions. Each figure should be greater than 5%. It should be entered to two decimal places, omitting the % sign.

FSA008 definitions Page 8

FSA008 Large exposures validations

Internal validations Data elements are referenced by row then column. 1 2 3 4 5 6 7 8 9 10 5K 11 5F+5H+5K 12 13 14 5MT 15 16 5P 17 5PT 18 5Q 19 5QT 20 5P+5Q 21 5RT 22 7CT 23 24 7E 25 7F 26 27 7H 28 29 7K = = = = = = = 5H 5E 5F 2B.1 3A > [deleted] If 1A=Yes, then 2B.1 >1 else 2B.1 = 0 If 1A=Yes, then 3A=No [deleted replaced by validation 38] 5C 5E [deleted replaced by validation 39] 5E [deleted replaced by validation 40] 5E 5E [deleted replaced by validation 41] [deleted replaced by validation 42] 5M [deleted replaced by validation 43] 5N 5P 5N 5Q 5N 5R 7C [deleted replaced by validation 44] 7C 7E [deleted replaced by validation 45] 7E [deleted replaced by validation 46] 7E FSA008 validations Page 1

30 7F+7H+7K 31 32 33 8E 34 8F 35 8F+8G 36 8H 37 5D 38 5D 39 5G 40 5J 41 5L 42 5M 43 5N 44 7D 45 7G 46 7J 47 7L 48 7M External validations Validation number 1 2

7E [deleted replaced by validation 47] [deleted replaced by validation 48]

= = = = = = = = = = = =

8C 8E 8E 8F + 8G (4B/4) 10.00 5C/4A * 100 5F/4A * 100 5H/4A * 100 5K/4A * 100 (5H+5K)/4A * 100 (5H+5K)/4B * 100 7C/4A * 100 7F/4A * 100 7H/4A * 100 7K/4A * 100 (7H+7K)/4A * 100

Data element [deleted] 5RT If 3A = no, then (5RT = FSA003.103A), else (5RT FSA003.103A)

FSA008 validations Page 2

FSA009 Key data

This data item should be completed by all BIPRU firms. It will only be used for reporting dates from 1 January 2007. During 2007, we are making no change to existing reporting forms and, because some of the underlying rules on capital resources and capital requirements change, we will need to collect more accurate information on this data item to monitor the position. Those parts of the existing reports relating to balance sheet and profit and loss items should be largely unaffected by these changes, hence the reason we will continue to use them. The reporting dates for this data item will be the same as your existing report for capital adequacy. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the same currency as in your existing supervisory reports to the FSA, in thousands. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. General To assist firms and ourselves, please identify your firms characteristics so that the correct capital monitoring can be undertaken. 1A Is the firm a UK bank or a building society? This box should be ticked if the report is being completed by a UK bank or a building society, or a UK consolidation group that is subject to the capital rules at Stage A of BIPRU 8 Annex 2R. 2A Is the firm a full scope BIPRU investment firm? This box should be ticked it the report is being completed by either a full scope BIPRU investment firm, or a UK consolidation group that is subject to the capital rules at Stage 2 of BIPRU 8 Annex 2R. 3A Is the firm a BIPRU limited activity firm? This box should be ticked it the report is being completed by either a BIPRU limited activity firm, or a UK consolidation group that is subject to the capital rules at Stage 3 of BIPRU 8 Annex 2R. 4A Is the firm a BIPRU limited licence firm? This box should be ticked it the report is being completed by either a BIPRU limited licence firm, or a UK consolidation group that is subject to the capital rules at Stage 4 of BIPRU 8 Annex 2R.

FSA009 definitions Page 1

5A If you are a full scope BIPRU investment firm, do you meet the conditions of BIPRU TP 12.1R? This is only relevant for a full scope BIPRU investment firm and it allows a reduction in the operational risk capital requirement. 6A If you are a BIPRU limited activity firm or a BIPRU limited licence firm, do you have a waiver as set out in BIPRU 6.1.2R? This is only relevant for a BIPRU limited activity firm or a BIPRU limited licence firm. Only tick this box if you if you have a waiver as set out in BIPRU 6.1.2G that allows you to calculate an operational risk capital requirement rather than a fixed overheads requirement. 7A Are you a BIPRU 730K firm? This is only relevant if you are a BIPRU investment firm. Tick only if you meet the conditions in BIPRU 1.1.22R. 8A Are you a BIPRU 125K firm (excluding UCITS investment firms)? This is only relevant if you are a BIPRU investment firm. Tick only if you meet the conditions in BIPRU 1.1.19R, and BIPRU 1.1.21R. 9A 10A Are you a UCITS investment firm? Are you a BIPRU 50K firm? This is only relevant if you are a UCITS investment firm. This is only relevant if you are a BIPRU investment firm. Tick here if you meet the conditions set out in BIPRU 1.1.20R. 11A Do you have a waiver from consolidated supervision? This is only relevant if you are a BIPRU investment firm. Tick only if your firm has a waiver from consolidated supervision. 12A Have you notified the FSA, at least one month in advance of the date of this report, that you intend to deduct illiquid assets? This is only relevant if you are a BIPRU investment firm. See GENPRU 2.2.41R. 13A The basis of reporting Firms should identify whether the report being submitted is on an unconsolidated, soloconsolidated or consolidated basis. 14A/B For consolidated reporting, provide details of the group. This is only completed by firms that checked the consolidated box in data element 13A. This will be provided in the form of a drop-down showing both the Group Reference and associated Group Name. 15A/B For consolidated reporting provide details of all other FSA authorised firms included in the consolidated report This is only completed by firms that checked the consolidated box in data element 13A. Firms should list here all the FSA reference numbers and names of those firms, authorised by the FSA, that are included within the consolidated report.

FSA009 definitions Page 2

16A

If no, are you a member of a non-EEA sub-group at the reporting date?

This is a new reporting obligation from 1 January 2007. It should be completed on each reporting date, unless you are a monthly reporter in which case it should be completed on a quarterly cycle. Members of a non-EEA sub-group (see BIPRU 8.2.4R to BIPRU 8.2.8R) are required to provide an additional data item (FSA028) on each date that they confirm they are members of such a group. 17A What is the currency of the report. Firms should identify the currency of the data item from the selection provided. The currency must be the same as that used on your existing regulatory reports to the FSA. Acceptable currencies are Sterling, Euro, US Dollar, Canadian Dollar, Swedish Kroner, Swiss Franc and Japanese Yen. Figures should be reported in 000s. 18A Have you adopted of any of the new credit risk approaches at the reporting date? If the answer is no, firms should not put any entries in data elements 29A to 34A. If the answer is yes, firms should not put any entries in data elements 26A to 28A. 19A Total tier one capital after deductions GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to Stage F in:

It is also equivalent to data element 16A in FSA003. 20A Total tier two capital after deductions GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to stage K in:

It is also equivalent to data element 35A in FSA003. 21A Deductions from the totals of tier one and two GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; FSA009 definitions Page 3 This figure is equivalent to stage M in:

GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision.

It is also equivalent to data element 48A in FSA003. 22A Capital resources for large exposures GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This is the total tier one plus tier two capital after deductions. It is equivalent to Stage N in:

It is also equivalent to data element 57A in FSA003. 23A Total tier three capital GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to Stage Q in:

It is also equivalent to data element 58A in FSA003. 24A Deductions from total capital GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This is equivalent to Stage S in:

It is also equivalent to data element 65A in FSA003. 25A Total capital after deductions GENPRU 2.Annex 2R, for a UK bank; This figure is equivalent to Stage T in:

FSA009 definitions Page 4

GENPRU 2 Annex 2R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision.

It is also equivalent to data element 15A in FSA003. 26A Credit risk requirement under existing rules This should only be completed by firms to the extent that they have not yet adopted the approaches to credit risk set out in BIPRU 3 and BIPRU 4. 27A Market risk capital requirement under existing rules This should only be completed by firms to the extent that they have not yet adopted the approaches to credit risk set out in BIPRU 3 and BIPRU 4. 28A Other capital requirements under existing rules This should only be completed by firms that have not yet adopted one of the approaches to credit risk set out in BIPRU 3 and BIPRU 4. Enter here any other capital requirements, other than credit or market risk, under existing rules, including any secondary requirements arising under BIPRU TP 8.11 R. 29A Total credit risk capital component This will be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. It is equivalent to data element 77A in FSA003. 30A Total operational risk capital requirement This will be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. It is equivalent to data element 85A in FSA003. 31A Reduction in operational risk capital requirement under BIPRU TP 12.8R This is only relevant for a full scope BIPRU investment firm that satisfies the conditions set out in BIPRU TP 12.1R. Firms should report here the amount by which the ORCR reported in 29A is reduced as a result of the calculation in BIPRU TP 12.8R (thus 30A less this data element will give the reduced ORCR). It is equivalent to data element 90A in FSA003. 32A Counterparty risk capital component This will be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. It is equivalent to data element 91A in FSA003.

FSA009 definitions Page 5

33A

Total market risk capital requirement

This will only be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. It is equivalent to data element 93A in FSA003. 34A Concentration risk capital component This will only be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. It is equivalent to data element 103A in FSA003. 35A Fixed overheads requirement See GENPRU 2.1.53R to GENPRU 2.1.59G. It is equivalent to data element 104A in FSA003. 36A Capital requirement Report here your calculation of your capital requirement. For firms that have not adopted the new approaches to credit risk yet, the figure may well differ from that reported in your other (existing) regulatory returns. Although this may be expected, firms should be able to explain how the differences from that have arisen. For firms that have adopted the new approaches to credit risk and have answered Yes to data element 18A, it is equivalent to data element 70A in FSA003. 37A Base capital resources requirement Enter here the firms base capital resources requirement, converted into the currency of reporting. See GENPRU 2.1.41R to GENPRU 2.1.43G, GENPRU 2.1.47R and GENPRU 2.1.48R. UK banks authorised before 1993 should also see GENPRU 2.1.60R to GENPRU 2.1.62R. If the report is for a UK consolidation group, this should be zero see BIPRU 8.3.3G. It is equivalent to data element 69A in FSA003. 38A Capital resources requirement arising from the operation of capital floors This will only be completed by firms that have adopted the IRB approach to credit risk or AMA for operational risk. See BIPRU TP 2. When reporting, the scaling factors set out in BIPRU TP 2.8R should have been applied. It is equivalent to data element 105A in FSA003. 39A Surplus/Deficit of own funds This is data element 25A less data element 36A. Although not reported here, firms that have adopted the IRB approach should also be monitoring data element 38A in relation to 25A. 40A Individual capital guidance total capital resources Enter the amount of total capital resources that the FSA considers the firm should hold in order to meet GENPRU 1.2.26R (adequate financial resources). This amount can be calculated from information provided in the most recent letter the firm has received from the FSA setting out Individual Capital Guidance (as described in BIPRU 2.2.12G). The amount FSA009 definitions Page 6

should be calculated as at the same reporting date as all other information included in this data item. Where this data item is being used to report for a UK consolidation group, you should enter the total group capital resources indicated in the ICG letter which will typically be based on the group capital resources requirement (data element 35A) see BIPRU 2.2.19G. For the purposes of giving individual capital guidance, the FSA distinguishes between capital resources which can be used to meet all risks (general purpose capital, ie stage N in GENPRU 2 Annexes 2R to 6R, as appropriate) and capital resources which can only be used to meet certain risks, for instance trading book risks, (limited purpose capital). Total capital resources after deductions are as defined in GENPRU 2.2.12R and is stage T in GENPRU 2 Annexes 2R to 6R as appropriate. The amount of total capital resources should be shown in data element 25A. See BIPRU 2.2.16G. For firms (UK banks and building societies) that previously had an Individual Capital Ratio (ICR) or Threshold Ratio (TR) set, the data item should be completed as follows. For those firms that are not yet on the new approaches to credit risk (i.e. have responded no to data item 18A), the figure reported should be the banking book risk weighted assets multiplied by the banking book ICR or TR plus, if appropriate, the total trading book notional risk weighted assets multiplied by the trading book ICR or TR. If the firm has adopted the new approaches to credit risk and responded yes to data item 18A, then the figure entered here should be calculated in accordance with the letter sent to firms late last year, unless the FSA has subsequently set an ICG. This data element should be used where an ICG letter provides guidance on the amount of total capital or is silent on the nature of the capital which can be used to meet the obligation in GENPRU 1.2.26R. If no ICG has been set, firms should enter 0 here. 41A Individual capital guidance general purpose capital Enter the amount of general purpose capital that the FSA considers the firm should hold in order to meet GENPRU 1.2.26R (adequate financial resources). The amount should be calculated on the same basis set out for data element 25A, but refers only to general purpose capital rather then to total capital. If the firms ICG letter does not provide guidance on the amount of general capital (or limited purpose capital) that the firm should hold or no ICG has been set for the firm, it should enter 0 here. 42A Surplus/(deficit) total capital over ICG This is the amount in data element 25A (total capital after deductions) less data element 40A. However, if no ICG has been set and data element 40A is 0, this should also be 0. 43A Surplus/(deficit) general purpose capital over ICG This is the amounts in data element 22A less data element 41A. However, if no ICG has been set and data element 41A is 0, this should also be 0. Memorandum item 44A Value of portfolio under management This is only relevant for a UCITS investment firm. Enter the value of the portfolio under management at the reporting date.

FSA009 definitions Page 7

FSA009 Key data validations

Internal validations Data elements are referenced by row then column. Validation number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 Data element 1A 2A 3A 4A 5A 6A 7A 8A 9A 10A 11A 22A 25A 29A 30A 31A 32A 33A = = If (2A+3A+4A)=yes, then no, else yes If (1A+3A+4A)=yes, then no, else yes If (1A+2A+4A)=yes, then no, else yes If (1A+2A+3A)=yes, then no, else yes If 2A = no, then no If (3A+4A) = no, then no If (1A+8A+9A+10A) = yes, then no If (1A+7A+9A+10A) = yes, then no If (1A+7A+8A+10A) = yes, then no If (1A+7A+8A+9A) = yes, then no If 1A = yes, then no 19A + 20A - 21A 22A + 23A - 24A If 18A = yes, then 0, else 0 If 18A = yes, then 0, else 0 30A If 18A = yes, then 0, else 0 If 18A = yes, then 0, else 0 FSA009 validations Page 1

19 20 21 22 23 24

34A 35A 38A 42A 43A 44A =

If 18A = yes, then 0, else 0 If 1A = yes, then 0, else 0 25A 36A If 40A = 0, then 0, else 25A - 40A If 41A = 0, then 0, else 22A 41A If 9A = Yes, then 0, else 0

FSA009 validations Page 2

FSA010 Liquidity Mismatch

This data item provides details of the liquidity mismatch positions for banks which are subject to IPRU(BANK) Chapter LM. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Completion and submission to the FSA Firms may choose whether they report on a trade date or settlement date basis. However, the firm should report consistently on one basis both across the return and between reporting periods. General Cash flow approach 1 The policy aim is to ensure that firms hold sufficient liquid assets to meet their obligations as they fall due and the FSA agrees mismatch guidelines to help secure the policy objective. The data item is there to monitor firms compliance with their guidelines. It does this by including a maturity analysis of known and/or potential cash flows out to six months. Marketable assets with a maturity greater than 1 month should generally be shown separately and not included in the cash flow ladder (but see paragraph 36 below). Data elements reported on a cash flow basis should include both interest and principal amounts, together with any other income relating to them. Thus cash flows (eg interest payments on a loan) arising from items (however reported) should be entered in the relevant cash flow timebands (ie those which the firm reports) when they fall due. Part 2 of this data item is divided into sections asking for details of Retail and Wholesale inflows and outflows. The exact division between the two sections is a matter for individual firms to decide and include within their liquidity policy statement. Where the amounts of cash flows are not material in relation to the total cash flows, the firm may agree with their supervisor that they need not be reported. The firm should agree in advance with their supervisor which flows are not considered FSA010 definitions Page 1

2 3

4 5

material for the purposes of liquidity reporting. Any such arrangements should be included within the firms liquidity policy statement, particularly for the purposes of reports commissioned under Section 166 of the Financial Services and Markets Act 2000. Contractual vs Behavioural approach to liquidity position measurement: Parts 2 and 3 8 For supervisory monitoring, the FSA will normally wish to assess a firms liquidity position on a worst-case basis. Therefore, in Part 2 of this return (Contractual basis), cash inflows should be assumed to occur at their latest contractual maturity, while cash outflows should be assumed to occur at their earliest contractual maturity. The contractual maturities pertaining to some assets and liabilities do not bear close relation to their actual behavioural characteristics. Examples might be overdrafts and credit card receivables. For this reason, for some limited categories of inflow and outflow, it is considered appropriate for firms to report data on one of two bases. The basis of reporting should be agreed in advance with the FSA. First, the contractual basis, under which it will generally be assumed that items behave in accordance with their contractual terms; second, with certain behavioural assumptions factored into the calculations. In certain circumstances, the FSA may require a firm to report behavioural adjustments, particularly in respect of overdrafts (see 19A, 19B and 19G and 23A to 36G). In instances where firms apply for behavioural treatments, the FSA will expect such applications to be properly supported by empirical data running over an appropriate period of time. Where assets or other items giving rise to cash flows are non-performing, poorly performing or there is reasonable doubt about the certainty of receipt of inflows of funds pertaining to them, cash flows arising from them should not be included as receivable in the timeband columns. Rather the items should be reported in the overdue column. Non-performing or poorly performing assets are described as assets where on any reporting date, the asset or part of it, has passed the due date for repayment by fourteen days or more (or, in the case of lending under unconditional ECGD bank guarantee, ie Buyer Credit and the Supplier Credit Financing Facility, by thirty days or more). Assets, where the firm does not consider there is reasonable doubt over the certainty of receipt of inflows, but which have passed the due date by fourteen days or less (or less than thirty days for lending under unconditional ECGD bank guarantee, ie Buyer Credit and the Supplier Credit Financing Facility), should be entered as next day. Unless the whole of the loan or asset has been formally declared to be in default within the terms of the contract, only that part of a loan/interest or other asset actually overdue should be reported in the overdue column on a contractual basis. If the whole of the loan or asset has been formally declared to be in default within the terms of the contract, the firm should exclude any unmatured instalments of a loan which is partially in arrears. The firm should also report the amount of their debt portfolio which is in arrears in data element 62A of the memo items to Part 2. FSA010 definitions Page 2

10

Arrears and overdue 11

12

13

14

Where an asset or cash flow previously reported according to the treatment in paragraphs 12 and 13 is contractually rescheduled according to a written agreement, firms should cease to report these items as overdue and report them according to the new agreed dates for repayment. However, certain firms work on a recency basis, ie the customer is not deemed to be in arrears if repayments are still being met, even if one or more payments have been missed. In this case, they may report the debt accordingly on the maturity ladder, ie reporting the number of payments at their prescribed intervals with an extension on the maturity of the loan to account for the missed payments. Such treatment should however be regarded as an exception and firms should contact their supervisor before adopting this method of reporting, which should be shown in the behavioural adjustments section of the data item (Part 3). Data elements should be reported net of specific/individual provisions. General/collective provisions should not be recorded on this return. Unless otherwise stated in the reporting instructions, all references to maturity for the purpose of this return refer to residual maturity. Cash inflow and outflow items and assets and liabilities should be classified according to their remaining maturity. Cash flows such as receipts of interest on performing loans or payments of interest on deposits should be recorded in the timeband in which they will occur. Deposits placed with the firm should - as appropriate - be reported either as outflows occurring on the earliest possible repayment date, or as liabilities maturing at the earliest possible repayment date. In this context, the earliest repayment date means the first rollover date or the shortest period of notice required to withdraw the funds or to exercise a break clause, where applicable. Loans made by the firm should - as appropriate - be entered as inflows occurring on the latest possible repayment date or as liabilities maturing at the latest possible repayment date. Purely technical break facilities should be disregarded for fixed term loans. Where the firm has loans outstanding at the reporting date under revolving credit lines and has not received notification that they will be redrawn on maturity, the intermediate date should be taken as the maturity date. Where a firm holds a security where the issuer has the option to repay over a range of dates, the last repayment date should be taken as the date of repayment, unless notice has been given of redemption at an earlier date. Where the firm has issued such a security the first repayment date should be taken as the date of repayment, unless notice has been given of redemption at a later date. The treatment of spot foreign exchange deals will depend upon whether the firm reports on a trade or settlement date basis. Those reporting on a trade date basis should only include the effect of any transactions which take place on the reporting date, whereas those reporting according to the settlement date may need to report deals from previous days which have yet to settle. This should not affect a firms decision about the basis on which it should report the data item. As long as the data FSA010 definitions Page 3

15

Provisions 16

Residual Maturity 17 18

19

20

21

22

element is reported consistently on one basis and between quarters, it will not have any impact on a firms compliance with its mismatch guidelines. 23 Where a firm has entered into a forward deal where it is fully committed (eg a loan/deposit with a start date of two days forward and spot foreign exchange trade) and the cash flows will take place within the sight to 8-day time band, it should be reported on the return as such. However, where the firm intends to enter into an agreement in two days time but has not yet committed itself, this should not be reported as this return is intended to be a snapshot at the end of the quarter. The timeband next day comprises cash flows or asset items due, available or maturing on the next business day after the reporting date. Cash flows arising or assets/liabilities maturing on a non-business day should be reported as taking place on the following business day. Funds callable at one days notice should be entered as two-day maturity unless notice has been received or given on the reporting date. Funds callable at seven days notice should be entered in the 8 days and under (excluding next day) maturity band, even if not called. Where the period to remaining maturity is to be entered in months, it should be calculated on a calendar month basis starting from the reporting date. The following example sets out in which timeband cash flows and assets/liabilities due, available and maturing on the reported dates stated will be reported. All dates are inclusive. Reporting date Demand (inc. next day) covers: 8 days and under covers: over 8 days 1 month covers: over 1 month 3 months covers: over 3 months - 6 months covers: over 6 months - 1 year covers: 28/29 February 31 May 1 March/next business day Up to 8 March* 9 - 31 March 1 June/next business day Up to 8 June* 31 August 1 September/ next business day Up to 8 September* 9 - 30 September 1 October - 30 November 30 November 1 December/next business day Up to 8 December* 9 - 31 December

24 25 26 27 28 29

9 30 June

1 April - 31 May

1 July 31 August

1 January 28/29 February

1 June - 31 August

1 September 30 November

1 December 1 March - 31 28/29 February May

1 September - 1 December 28/29 February 31 May

1 March - 31 August

1 June - 30 November

FSA010 definitions Page 4

* but excluding next day Netting of debts and claims 30 All claims and liabilities should be reported gross. Firms should not net (or offset) claims on counterparties or groups of counterparties against debts owed to those counterparties or groups of counterparties, even where a legal right of set off exists. Where the maturity of the claims and debts falls within the same timeband, the claims and debts will automatically offset each other on the return in the calculation of the mismatch. Firms should report long positions in marketable assets on Part 1. Long positions in non-marketable items should be entered in Part 2 as inflows. Short positions should be reported on Part 2. Short positions arising from either forward sales/purchases or repos have their own designated lines on Part 2, elements 47B-47G and 51B-51G. An outflow relating to these types of short position should be reported in the timeband corresponding to the maturity of the contract. In the case of short positions arising from anything other than forward sales/purchases or repos, eg short-selling a bond, the outflow should be reported in Part 2 in the line corresponding to the expected counterparty eg 44B-44G (interbank), 45B-45G (corporate) or 46B-46G (government). If the counterparty is not known, the outflow should be reported by default in 44B-44G (interbank). These types of short positions should be reported as outflows in the demand timeband. In the case of marketable assets, firms should enter the marked-to-market value of the asset as an outflow in the demand timeband. Nonmarketable assets should be reported in the demand timebands at their redemption value or, where this is unavailable or inappropriate (eg in the case of equities), the book value should be reported. For example, assume two months before the reporting date, a firm made a loan to a customer of 1mn for 6 months and that customer placed funds with the firm of 500,000 for three months. The firm should record an inflow of 1mn in the Over 3 months - 6 months column under the appropriate category and an outflow of 500,000 in the Over 8 days - 1 month column under the appropriate category. In addition, any interim cash flows such as interest payments and receipts should be recorded in the appropriate timebands. In reporting liquidity positions, firms should normally apply worst case assumptions about the timing of inflows and outflows of funds. However, some categories of asset are clearly marketable and could be readily converted into cash where necessary. These assets are reported in Part 1, Marketable Assets. Firms should enter the full value of the marketable asset concerned in columns A and B according to the currency of denomination. The following two columns then set out the discount which will need to be applied to the full value of the asset. Discounts are applied to reflect that a firm may realise less than the market price quoted for an asset where the firm is seeking to realise assets quickly because of liquidity problems pertaining either to itself, or to general market conditions, or both. The firm should then allocate the discounted value of the assets to either of columns C or D. The timeband into which a marketable asset may be brought is determined by the length of the settlement period for the instrument in question. This reflects the length FSA010 definitions Page 5

31

32

Marketable securities 33

34

of time it would take for a firm to receive the proceeds of any sale. For example, equities quoted in the FTSE 100 index may be reported as funds receivable in the sight - eight days category because settlement for equities sold today occurs in less than eight days. Where the settlement period for items is more than eight days, or where there are other factors which mean that funds would not be received within the sight to eight days category were the asset sold or repod today, then the funds should be recorded as receivable in the over eight days to one month column of Part 1. Where settlement or other delays mean that funds would not be received within one month, then the items should be recorded in Part 2 of this return. 35 Marketable assets maturing at exactly one month should be reported in Part 1 of the return. Firms however, may include the full value of the asset in the one month timeband and not to discount at all during the life of the asset. Where assets have a residual maturity of less than one month, the FSA recognises that it is not relevant to automatically apply a discount to such assets. In general, these assets should be entered as cash flows in the relevant timeband in Part 2 of the form (not Part 1) and no discount will be applied. The FSA acknowledges, however, that certain assets may be marketable right up to the day before they mature, and the agreement of the FSA should be sought before such assets are included in Part 1. Assets which do not meet the criteria in paragraph 38 below, or which cannot be fitted into the tables below, are non-marketable assets for the purposes of this return and should be reported in Part 2 of the form according to their residual maturity. This covers:
(a) (b) (c)

36

37

Non-investment grade debt instruments (as rated by a recognised credit agency) issued by a Zone B issuer; Non-investment grade debt instruments (as rated by a recognised credit agency) issued by a non-government Zone A issuer; Commercial paper and certificates of deposit that do not meet the definition of marketable assets as set out in paragraph 38 below and Chapter LM (Mismatch liquidity), Section 5.1.3, of IPRU (BANK). prices are regularly quoted for the item by a range of counterparties; the item is regularly traded; the item may be sold (or repod) either on an exchange or in a deep and liquid market, for payment in cash; and settlement is according to a prescribed timetable rather than a negotiated timetable.

38

Marketable assets need to fulfil all the following criteria:

(a) (b) (c) (d)

39 40

To avoid double counting, cash flows (of principal or interest) arising from holdings of marketable assets should not be included in Part 2 of this return. Where Brady bonds have been issued by Zone A governments, these securities should be reported as zone A government debt under data elements 2A-4B rather than as Brady bonds in elements 14A or 14B. The value included at demand-eight days or demand-one month will normally be a discount to the marked-to-market value of the asset (taken from the bid price) at the reporting date. The range of discounts is set out below. FSA010 definitions Page 6

41

(i) Zone A items issued in zone A currencies Asset Central government and central government guaranteed marketable securities, including Treasury bills, eligible local authority paper and eligible bank bills with 0 - 12 months residual maturity. Also Brady Bonds issued by Zone A governments of similar maturity. Other central government, central government guaranteed and local authority marketable debt with over 12 months - 5 years residual maturity or issued at variable rates with over 12 months residual maturity. Also Brady Bonds issued by Zone A governments of similar maturity. Other central government, central government guaranteed and local authority marketable debt with over five years residual maturity. Also Brady Bonds issued by Zone A governments of similar maturity. Non-government debt securities which are either issued by a Zone A credit firm or an investment firm subject to a CAD equivalent regime or which are classified investment grade by a relevant credit ratings agency (see paragraph 42) and which have 0 - 6 months residual maturity. Non-government debt securities which are issued by a Zone A credit firm or an investment firm subject to a CAD equivalent regime or which are classified investment grade by a relevant credit ratings agency (see paragraph 42) and which have over 6 months - 5 years residual maturity. Non-government debt securities which are issued by a Zone A credit firm or an investment firm subject to a CAD equivalent regime or which are classified investment grade by a relevant credit ratings agency (see paragraph 42) and which have over 5 years residual maturity. (ii) Zone B items (irrespective of currency) Asset Central government and central government guaranteed marketable securities, including Treasury bills, with 0 - 12 months residual maturity which are classified investment grade by a relevant credit ratings agency (see paragraph 42). Other central government and central government guaranteed marketable debt with over 12 months - 5 years residual maturity, or at variable rates, which is classified investment grade by a relevant credit ratings agency (see paragraph 42). Discount factor 20% Discount factor 0% (20% if denominated in a Zone B currency)

5% (25% if denominated in a Zone B currency)

10% (30% if denominated in a Zone B currency) 5% (25% if denominated in a Zone B currency)

10% (30% if denominated in a Zone B currency)

15% (35% if denominated in a Zone B currency)

30%

FSA010 definitions Page 7

Other central government and central government guaranteed marketable debt with over five years residual maturity which is classified investment grade by a relevant credit ratings agency (see paragraph 42). Non-government debt securities which are classified investment grade by a relevant credit ratings agency (see paragraph 42) and which have 0 - 6 months residual maturity. Non-government debt securities which are classified investment grade by a relevant credit ratings agency (see paragraph 42) and which have over 6 months - 5 years residual maturity. Non-government debt securities which are classified investment grade by a relevant credit ratings agency (see paragraph 42) and which have over 5 years residual maturity. (iii) Brady Bonds

40%

30%

40%

50%

Brady Bonds (other than those issued by Zone A governments)

20% (40% if denominated in a Zone B currency)

(iv) Equities Equities which are listed on a recognised stock index (see paragraph 43). 20% (40% if recognised stock index in a Zone B country)

(v) Other marketable assets Other marketable assets (usually Zone A) 42 A relevant credit ratings agency means an eligible ECAI. (a) 43 An eligible ECAI is defined in the glossary of defined terms used in the Handbook. A qualifying equity index is defined in the glossary of defined items used in the Handbook. 5%

A recognised stock index means a qualifying equity index. (a)

Collateral/assets pledged 44 Where a firm has pledged assets as collateral (ie where those assets remain on the firms balance sheet but have been charged as collateral), it should no longer count them either as being available for sale as discounted marketable assets (in Part 1 of the form), or at their residual maturity in the timebands (in Part 2 of the form) for the period until they are again available for immediate sale. However, where a firm FSA010 definitions Page 8

receives coupon or interest payments arising from pledged assets, it may record those cash flows as receivables in the timeband according to their receipt. 45 Where a firm has collateral pledged to it, or does not have full legal title to collateral, it should not count the assets that make up the collateral as available for sale as marketable assets. Only where full legal title to the assets received as collateral has passed to the firm, and the assets are available for immediate resale, may that firm treat them as marketable assets. Where a firm has received assets as collateral but they are not beneficially owned nor available for sale by the firm immediately (for example, unless there is an event of default by the counterparty), they should not be reported as forming part of the firms stock of marketable assets. For forward sales and purchases, when the firm sells forward an asset on Part 1 of the return, that particular asset may continue to be reported in Part 1 of the form until the date of the forward sale, when the asset leaves the firms ownership. The inflow of the cash and the outflow of the asset should still be reported in Part 2 of the return at the residual maturity of the deal. This treatment is the same as for repos where the asset ceases to appear on Part 1 from the start of the repo (paragraphs 54-58 below). Swaps, FRAs and futures should be reported according to the cash flows they entail. Fixed legs of swaps should be recorded as the amount of the known cash flow; floating legs of swaps, FRAs and futures will be recorded according to the cash flow implied by their market value at the reporting date. Option inflows and outflows are reported as memo items in data elements 55A and 56A in Part 2 of the return. Firms may use one of two methods (see the instructions for data elements 55A and 56A). Whichever method is adopted, it should be specified in the firms liquidity policy statement. Margin payments on exchange traded options should be reported according to the treatment outlined in paragraph 52; amounts relating to the principal on exchange traded options should be reported in the same way as other option inflows and outflows. Warrants should be reported according to the treatment for options outlined in the previous paragraph. Convertible debt securities should be treated as equities where; i) the first date at which conversion may take place is less than 3 months ahead, or the next such date (where the first has passed) is less than a year ahead; and ii) the convertible debt security is trading at a premium of less than 10%, where the premium is defined as the current mark-to-market value of the convertible debt security less the mark-to-market value of the underlying equity, expressed as a percentage of the mark-to-market value of the underlying equity. Convertible debt securities other than those defined above may be treated as equity or debt securities. Margin 52 Since variation margin payments on exchange traded futures take place every day, no amount should be recorded on the form for these payments. Held options should be reported in the memo items for options (data elements 55A and 56A). For other futures, firms should enter the mark-to-market value of the future in the appropriate FSA010 definitions Page 9

46

Off balance sheet cash flows 47

48

49

50 51

band. Where there is no exchange of principal, the firm should only report the flows in the timebands which it reports on a cash flow basis. However, should the firm hold an additional amount at the clearing house to cover variation margin, this should be entered as a demand asset on Part 2 of the form under Other inflows. The amount of initial margin held by the firm at a clearing house should be entered in the Corporate data element 26A-26G in the relevant timeband according to the residual maturity of the longest delivery date on the account. 53 For deposits with brokers, where the broker is acting as an intermediary, the same treatment should be applied to the deposits as that applied to variation and initial margin posted with clearing houses. Where firms cannot distinguish between variation and initial margin, the amount should be entered at the furthest maturity of all contracts on the exchange. The treatment of repos, reverse repos, stock lending and stock borrowing is essentially analogous to that of forward sales and purchases and is described in Appendix 1 to these instructions. Stock lending and borrowing is treated as being analogous to repo and reverse repo where ownership of the items borrowed and loaned is transferred under the transaction; the item borrowed is then available for sale immediately by the borrowing firm. The following treatment should therefore be applied:
(a) (b)

Repos and reverse repos 54

The borrowed item should be reported in Part 1 of the form; the loaned item should cease to be reported in Part 1 of the form. Report the discounted value of the loaned item as an inflow; report the discounted value of the borrowed item as an outflow in the Repo/Reverse Repo line at the maturity of the transaction where both are marketable assets. Should either asset be classed as non-marketable, the relevant adjustments should be made to the non-marketable assets line in Part 2 of the form.

(c)

55 56

It has been assumed throughout this definition that the cash leg of the transaction is effected through Nostro accounts. Throughout this section of the General Notes, the term discounted value of the security will refer to the value of the security once the supervisory discount has been applied to the market value of the asset. During the lifetime of a repo, the discounted value of the asset should be reported in data elements 28A-28G according to the timeband corresponding to the maturity of the repo. Assets repod out will re-appear in Part 1 of the form once the asset has been received back by the firm. Reappearance in Part 1 therefore occurs at the settlement date of the asset, which may not necessarily be the next working day. For reverse repos, the discounted value of the asset received should only be reported in Part 1 from the first working day after the start of the reversed repo. The asset should be removed from the Form LR on the day of the maturity of the reverse repo not the first working day after the maturity of the reverse repo. Where a firm has undertaken an (overnight) repo/stock lending in return for unknown collateral, it should report as though non-government debt of over 5 years residual maturity has been received. Only where the quality of the collateral received is FSA010 definitions Page 10

57

58

Repo against DBV 59

constrained and the firm can evidence the constraint should a more favourable treatment be adopted. Swaps and FRAs 60 Firms should report all projected flows associated with a swap (including any bullet payments) during the periods where they report on a cash flow basis. Interest amounts on swaps should only be reported in the cash flow section. With currency swaps, where an exchange of principal is effected at the start or maturity of the swap, the two amounts should be treated as a forward foreign exchange contract and reported in both the cash flow and maturity analysis sections of the form, in either data elements 32A-32G or data elements 50B-50G. For interest rate swaps, eg a 5-year fixed rate against a 3 month LIBOR swap, firms should report the known amount of the fixed leg of the cash flow out to the last cash flow timeband (initially this will be the Over 8 days to 1 month period, but by the fourth quarter of 2001, this will be the Over 3 months to 6 months timeband). The floating leg should be reported out to the same timeband according to the cash flow implied by yields prevailing at the reporting date (or alternatively a forward LIBOR rate). Both legs should be reported in data elements 31A-31G or 49B-49G. For fixed legs, the known amount of the fixed leg should be entered. For floating legs, the amount of the cash flow to be received should be derived from the swaps present value at yields prevailing at the reporting date and entered as an inflow in the relevant timeband. Where the floating leg has been agreed in advance for a specified period, firms should report the cashflow according to this rate. Cash flows arising from FRAs should be reported in the cash flow section. The present marked-to-market value of the FRA, or the settlement amount post fixing, should be recorded in the time period based on the actual settlement date of the FRA, ie when the firm makes a payment or receives funds.

61

62

63

64

FSA010 definitions Page 11

REPORTING INSTRUCTIONS Part 1: Marketable Assets This section is used for reporting holdings of marketable assets which are in the firms ownership and available for sale immediately at the reporting date. Assets should be reported at their mark-to-market value (bid price) at the reporting date. Where the firms system does not operate on this basis, they may follow their own valuation practice, eg mid market or bid/offer prices. Firms should always report the dirty price ie including accrued interest. Assets pledged as collateral, or assets not otherwise available for immediate resale, should not be reported in Part 1 as marketable assets. Where a firm has pledged assets as collateral in a transaction and they are no longer available for sale by the firm, they should cease to be reported in the marketable assets section (Part 1) of this form for the period until they are again available immediately for sale. Interest received on these pledged assets, however, may be reported in Parts 2 and 3 of the data item as receivable by the firm in the appropriate line as cash inflows in the period in which they occur. For the treatment of repo/reverse repo and stock borrowing/lending, see the General Notes (paragraphs 54 to 59) to this data item. Where assets, which would otherwise be eligible to be included in Part 1 of this data item, mature within one month, they should generally be reported in Part 2 under Non marketable capital items and debt instruments maturing within 1 month (23A-23G) as an inflow/asset in the timeband corresponding to the residual maturity of the asset. Items should then be reported at full marked-to-market value, with no discount applied. The FSA recognises, however, that certain assets might be marketable up to the day they mature. It may agree with firms that it is appropriate for them to include identifiable assets maturing within one month on Part 1 until maturity. Discount factors To reflect the risk of price variations, a range of discount factors is applied to the marked-tomarket values of assets brought forward in maturity into Part 1 of this form. The range of discount factors is listed in the General Notes (paragraph 41). Definitions 1C Cash held This comprises holdings of notes and coin. 2A-2D Central government/central government guaranteed, including Treasury bills, eligible Local Authority paper and eligible bank bills with a residual maturity of up to 1 year Include: Short term central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank issued by either HM Government/another UK issuer or by another Zone A Central Government/ another Zone A issuer; Treasury bills; Bank of England euro bills; FSA010 definitions Page 12

Brady bonds issued by Zone A governments.

Both fixed and variable rate securities should be reported. Only record those securities currently in the firms ownership (including where these are held in a clearing system such as Euroclear). 3A-4D Central government/central government guaranteed and Local Authority marketable debt between 1 year and under 5 years / of 5 years and over Include central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank issued by HM Government / another UK issuer or by another Zone A Central Government / another Zone A issuer, as well as Brady bonds issued by a Zone A government. Only record those securities currently in the firms ownership (including where these are held in a clearing system such as Euroclear). 5A-7D years Non-government of up to 6 months / between 6 months and 5 years / over 5

Non-government debt securities covers those falling within the definition of qualifying debt security. A qualifying debt security is defined in the glossary of defined terms used in the Handbook. Only those securities in the firms ownership, which the firm may freely dispose of at any time with no restrictions (including where these are held in a clearing system such as Euroclear), should be recorded. Those assets pledged to another firm or otherwise encumbered should not be included. 8A-8D Central government/central government guaranteed of up to 1 year Short term central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank issued by a Zone B Central Government/ another Zone B issuer. Also include Treasury bills, eligible local authority paper and eligible bank bills. Only those securities currently in the firms ownership (including those which are held in a clearing system such as Euroclear) should be recorded. Securities should only be included in this section if they are classified investment grade by an eligible ECAI (see paragraph 42 above). 9A-10D Central government/Central government guaranteed of between 1 year and under 5 years / over 5 years Central government (including central government guaranteed) paper and paper eligible for discount at the Central Bank issued by a Zone B Central Government/ another Zone B issuer. Include only those securities issued by, or fully guaranteed by, Zone B central governments and central banks with a residual maturity of over 1 year. Only those securities currently in the firms ownership (including those held in a clearing system such as Euroclear) should be recorded. Securities should only be included in this section if they are classified investment grade by an eligible ECAI (see paragraph 42 above). 11A-13D Eligible non-government of up to 6 months / between 6 months and 5 years / over 5 years Non-government debt securities issued, guaranteed, endorsed or accepted by an entity in a Zone B country and are investment grade. Also include those securities issued, or guaranteed by, an investment firm that is subject to the Capital Adequacy Directive or a recognised third country investment firm. Only those securities in the firms ownership should be recorded (including where these are held in a clearing system such as Euroclear). FSA010 definitions Page 13

(a) A recognised third country investment firm is defined in the glossary of defined terms used in the Handbook. 14A-14D Brady bonds Brady bonds currently in the firms ownership (including those held in a clearing system such as Euroclear). Do not include Brady bonds issued by Zone A governments here. These should be discounted and reported as Zone A government debt in lines 2A-2D, 3A-3D or 4A-4D. 15A-15D Highly liquid equities and equity indices Equities that are eligible for a specific risk weight of 2% or less under the FSAs Implementation of the Capital Adequacy Directive and the amendment to the Basel Accord for Market Risks and which are currently in the firms possession. 126A, C and D Other marketable assets (usually Zone A) Include here qualifying money market funds. Part 2: Contractual Basis: Residual Maturity INFLOWS Where items fall within a timeband which is reported on a cash flow basis, firms should include any interest payments or other cash flows associated with the inflow or outflow. Where the item falls within the maturity analysis of assets and liabilities, the firm should only include any of the associated interest or other payments/receipts that fall due within the cash flow reporting period. Thus, where cash flows eg interest payments take place during the cash flow timebands, they should be reported on the return regardless of the residual maturity of the instrument. Hence, if a firm has granted a personal loan with a residual maturity of 1 year, it should report, in data element 18A-18G, those cash flows arising during the first six months. Where a firm has been provided with a committed facility and has notified the provider of a specific draw down date, the amount of the facility which will be drawn down on that date should be included in 23A-30G. Any part of the committed facilities for which notification of draw down has not been given should be reported in data element 57A. 17A-17G Mortgages This covers any repayments of loans to individuals secured by mortgage on residential properties (both freehold and leasehold) which are or will be occupied by the borrower, or which are rented. Report mortgage loans to housing associations registered with the Housing Corporation, Scottish Homes and Tai Cymru (Housing for Wales) on housing association residential property which is rented. 18A-18G Personal loans Overdrafts This covers repayments of any personal loans granted by the firm to retail customers. 19A, 19B, 19G Repayments of any overdrafts granted, including any interest, where appropriate. Note that the FSA may require firms to complete Part 3 of FSA010 (ie apply a behavioural adjustment) for retail overdrafts. Wholesale overdrafts should not be included here but should be reported in 30A-30G. FSA010 definitions Page 14

20A-20G

Credit card inflows

Report the minimum repayment required by the firm of debt arising from credit cards issued by the firm. Subsequent repayments should be reported according to the minimum percentage repayment required. 21A-21G Repayment of advances Any other repayments of loans associated with retail banking business that have not already been included in the above. 22A-22G Other retail inflows Any other retail associated inflows that have not already been included in the above, such as fees and commissions. WHOLESALE Behavioural adjustments to these items should be reported in Part 3. 23A-23G Non-marketable securities and debt instruments, and marketable assets maturing within 1 month Include here any securities which the firm holds or will receive, but which it cannot classify as marketable. A firm should report non-marketable assets according to the redemption value of the asset or alternatively, where the redemption value is unavailable or not appropriate (eg in the case of equities), the book value. This reflects the potential inflow of cash when the asset matures. Marketable assets maturing within one month reported at their full marked-tomarket value, ie undiscounted, should also be reported here. The firm may however agree with the FSA that they should be included in Part 1. Refer to the Marketable securities section of the General Notes (paragraphs 33-43) for further guidance on what should be reported in this line. 24A-24G Intragroup/Connected Report any inflows from counterparties connected to the firm. Where the firm is reporting on a solo consolidated basis, inflows from entities within the solo-consolidated group should not be reported. Entries should be made in this item rather than any other item in the Wholesale section if any intragroup/connected counterparties are involved. 25A-25G Interbank (excluding any intragroup) Report inflows arising from placements with other firms, including any funds held in NOSTRO balances. Exclude from this line inflows from other bank entities within the group, which should go in 24A-24G (ie intragroup/connected). Include that element of committed facilities provided to the firm where notification of draw down date has been given. 26A-26G Corporate (non-interbank and intragroup) Report inflows from non-bank, non-connected corporate counterparties. Initial margins held at clearing houses should be entered here according to their residual maturity. Repayments from leases should also be recorded in this line. 27A-27G Government/Public Sector Report inflows from central governments, PSEs, local authorities and central banks. Also include funds received from the European Commission, the European Economic Community (EEC), the European Coal and Steel Community (ECSC) and Euratom. FSA010 definitions Page 15

28A-28G

Repos/Reverse Repos

This item should include any transactions relating to repos and reverse repos. Firms should also enter any transactions relating to stock borrowing and lending. Refer to the Repo/Reverse repo section of the General Notes (paragraphs 63-68) for further guidance on what should be reported in this item. 29A-29G Trade related letters of credit Overdrafts Report here any inflows arising from trade related letters of credit. 30A, 30B, 30G Report here any wholesale overdrafts, irrespective of the counterparty. Any behavioural adjustments to this item should be effected through Part 3, data elements 76A-76G. 31A-31G Swaps and FRAs For interest rate and currency swaps, enter the receipts of fixed and floating legs in the cashflow section. For FRAs, enter the marked-to-market receipt in the relevant time period. The amount of receipts should be derived from the contracts present value at yields prevailing at the reporting date. Refer to the Swaps and FRAs section of the General Notes (paragraphs 60-64) for further guidance on what should be reported in this item. 32A-32G Forward foreign exchange Enter any cashflows relating to forward purchases of foreign currency, where an exchange of principal is effected at the start or maturity of the swap. The amount received should be entered in the appropriate maturity band. 33A-33G Forward sales and purchases The cash leg of any forward sales should be treated as an inflow in the timeband corresponding to the date of the forward sale. For forward purchases, where the asset purchased is a marketable asset, the firm should report the sterling (or euro) equivalent discounted value of the security purchased at the maturity of the contract. Where the asset purchased is non-marketable, the firm should enter the sterling (or euro) equivalent discounted value of the security at the maturity of the asset. 34A-34G Other off balance sheet Include here any other off balance sheet items not included elsewhere, according to their cashflows. For example, the inflow (100,000) of a three month OTC interest rate future with one month to maturity and a marked-to-market value of 100,000 should be reported in the over 8 days to 1 month timeband. Firms should exclude any cash inflows associated with options and enter these in 55A. 35A-35G Fees and other income Report here fees, commissions or other income receivable by the firm relating to their wholesale business, according to their known date of receipt. Where the date of receipt is unknown, do not report these flows.

FSA010 definitions Page 16

36A-36G

Other inflows

Report here any other inflows, which have not been included elsewhere, according to the timing of their cashflows. Also report any inflows from settlement accounts, using the trade date plus the settlement period to determine the appropriate timeband. Where the inflow is later than this date, the amount should be entered as overdue. 37A-37G Total inflows Report here the sum of data elements 17 to 36 for each column as appropriate. OUTFLOWS Where a firm has made a commitment to participate in a syndicated loan arrangement, then it should record an outflow of the amount paid in the relevant box in the outflows section of Part 2. Where for example a firm pays by debiting the NOSTRO balance, it would enter an outflow in 44B-44G. Should the firm have already bought their share of the syndicated loan on the reporting date, the effect will be a reduction in the NOSTRO balance and an increase reflected in the line corresponding to the particular asset purchased. Where the firm is the lead manager, it can be in one of three positions. First, it can act as the agent however, this role will not lead to any inflows or outflows since it merely involves setting up a group of firms to buy parts of the issue. Second, it can be an agent and take a share of the issue. In this case, the firm should report the cash flows arising from the latter role. Third, it can also underwrite the issue in conjunction with the previous two options. In this case, it should record the full amount of the issue in 58A as an undrawn committed facility. RETAIL 38B-38G Time deposits Include any deposits taken which have a residual maturity of more than overnight or which require prior notice to be given by the customer before withdrawal of funds. Also include deposits which include an agreement within the contract not to withdraw before a certain date. Where a firm has a material number of deposits where the depositor incurs an interest penalty in lieu of notice, it should agree with its supervisor whether it should report these deposits on a behavioural basis. Deposits should be entered in the timeband corresponding to the minimum amount of notice of withdrawal required. Saving deposits, deposit accounts and deposit receipts should also be entered here. 39B, 39G No notice/ current accounts Include here any amounts in accounts which are not subject to a minimum notice period ie funds which are available on demand. Also include deposits received with a residual maturity of no longer than overnight. Report any balances, whether interest bearing or not, where the entire balance is accessible without penalty either on demand or by close of business on the day following that on which the deposit was made. 40B-40G Additional advances committed Report here any undrawn commitments to lend made by the firm where the draw down date is known. The full amount of the commitment for the draw down date should be entered in the appropriate maturity band. Where the firm has made a commitment to lend, where the date of draw down is uncertain or not known, these should be reported in data element 58A. Where notification of draw down (of facilities that can be drawn down on demand) has been received, enter the flows in the Demand timeband. FSA010 definitions Page 17

Also enter on this line any facilities that may be drawn down on demand where no notification of draw down has been received. These facilities should be entered in the 8 days and under timeband. Do not include undrawn facilities where no draw down date(s) have been notified or agreed (these should be included in data element 58A of the memo items pertaining to commitments below). WHOLESALE 41B-41G Non-marketable securities & debt instruments and marketable assets maturing within 1 month Include here at residual maturity outflows pertaining to maturing securities or debt instruments, which the firm cannot classify as marketable. Marketable assets maturing within one month at their full marked-to-market value, ie undiscounted should also be reported here. Refer to the Marketable securities section of the General Notes (paragraphs 33-43) for further guidance on what should be reported in this item. 42B-42G Additional advances committed Enter here commitments to lend, or to take up, bills, certificates of deposit, investments etc, where there has been an agreed date(s) for the draw down of the facility. The full amount of the commitment should be entered. Also include any other contingent liabilities which it is known will actually be called on a specific date (eg performance bonds and guarantees due to be invoked), as well as money market placements and forward deposits. Where notification of draw down (of facilities that can be drawn down on demand) has been received, enter the flows in the Demand timeband. Also enter on this line any facilities that may be drawn down on demand where no notification of draw down has been received. These facilities should be entered in the 8 days and under timeband. Do not include undrawn facilities where no draw down date(s) have been notified or agreed (these should be included in data element 58A of the memo items pertaining to commitments below). 43B-43G Intragroup/Connected Report any outflows of funds to counterparties connected to the firm. Where the firm is reporting on a solo consolidated basis, outflows to entities within the solo-consolidated group should not be reported. Entries should be made in this item rather than any other item in the Wholesale section if any intragroup/connected counterparties are involved. 44B-44G Interbank (excluding any intragroup) Report outflows arising from placements with or from, or repayments of loans to or from, other banks. Exclude from this item loans to, or placements with, or deposits/placements from, other bank entities within the group (these should be reported under intragroup/connected, data element 51B-51G). 45B-45G Corporate (non-interbank and intragroup) Report outflows to non-bank, non-connected, corporate counterparties.

FSA010 definitions Page 18

46B-46G

Government / Public Sector

Report funds lent to central governments, PSEs, local authorities and central banks. Also include funds lent to the European Commission, the European Union (EU), the European Coal and Steel Community (ECSC) and Euratom. Where a firm is required to place funds on deposit with central banks and monetary authorities, these should be entered as an outflow in the relevant time band. 47B-47G Repo/reverse repos Record in this item any outflows related to repos or reverse repos. Also include any outflows relating to stock borrowing and lending. Refer to the Repos and Reverse Repos section of the General Notes (paragraphs 54-59) for further guidance on what should be reported here. 48B-48G 49B-49G Trade related Letters of Credit Swaps and FRAs Report here any outflows arising from trade related letters of credit. For interest rate and currency swaps, enter payments of fixed and floating legs in the cashflow section. For FRAs, enter the marked-to-market payment in the relevant time period. The amount paid should be derived from the contracts present value at yields prevailing at the reporting date. Refer to the Swaps and FRAs section of the General Notes (paragraphs 60-64) for further guidance on what should be reported in this item. 50B-50G Forward foreign exchange Enter any cashflows relating to forward sales of foreign currency, where an exchange of principal is effected at the start or maturity of the swap. The amount paid should be entered in the appropriate maturity band. 51B-51G Forward sales and purchases For forward sales, the sterling (or euro) equivalent discounted value of the security sold should be recorded as an outflow. The cash leg of any forward purchases should be treated as an outflow in the timeband corresponding to the date of the forward purchase. 52B-52G Other off balance sheet Report here any outflows relating to off balance sheet items that have not been reported elsewhere on the data item. Firms should exclude any cash outflows associated with options and enter these in data element 56A. 53B-53G Dividends, tax, other costs and outflows Report any outflows relating to payments of dividends and tax, or any other outflows that have not previously been reported elsewhere. Also report any outflows relating to settlement accounts, using the trade date plus the settlement period to determine the appropriate timeband. 54B-54G Total outflows Report here the sum of data elements 38 to 53 for each column as appropriate.

FSA010 definitions Page 19

MEMO ITEMS 55A, 56A Options There are two ways in which options can be reported in 55A and 56A. Firms should be consistent and use the same method for both inflows and outflows. Firms should also inform the FSA of the method adopted, and record this in their liquidity policy statement. Method 1 Report the inflows and outflows of cash arising from the exercise of the options. It is assumed for reporting purposes that all options are exercised. Any movement of the underlying financial instrument to which the option relates should be ignored. The options inflows element 55A should contain Purchased puts for equity or commodity transactions (if the option is exercised, the firm sells the asset and receives cash); Written calls for equity or commodity transactions (if the counterparty exercises its right to buy, the firm sells the asset in question and receives cash); All inflows relating to the exercise of interest rate options held/purchased by the firm, whether call options or put options (written interest rate options are not be included here but in element 56A). Written puts for equity and commodity transactions (if the counterparty exercises this option, the firm purchases the asset and pays out cash); Purchased calls for equity or commodity transactions (if this type of option is exercised by the firm, it purchases an asset and pays out cash). All outflows relating to the exercise of interest rate options written by your firm, whether call options or put options.

The options outflows element 56A should contain

Method 2 Rather than reporting potential inflows of cash if all the options are exercised (ie method 1), this method of reporting is on the basis of marked-to-market value. Purchased options giving rise to either nothing or inflows are therefore treated as assets. Written options giving rise to either nothing or outflows are seen as liabilities. The options inflows element 55A should contain The marked-to-market value of all purchased options (puts or calls) multiplied by the number of options, irrespective of whether these are in or out of the money (the marked-to-market value should be reported on the reporting date). The marked-to-market value of all sold/written options (puts and calls) multiplied by the number of options, irrespective of whether these are in or out of the money (the marked-to-market value should be used on the reporting date). Undrawn committed facilities granted to the bank

The options outflows element 56A should contain

57A

Report any facilities which have been committed to the firm and which, at the reporting date, remain undrawn. Also include any flows arising from standby letters of credit and guarantees. Where a date for draw down has been agreed, the amount should be entered in the FSA010 definitions Page 20

appropriate line in the inflows section of Part 2 according to the source of the facility and entered in the corresponding timeband. 58A Undrawn committed facilities granted by the bank Report any facilities which the firm has committed to provide (including by way of repos) and which, at the reporting date, remain undrawn. Include only those facilities where a date for draw down has not been agreed. Where a date for draw down has been agreed or where a facility may be drawn down on demand, the amount should be entered in 40B-40G or 42B42G of Part 2 (depending on whether they are retail or wholesale facilities). Do not include repo liabilities here, refer to the General Notes (paragraphs 54-59) for guidance as to how these should be reported. 59A Commitments under credit card and other revolving credit type facilities Report any commitments which the firm has entered into under credit cards which have not been drawn down at the reporting date (ie available credit to cardholders). 60A Total deposits Report the total deposits outstanding as at the reporting date, excluding any liabilities under repo/reverse repo agreements. This figure should be used as the denominator for the mismatch and in the Exceptions to guidelines section (Part 4) of this data item. Include: (a) (b) (c) (d) (e) All bank notes issued by the firm; No notice/current accounts; All time deposits; All certificates of deposit issued by the firm, whether at fixed or floating interest rates which are still outstanding; Negotiable deposits taken on terms in all respects identical to those on which a certificate of deposit would have been issued, but for which it has been mutually convenient not to have issued a certificate; All other issues of commercial paper and medium term notes, bonds, FRNs and other instruments, with the exception of subordinated loan capital of over two years original maturity; Any certificates of deposit which the firm holds which it itself has issued; Working capital provided by non-resident offices of the firm. Undrawn treasury concessions granted by the bank

(f)

Exclude: (a) (b) 61A

Where a firm has taken on a treasury role on behalf of its group, the institution must notify the FSA of its intention to use the group treasury concession for large exposures purposes (see BIPRU 10). 62A Amount of total cash inflows in arrears Where payments on debt are contractually in arrears, the amount of the debt in arrears should be reported in this item. Only that part of the debt, along with any related interest which is in arrears, should be entered here. That part of the loan which is still due and therefore not yet in arrears should be entered in the inflows section of Part 2 in the maturity ladder in the relevant time band, provided that there is not reasonable doubt over the receipt of those inflows. Where reasonable doubt exists, the firm should report these flows in the overdue timeband FSA010 definitions Page 21

in the main body of the data item; they should not be entered here until the due date for payment has passed. Part 3: Behavioural basis Firms should complete specific items in this section in appropriate cases only. Such cases should be agreed in advance with the FSA. INFLOWS / OUTFLOWS Firms should report in this section cash flows after adjustment for the behavioural patterns they expect to occur. Where a firm considers an adjustment is appropriate, it should approach its supervisor who will consider proposed adjustments on an individual firm basis. Firms should be able to provide empirical evidence to support the adjustments they propose. No firm should make behavioural adjustments without the prior written agreement of the FSA. Where behavioural adjustments are agreed, the firm should report, in the relevant line of Part 3, all the data reported in the equivalent line in Part 2 but adjusted as agreed between the firm and the FSA. For example, if a firm has one class of no notice accounts which sum to 50mn, and another class of no notice accounts which sum to 30mn, a figure of 80mn will be shown in the appropriate line in Part 2 as a demand outflow. However, the deposits in the first class of account are relatively sticky and a behavioural adjustment is agreed to reflect this. For the purposes of this example, the firm may treat 50% of these outflows as occurring in the eight days and under (excl. next day) timeband. In Part 3, this firm will therefore report a demand outflow of 55mn and an eight days and under (excl. next day) outflow of 25mn. Part 2 will, of course, continue to show a demand outflow of 80mn. Part 4: Calculation of mismatches and exceptions reporting Calculation of mismatches Firms should monitor compliance with their liquidity mismatch guidelines each business day and should report in this section the mismatch on the reporting date, using the data from the previous parts of the return. Where component boxes of this section relate back to an element in the previous three parts of the return, this is clearly shown in the list of validations. The components then sum to form the mismatches for each period. All mismatch percentages (110B-110D, 124B-124D, 125B and 125C) should be reported to two decimal places. For example, where a firm had a mismatch of -5%, it should be reported as -5.00 on the form. There is no limit to the size of the field. The figures that are entered in elements 114B-114D, 118B-118D and 120B-120D should be shown to two decimal places. Thus, if it had been agreed that 15% of undrawn commitments to lend should be included in the demand column, 15.00 should be entered in data elements 118B-118D. In order for the forms to be processed, mismatch calculations should be completed on both the contractual basis and the behaviourally adjusted basis, even if the final figures (in 110B110D and 124B-124D) will be the same. Firms should only enter figures in 114B-114D if figures have previously been agreed with the supervisors: if no figures have been agreed, line 113B-113D should be blank. If no behavioural adjustments have been agreed for data elements 118B-118D and 120B-120D, firms should enter the figure 15.00 in these boxes (assuming they have figures in elements 58A or 59A respectively, otherwise the items should remain blank). This will enable them to include the default adjustment of 15% to lines 58A or 59A, mirroring that part of the mismatch calculation on the contractual basis. FSA010 definitions Page 22

Exceptions reporting Firms are expected to stay within their liquidity mismatch guidelines. Where a firm exceeds its guideline during the reporting period, it should contact the supervisor to inform them of any exception as soon as it occurs. Such breaches should also be reported in the Exceptions to guidelines section. Dates should be reported in ddmm format, so for example, 18 June would be shown as 1806. Percentages should be reported to two decimal places, so that -5% would be reported as 5.00. Where a firm has an exception to their guideline which lasts longer than one day, it should report each consecutive days exception separately, ie an exception running from 18 until 20 June would be reported as 18, 19 and 20 June, not 18 and 20 June.

FSA010 definitions Page 23

REPOS
MARKETABLE ASSETS

Marketable asset leg (lent out) Cash Leg (Received) IF MARKETABLE ASSET > 1 MONTH RESIDUAL MATURITY Start Report according to use of funds subsequent to repo. Timeband according to date of contract re the subsequent use, not the date of the repo. During life of Report discounted marked-toReport full value of repo liability (future repo market value of asset in Part 2, outflow of funds include interest) in data element 28A-28G Part 2, data element 47A-47G (Repos/reverse repos) to reflect (Repos/reverse repos). future inflow. Timeband corresponding to Timeband maturity of repo. maturity of repo. Maturity of Day after maturity or at Day of maturity of repo repo settlement date of the asset Reduce Nostro balance Report marked-to-market value Report in Part 2, data elements 25Aof asset (& subsequent 25G (cash returned including interest). discounted value Col C & D) in Part 1. IF A MARKETABLE ASSET < 1 MONTH RESIDUAL MATURITY Start Cease to be reported as owned by firm. Cease to be reported in Part 2, data element 23A-23G (full marked-to-market value), or in Part 1 if agreed by the FSA. Report full marked-to-market value of asset in Part 2, data element 28A-28G (Repos/reverse repos) to reflect future inflow. Timeband corresponding to residual maturity of asset. Day after maturity or more precisely at settlement date of the asset Report marked-to-market value of asset at residual maturity in Part 2, data element 41B-41G (Non-marketable securities and debt instruments and marketable assets maturing within one month) to reflect future outflow Timeband - corresponding to residual maturity of asset (if in Part 2). Report according to use of funds subsequent to repo. Timeband according to date of contract re the subsequent use, not the date of the repo. Report full value of the repo liability or the cash leg (future outflow of funds include interest) in Part 2, data element 47B-47G (Repos/reverse repos). Timeband maturity of repo. Day of maturity of the repo Reduce Nostro balance Report in Part 2, data element 25A-25G (cash returned including interest). Cease to be reported as owned by firm. Cease to be reported in Part 1 as marketable asset.

During life of repo

Maturity of repo

FSA010 definitions Page 24

REPOS NON-MARKETABLE ASSETS Non-Marketable asset leg (lent out) Start Cease to be reported as owned by firm. Cease to be reported in Part 2, data elements 23A-23G (redemption* value). During the life of repo Report redemption* value of asset in Part 2, data elements 28A-28G (Repos/reverse repos). Timeband corresponding to residual maturity of asset. Maturity of repo Day after maturity or more precisely at settlement date of the asset Report redemption* value of asset at residual maturity in Part 2, data elements 23A-23G (Non-marketable securities & debt instruments and marketable assets maturing within one month). Timeband - corresponding to residual maturity of asset. Undated Repo: Maturity of repo is minimum notice period required under terms of contract. * Where redemption value of the asset is unavailable or not appropriate (eg in the case of equities), report the book value. Cash Leg (Received)

Report according to use of funds subsequent to repo. Timeband according to date of contract re the subsequent use, not the date of the repo. Report full value of repo liability or cash leg (future outflow of funds include interest) in Part 2, data elements 47B-47G (Repos/reverse repos). Timeband maturity of repo. Day of maturity of repo Reduce Nostro balance Report in Part 2, data elements 25A25G (cash returned including interest).

FSA010 definitions Page 25

REVERSE REPOS MARKETABLE ASSETS Marketable asset leg (Borrowed) Cash leg (paid)

IF MARKETABLE ASSET > 1 MONTH RESIDUAL MATURITY Start Report discounted marked-tomarket value of asset received for period of reverse repo in Part 1. Report discounted marked-tomarket value of asset (to reflect future outflow of marketable asset) in Part 2, data elements 47B-47G (Repos/reverse repos). Timeband - day of maturity of reverse repo. Maturity of reverse repo Cease to report discounted marked-to-market value of asset received under reverse repo in Part 1. Reflected by decrease in Nostro in Part 2, data elements 25A-25G

During the life of reverse repo

Report full value of funds to be received include interest in Part 2, data elements 28A-28G (Repo/Reverse repo) to reflect future inflow.

Timeband maturity of reverse repo

Day of maturity of reverse repo Day of maturity of reverse repo Increase in Nostro balance Report in Part 2, data elements 25A25D (cash received including interest).

IF MARKETABLE ASSET < 1 MONTH RESIDUAL MATURITY Start Report marked-to-market value Reflected by decrease in Nostro of marketable asset received Report in Part 2, data elements 25Afor period of reverse repo in 25G. Part 2, data elements 23A-23G (Non-marketable securities and debt instruments & marketable assets maturing within one month). Timeband - residual maturity of assets received (if in Part 2). During the life of reverse repo Report full marked-to-market value of asset (to reflect future outflow of marketable asset) in Part 2, data elements 47B-47G (Repos/reverse repos). Timeband - maturity of reverse repo. Report full value of funds to be received including interest in Part 2, data elements 28A-28G (Repos/reverse repos). Timeband maturity of reverse repo.

FSA010 definitions Page 26

Maturity of reverse repo

Day of maturity of reverse repo Day of maturity of reverse repo Cease to report marked-tomarket value of asset received under reverse repo in Part 1 or Part 2. Increase in Nostro balance Report in Part 2, data elements 25A25G (cash received including interest).

REVERSE REPO NON-MARKETABLE ASSETS Non-Marketable asset leg (Borrowed) Start Report redemption* value of non-marketable asset received for period of reverse repo in Part 2: Non-marketable securities and debt instruments & marketable assets maturing within one month. Timeband - at residual maturity of assets received. During life of reverse repo Report full redemption* value of asset (to reflect outflow of non-marketable asset) in Part 2, data elements 47B-47G (Repo/Reverse repo). Report full value of funds to be received including interest in Part 2, data elements 28A-28G (Repos/reverse repos). Cash Leg (Paid)

Reflected by decrease in Nostro Report in Part 2, data elements 25A25G.

Timeband maturity of reverse Timeband - maturity of repo. repo. Maturity of reverse repo Day of maturity of reverse repo Day of maturity of reverse repo Cease to report redemption* value of asset received under reverse repo in Part 2. Increase in Nostro balance Report in Part 2, data elements 25A25G (cash received including interest).

Undated reverse repo: Assume firm has security indefinitely and repo does not as such have a maturity. Return to show decrease in Nostro balance in data elements 25A-25G and an increase in stock of marketable (non-marketable) assets. Nothing further need be reported until the maturity of the reverse repo is known. * Where redemption value of the asset is unavailable or not appropriate (eg in the case of equities), report the book value. FSA010 definitions Page 27

FSA010 Mismatch liquidity validations

Internal validations Data elements are referenced by row then column. PART 1: MARKETABLE ASSETS Ref No 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 16C 16D 126A * 0.95 Data elements 2A + (2B * 0.80) (3A * 0.95) + (3B * 0.75) (4A * 0.90) + (4B * 0.70) (5A * 0.95) + (5B * 0.75) (6A * 0.90) + (6B * 0.70) (7A * 0.85) + (7B * 0.65) (8A + 8B) * 0.80 (9A + 9B) * 0.70 (10A + 10B) * 0.60 (11A + 11B) * 0.70 (12A + 12B) * 0.60 (13A + 13B) * 0.50 (14A * 0.80) + (14B * 0.60) (15A * 0.80) + (15B * 0.60) = 2C + 2D = 3C + 3D = 4C + 4D = 5C + 5D = 6C + 6D = 7C + 7D = 8C + 8D = 9C + 9D = 10C + 10D = 11C + 11D = 12C + 12D = 13C + 13D = 14C + 14D = 15C + 15D [deleted replaced by validation 17] [deleted replaced by validation 18] = 1C + 2C + 3C + 4C + 5C + 6C + 7C + 8C + 9C + 10C + 11C + 12C + 13C + 14C + 15C + 126C = 2D + 3D + 4D + 5D + 6D + 7D + 8D + 9D + 10D + 11D + 12D + 13D + 14D + 15D + 126D = 126C + 126D

FSA010 definitions Page 28

PART 2: CONTRACTUAL BASIS INFLOWS Ref No 1 Item Number 37A = 17A + 18A + 19A + 20A + 21A + 22A + 23A + 24A + 25A + 26A + 27A + 28A + 29A + 30A + 31A + 32A + 33A + 34A + 35A + 36A = 17B + 18B + 19B + 20B + 21B + 22B + 23B + 24B + 25B + 26B + 27B + 28B + 29B + 30B + 31B + 32B + 33B + 34B + 35B + 36B = 17C + 18C + 20C + 21C + 22C + 23C + 24C + 25C + 26C + 27C + 28C + 29C + 31C + 32C + 33C + 34C + 35C + 36C = 17D + 18D + 20D + 21D + 22D + 23D + 24D + 25D + 26D + 27D + 28D + 29D + 31D + 32D + 33D + 34D + 35D + 36D = 17E + 18E + 20E + 21E + 22E + 23E + 24E + 25E + 26E + 27E + 28E + 29E + 31E + 32E + 33E + 34E + 35E + 36E = 17F + 18F + 20F + 21F + 22F + 23F + 24F + 25F + 26F + 27F + 28F + 29F + 31F + 32F + 33F + 34F + 35F + 36F = 17G + 18G + 19G + 20G + 21G + 22G + 23G + 24G + 25G + 26G + 27G + 28G + 29G + 30G + 31G + 32G + 33G + 34G + 35G + 36G = 17A + 17B + 17C + 17D + 17E + 17F = 18A + 18B + 18C + 18D + 18E + 18F = 19A + 19B = 20A + 20B + 20C + 20D + 20E + 20F = 21A + 21B + 21C + 21D + 21E + 21F = 22A + 22B + 22C + 22D + 22E + 22F = 23A + 23B + 23C + 23D + 23E + 23F = 24A + 24B + 24C + 24D + 24E + 24F = 25A + 25B + 25C + 25D + 25E + 25F = 26A + 26B + 26C + 26D + 26E + 26F = 27A + 27B + 27C + 27D + 27E + 27F = 28A + 28B + 28C + 28D + 28E + 28F = 29A + 29B + 29C + 29D + 29E + 29F FSA010 definitions Page 29

37B

37C

37D

37E

37F

37G

8 9 10 11 12 13 14 15 16 17 18 19 20

17G 18G 19G 20G 21G 22G 23G 24G 25G 26G 27G 28G 29G

21 22 23 24 25 26 27 28

30G 31G 32G 33G 34G 35G 36G 37G

= 30A + 30B = 31A + 31B + 31C + 31D + 31E + 31F = 32A + 32B + 32C + 32D + 32E + 32F = 33A + 33B + 33C + 33D + 33E + 33F = 34A + 34B + 34C + 34D + 34E + 34F = 35A + 35B + 35C + 35D + 35E + 35F = 36A + 36B + 36C + 36D + 36E + 36F = 37A + 37B + 37C + 37D + 37E + 37F

FSA010 definitions Page 30

PART 2: CONTRACTUAL BASIS OUTFLOWS Ref No 1 Item Number 54B = 38B + 39B + 40B + 41B + 42B + 43B + 44B + 45B + 46B + 47B + 48B + 49B + 50B + 51B + 52B + 53B = 38C + 40C + 41C + 42C + 43C + 44C + 45C + 46C + 47C + 48C + 49C + 50C + 51C + 52C + 53C = 38D + 40D + 41D + 42D + 43D + 44D + 45D + 46D + 47D + 48D + 49D + 50D + 51D + 52D + 53D = 38E + 40E + 41E + 42E + 43E + 44E + 45E + 46E + 47E + 48E + 49E + 50E + 51E + 52E + 53E = 38F + 40F + 41F + 42F + 43F + 44F + 45F + 46F + 47F + 48F + 49F + 50F + 51F + 52F + 53F = 38G + 39G + 40G + 41G + 42G + 43G + 44G + 45G + 46G + 47G + 48G + 49G + 50G + 51G + 52G + 53G = 38B + 38C + 38D + 38E + 38F = 39B = 40B + 40C + 40D + 40E + 40F = 41B + 41C + 41D + 41E + 41F = 42B + 42C + 42D + 42E + 42F = 43B + 43C + 43D + 43E + 43F = 44B + 44C + 44D + 44E + 44F = 45B + 45C + 45D + 45E + 45F = 46B + 46C + 46D + 46E + 46F = 47B + 47C + 47D + 47E + 47F = 48B + 48C + 48D + 48E + 48F = 49B + 49C + 49D + 49E + 49F = 50B + 50C + 50D + 50E + 50F = 51B + 51C + 51D + 51E + 51F = 52B + 52C + 52D + 52E + 52F = 53B + 53C + 53D + 53E + 53F FSA010 definitions Page 31

54C

54D

54E

5 6

54F 54G

7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22

38G 39G 40G 41G 42G 43G 44G 45G 46G 47G 48G 49G 50G 51G 52G 53G

23

54G

= 54B + 54C + 54D + 54E + 54F

FSA010 definitions Page 32

PART 3: BEHAVIOURAL ADJUSTMENTS Ref No 1 Item Number 83A = 63A + 64A + 65A + 66A + 67A + 68A + 69A + 70A + 71A + 72A + 73A + 74A + 75A + 76A + 77A + 78A + 79A + 80A + 81A + 82A = 63B + 64B + 65B + 66B + 67B + 68B + 69B + 70B + 71B + 72B + 73B + 74B + 75B + 76B + 77B + 78B + 79B + 80B + 81B + 82B = 63C + 64C + 65C + 66C + 67C + 68C + 69C + 70C + 71C + 72C + 73C + 74C + 75C + 76C + 77C + 78C + 79C + 80C + 81C + 82C = 63D + 64D + 65D + 66D + 67D + 68D + 69D + 70D + 71D + 72D + 73D + 74D + 75D + 76D + 77D + 78D + 79D + 80D + 81D + 82D = 63E + 64E + 65E + 66E + 67E + 68E + 69E + 70E + 71E + 72E + 73E + 74E + 75E + 76E + 77E + 78E + 79E + 80E + 81E + 82E = 63F + 64F + 65F + 66F + 67F + 68F + 69F + 70F + 71F + 72F + 73F + 74F + 75F + 76F + 77F + 78F + 79F + 80F + 81F + 82F = 63G + 64G + 65G + 66G + 67G + 68G + 69G + 70G + 71G + 72G + 73G + 74G + 75G + 76G + 77G + 78G + 79G + 80G + 81G + 82G = 63A + 63B + 63C + 63D + 63E + 63F = 64A + 64B + 64C + 64D + 64E + 64F = 65A + 65B + 65C + 65D + 65E + 65F = 66A + 66B + 66C + 66D + 66E + 66F = 67A + 67B + 67C + 67D + 67E + 67F = 68A + 68B + 68C + 68D + 68E + 68F = 69A + 69B + 69C + 69D + 69E + 69F = 70A + 70B + 70C + 70D + 70E + 70F = 71A + 71B + 71C + 71D + 71E + 71F = 72A + 72B + 72C + 72D + 72E + 72F = 73A + 73B + 73C + 73D + 73E + 73F = 74A + 74B + 74C + 74D + 74E + 74F = 75A + 75B + 75C + 75D + 75E + 75F = 76A + 76B + 76C + 76D + 76E + 76F = 77A + 77B + 77C + 77D + 77E + 77F FSA010 definitions Page 33

83B

83C

83D

83E

83F

83G

8 9 10 11 12 13 14 15 16 17 18 19 20 21 22

63G 64G 65G 66G 67G 68G 69G 70G 71G 72G 73G 74G 75G 76G 77G

23 24 25 26 27 28 29

78G 79G 80G 81G 82G 83G 100B

= 78A + 78B + 78C + 78D + 78E + 78F = 79A + 79B + 79C + 79D + 79E + 79F = 80A + 80B + 80C + 80D + 80E + 80F = 81A + 81B + 81C + 81D + 81E + 81F = 82A + 82B + 82C + 82D + 82E + 82F = 83A + 83B + 83C + 83D + 83E + 83F = 84B + 85B + 86B + 87B + 88B + 89B + 90B + 91B + 92B + 93B + 94B + 95B + 96B + 97B + 98B + 99B = 84C + 85C + 86C + 87C + 88C + 89C + 90C + 91C + 92C + 93C + 94C + 95C + 96C + 97C + 98C + 99C = 84D + 85D + 86D + 87D + 88D + 89D + 90D + 91D + 92D + 93D + 94D + 95D + 96D + 97D + 98D + 99D = 84E + 85E + 86E + 87E + 88E + 89E + 90E + 91E + 92E + 93E + 94E + 95E + 96E + 97E + 98E + 99E = 84F + 85F + 86F + 87F + 88F + 89F + 90F + 91F + 92F + 93F + 94F + 95F + 96F + 97F + 98F + 99F = 84G + 85G + 86G + 87G + 88G + 89G + 90G + 91G + 92G + 93G + 94G + 95G + 96G + 97G + 98G + 99G = 84B + 84C + 84D + 84E + 84F = 85B + 85C + 85D + 85E + 85F = 86B + 86C + 86D + 86E + 86F = 87B + 87C + 87D + 87E + 87F = 88B + 88C + 88D + 88E + 88F = 89B + 89C + 89D + 89E + 89F = 90B + 90C + 90D + 90E + 90F = 91B + 91C + 91D + 91E + 91F = 92B + 92C + 92D + 92E + 92F = 93B + 93C + 93D + 93E + 93F = 94B + 94C + 94D + 94E + 94F = 95B + 95C + 95D + 95E + 95F = 96B + 96C + 96D + 96E + 96F = 97B + 97C + 97D + 97E + 97F FSA010 definitions Page 34

30

100C

31

100D

32

100E

33

100F

34

100G

35 36 37 38 39 40 41 42 43 44 45 46 47 48

84G 85G 86G 87G 88G 89G 90G 91G 92G 93G 94G 95G 96G 97G

49 50 51

98G 99G 100G

= 98B + 98C + 98D + 98E + 98F = 99B + 99C + 99D + 99E + 99F = 100B + 100C + 100D + 100E + 100F

FSA010 definitions Page 35

PART 4: CALCULATION OF LIQUIDITY MISMATCHES Ref No 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 108B 109B 110B 108C 110C 108D 110D 104D Item No 102B 103B 101C 102C 103C 101D 102D 103D 104B 105B 106B 107B 104C = 37B = 102B = 16C = 37B + 37C = 101C + 102C = 16C + 16D = 37B + 37C + 37D = 101D + 102D = 54B = 15% x 58A = 15% x 59A = 104B + 105B + 106B = 54B + 54C [deleted replaced by validation 55] = 54B + 54C + 54D [deleted replaced by validation 56] = 103B 107B = 60A = ((108B/109B) x 100) 0.01, to 2 decimal places = 103C 107C = ((108C/109B) x 100) 0.01, to 2 decimal places = 103D 107D = ((108D/109B) x 100) 0.01, to 2 decimal places

FSA010 definitions Page 36

24

112B

= the components of 102B substituting, as agreed with supervisors, the individual items within 63B-82B for the corresponding items in 17B-36B respectively, for those lines where the figures in Part 3 Column G are greater than zero1 [deleted replaced by validation 57] = 112B + 113B = 16C = 112B + (the components of 37C substituting, as agreed with supervisors, the individual items within 63C-82C for the corresponding items in 17C-36C respectively, for those lines where the figures in Part 3 Column G are greater than zero) [deleted replaced by validation 58] = 111C + 112C + 113C = 16C + 16D

25 26 27 28 115B 111C 112C

29 30 31 115C 111D

Expanding this to explain the logic (which also applies to validations 28, 32, 35, 39 and 43 in Part 4), the figures are an adjustment of the contractual basis figures, hence 102B as the starting point in this validation. (The individual item making up 102B (validation 1 on Calculation of Liquidity Mismatches) is in turn the sum of various items (validation 2 on Contractual basis Inflows).) Setting out the validation in detail gives: 112B = 102B 17B + if(63G > 0, then 63B, else 17B) - 18B + if(64G > 0, then 64B, else 18B) - 19B + if(65G > 0, then 65B, else 19B) - 20B + if(66G > 0, then 66B, else 20B) - 21B + if(67G > 0, then 67B, else 21B) - 22B + if(68G > 0, then 68B, else 22B) - 23B + if(69G > 0, then 69B, else 23B) - 24B + if(70G > 0, then 70B, else 24B) - 25B + if(71G > 0, then 71B, else 25B) - 26B + if(72G > 0, then 72B, else 26B) - 27B + if(73G > 0, then 73B, else 27B) - 28B + if(74G > 0, then 74B, else 28B) - 29B + if(75G > 0, then 75B, else 29B) - 30B + if(76G > 0, then 76B, else 30B) - 31B + if(77G > 0, then 77B, else 31B) - 32B + if(78G > 0, then 78B, else 32B) - 33B + if(79G > 0, then 79B, else 33B) - 34B + if(80G > 0, then 80B, else 34B) - 35B + if(81G > 0, then 81B, else 35B) - 36B + if(82G > 0, then 82B, else 36B)

FSA010 definitions Page 37

32

112D

= 112C + (the components of 37D substituting, as agreed with supervisors, the individual items within 63D-82C for the corresponding items in 17D-36D respectively, for those lines where the figures in Part 3 Column G are greater than zero) [deleted replaced by validation 59] = 111D + 112D + 113D = the components of 104B substituting, as agreed with supervisors, the individual items within 84B-99B for the corresponding items in 38B-53B respectively, for those lines where the figures in Part 3 Column G are greater than zero [deleted replaced by validation 60] [deleted replaced by validation 61]

33 34 35 115D 116B

36 37 38 39 121B 116C

= 116B + 117B + 119B = 116B + (the components of 104C substituting, as agreed with supervisors, the individual items within 84C-99C for the corresponding items in 38C-53C respectively, for those lines where the figures in Part 3 Column G are greater than zero) [deleted replaced by validation 62] [deleted replaced by validation 63]

40 41 42 43 121C 116D

= 116C + 117C + 119C = 116C + (the components of 104D substituting, as agreed with supervisors, the individual items within 84D-99D for the corresponding items in 38D-53D respectively, for those lines where the figures in Part 3 Column G are greater than zero) [deleted replaced by validation 64] [deleted replaced by validation 65]

44 45 46 47 48 121D 122B 123B

= 116D + 117D + 119D = 115B 121B = 60A FSA010 definitions Page 38

49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65

124B 122C 123B 124C 122D 124D 107C 107D 113B 113C 113D 117B 119B 117C 119C 117D 119D

= ((122B/123B) x 100) 0.01, to 2 decimal places = 115C 121C = 109B = ((122C/123B) x 100) 0.01, to 2 decimal places = 115D 121D = ((122D/123B) x 100) 0.01, to 2 decimal places = 104C + 105B + 106B = 104D + 105B + 106B = 114B * 57A / 100 = 114C * 57A / 100 = 114D * 57A / 100 = 118B * 58A / 100 = 120B * 59A / 100 = 118C * 58A / 100 = 120C * 59A / 100 = 118D * 58A / 100 = 120D * 59A / 100

FSA010 definitions Page 39

FSA011 Building society liquidity

This data item is used to monitor the liquidity position of building societies under IPRU(BSOC). Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Definitions Column A Values here should be reported on the same basis as they are reported in the balance sheet (FSA001), except they should include accrued interest for each item. It may include items which are not eligible for inclusion within the prudential liquidity calculation. Column B These amounts do not qualify as prudential liquidity. See IPRU(BSOC) Annex 5 for a list of assets that are ineligible. Column C These may be the same value as in Column A. Column D This is the result of applying the discount factors set out in IPRU(BSOC) 5.4.4G. Column E 1-5 4 The amount of prudential liquidity. Liquid assets realisable in up to 8 days Total gilts

Include all gilt edged securities, according to their residual maturity. This is the sum of rows 1 to 3. 17 Qualifying Money Market Funds

See Annex 5A in IPRU(BSOC) Chapter 5, and paragraph 5.4.3 in the same chapter. 5 Other

Includes cash; current account balances; Treasury, local authority and eligible bank bills; deposits with local authorities, banks and building societies with not more than 8 days notice or within 8 days of maturity; Certificates of Deposit (CDs) issued by credit institutions with 3 months or less to maturity; and commercial paper with a residual maturity up to 1 month.

FSA011 definitions Page 1

Liquid assets realisable from 9 days to 3 months

This is the portion of those assets defined in IPRU(BSOC) Annex 5A that are realisable from 9 days up to 3 months. 7 Liquid assets realisable in 3 months and over

This is the portion of those assets defined in IPRU(BSOC) Annex 5A that are realisable in 3 months and over. 8A Book value of total liquid assets

The sum of all liquid assets (data elements 4A to 7A). See IPRU(BSOC) Annex 5 for a list of those items that can be regarded as liquid assets. 8B Ineligible liquid assets

The sum of those amounts that are ineligible for inclusion as prudential liquidity (data elements 4B to 7B). See IPRU(BSOC) Annex 5 for a list of those items that can be regarded as eligible. 8E Total amount of prudential liquidity

This is the sum of data elements 4E to 7E. 9A SDL at reporting date

This is calculated as the sum of share liabilities including interest accrued, plus deposits and debt securities including interest accrued. See IPRU(BSOC) 5.3.2G for a definition of SDL. 10A-10C Minimum total prudential liability in the quarter

This is the minimum amount of total prudential liquidity held, based on end day positions, during the quarter. SDL on the relevant day should be the based on the estimated SDL on the relevant day. Dates should be reported in the format ddmmyy. 11A-11C Maximum total prudential liability in the quarter

This is the maximum amount of total prudential liquidity held, based on end day positions, during the quarter. SDL on the relevant day should be the based on the estimated SDL on the relevant day. Dates should be reported in the format ddmmyy. 12A Building society holdings at reporting date

This is the total of liquid asset holdings with all other societies in total, and includes any undrawn committed facilities provided to societies. It covers securities and money market instruments issued by and deposits placed with any other building society. Specialist data This is the value of funding accounted for by those elements which are restricted (ie funding excluding shares held by individuals). The purpose of 13A and 14A is to report the actual value of the QE of the statutorily defined percentages relating to the funding and lending nature limits. FSA011 definitions Page 2

13A

Business assets not FSRP as % of business assets

This is the value of business assets that are not fully secured on residential property (FSRP) as a % of total business assets. It is monitored under Section 6 of the Building Societies Act 1986. 14A Deposits and loans as % of SDL

These are monitored under Section 7 of the Building Societies Act 1986. 15A Amount of offshore deposits

This is the amount of deposits taken by societies undertakings doing deposit taking offshore (eg in the Channel Islands or Isle of Man), or other undertakings established in other countries primarily to take deposits. 16A Large shareholdings as % of SDL

This item relates to the aggregate balances on both share and deposit holdings (where a single holding in respect of an individual is the totality of accounts held by that individual), excluding accrued interest, which are each in excess of 0.25% of total SDL.

FSA011 definitions Page 3

FSA011 Building society liquidity validations

Internal validations Data elements are referenced by row then column. Validation Data element number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 11A 17E 8A 8E > = = = 8B = 4A 4C 4D 4E 5E 6E 7E = = = = = = = 1A + 2A + 3A 1C + 2C + 3C 1D + 2D + 3D 4D 5A - 5B 6A - 6B 7A - 7B [deleted replaced by validation 14] 5B + 6B + 7B [deleted replaced by validation 15] [deleted] 10A 17A 4A + 17A + 5A + 6A + 7A 4E + 17E + 5E + 6E + 7E

FSA011 validations Page 1

FSA012 Non-deposit taking EEA bank liquidity

This data item is used by the FSA to monitor the liquidity positions of an EEA bank, other than one with permission for cross border services only, that does not have permission to accept deposits. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. 1A Total assets of the branch

Report here the total assets of the branch in the UK. 2A Cumulative net inflow (outflow) up to 8 days

This is the inflows you contractually expect to receive within 8 days, less the payments you are contractually bound to make within 8 days of the reporting date. 2B Cumulative net inflow (outflow) up to 1 month

This is the figure reported in data element 2A, onto which has been added the sum of the inflows you contractually expect to receive after 8 days but within 1 month, less the payments you are contractually bound to make after 8 days but within 1 month of the reporting date. 2C Cumulative net inflow (outflow) up to 3 months

This is the figure reported in data element 2B, onto which has been added the sum of the inflows you contractually expect to receive after 1 month but within 3 months, less the payments you are contractually bound to make after 1 month but within 3 months of the reporting date. 2D Cumulative net inflow (outflow) up to 6 months

This is the figure reported in data element 2C, onto which has been added the sum of the inflows you contractually expect to receive after 3 months but within 6 months, less the payments you are contractually bound to make after 3 months but within 6 months of the reporting date 2E Cumulative net inflow (outflow) up to 9 months

This is the figure reported in data element 2D, onto which has been added the sum of the inflows you contractually expect to receive after 6 months but within 9 months, less the payments you are contractually bound to make after 6 months but within 9 months of the reporting date 3A Cumulative net inflow (outflow) up to 8 days as a % of total assets

This is data element 2A as a percentage of data element 1A, reported to two decimal places. FSA012 definitions Page 1

3B

Cumulative net inflow (outflow) up to 1 month as a % of total assets

This is data element 2B as a percentage of data element 1A, reported to two decimal places.

FSA012 definitions Page 2

FSA012 Liquidity mismatch (for EEA branches that do not have permission to accept deposits) validations
Validations Data elements are referenced by row then column. Validation number 1 2 3 4 3A 3B = = Data element [deleted replaced by validation 3] [deleted replaced by validation 4] (2A/1A) * 100 (2B/1A) * 100

FSA012 validations Page 1

FSA013 - Stock liquidity

This data item is used to calculate the level of sterling stock liquidity which the firm should hold against its estimated outflow of funds arising from liabilities to wholesale and retail customers. This level should be maintained at all times. Unless otherwise agreed, the data item should be completed on a consolidated basis. Where a firm wishes to report on a different basis, this should be agreed in advance with the FSA. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2A will be the element numbered 2 in column A. 1A Cash Include all sterling notes including Bank of England notes and also notes issued by the Scottish and Northern Irish banks. Include cash which the firm has paid into another UK bank, EEA bank or non-EEA bank, or the Banking Department of the Bank of England, which has not yet been credited to the reporting institutions account in the books of the other bank. Holdings of gold sovereigns should be excluded. 2A Operational balances with the Bank of England Enter balances with the Head Office of the Bank of England, except special deposits and cash ratio deposits, which should be excluded. Amounts receivable under finance leases from the Bank of England should be excluded (in contrast to statistical reporting to the Bank of England). 3A UK Treasury Bills Enter holdings of UK Treasury bills issued by H M Government. UK Treasury bills denominated in euros and Bills in any currency for which the Bank of England is obligor may also be included. 4A Gilts Enter all holdings of sterling and foreign currency denominated stock issued by H M Government and the Irish land purchase stocks. Other British Government-guaranteed stocks should be excluded from this data item. 5A Other sterling international bonds issued by EEA governments and certain international financial institutions, where they have been issued directly into the Euroclear and Cedel settlement systems; FSA013 definitions Page 1 Firms may, with the prior agreement of the FSA, include any of the following

sterling bonds (bulldogs) of the same issuers, where they have been issued into (and are now held by) the CREST settlement system; and Euro denominated bonds of the same issuers where they are eligible for use in ESCB monetary policy operations.

You will find more detailed lists of all three categories of assets on the Bank of Englands website under OMO on the Eligible Securities page (www.bankofengland.co.uk/markets/money/eligiblesecurities.htm). The FSA will automatically extend the list of assets that it considers appropriate for banks to count as sterling liquid assets in line with the Bank of Englands programme of extending its list of eligible securities, as described in its notice of 15 October 1998. The Bank will maintain updated lists of the relevant assets on its website. The international financial institutions whose issues may be included are: African Development Bank Asian Development Bank Council of Europe Social Development Fund European Atomic Energy Community European Bank for Reconstruction and Development European Community European Coal and Steel Community European Investment Bank Inter-American Development Bank International Bank for Reconstruction and Development/World Bank International Finance Corporation Nordic Investment Bank 6A 7A Total sterling stock Wholesale sterling net outflow limit over five working days This is the sum of the 1A to 5A. Enter the institutions internal limit for the wholesale sterling net outflow over five working days. The limit should be agreed with the FSA. This should be the limit shown in the firms most recent liquidity policy statement submitted to the FSA unless it has been agreed with the FSA that a different limit is appropriate. This limit should not be changed without the prior agreement of the FSA. 8A Sterling Stock Floor over five working days Enter the floor for the sterling stock over five working days, as agreed with the FSA. Unless otherwise agreed, the floor should normally be the figure entered in data element 9A multiplied by 0.5, rounded down to an integer where appropriate. The floor should not be changed without the prior agreement of the FSA. It should not exceed 6A. 9A Wholesale sterling net outflow over five working days A sterling stock liquidity banks wholesale sterling net outflow is obtained by subtracting wholesale sterling assets maturing over the next five working days and reserves that are held in the Bank of Englands reserves scheme, from wholesale sterling liabilities falling due over the same period. Include all deposits from banks and building societies taken via the firms Treasury Division. FSA013 definitions Page 2

Include all other deposits of 1mn or more taken on wholesale market terms. For this purpose, wholesale deposits shall be defined as deposits closely related to money market operations which are made as a result of customers being offered a specific rate for a particular deposit for a particular period. This shall be taken to include interest-bearing funds deposited either at branches or direct with, for example, the firms Treasury Division, on the strength of an interest rate quoted on enquiry on each occasion that a deposit is made. Include sterling certificates of deposit maturing within five working days. In normal circumstances, data element 9A should not exceed data element 7A. Exceptions should be notified to the normal supervisory contact at the FSA unless the institution has enough surplus stock liquidity, over and above that needed to meet the LQR (data element 16A below), to cover the excess. Where this is the case, the exception should not be reported to the FSA. Any cases of doubt should be referred to the normal supervisory contact at the FSA. 10A Sterling certificates of deposit held - total Exclude sterling certificates of deposit maturing within five working days which have been included in data element 9A above. If a firm holds certificates of deposit which it has itself issued, these should be excluded from this data element. Include negotiable deposits made on terms identical to those on which a certificate of deposit would have been issued, but for which it is mutually convenient not to issue a certificate. 11A Total discounted certificates of deposit The figure, which is data element 10A multiplied by 0.85, should be rounded down, where appropriate, to an integer. 12A Allowable certificates of deposit This figure should be calculated using the figure reported in data element 11A (after any rounding down). The limit, expressed as 50% of data element 9A, should also be rounded down if appropriate. 14A Sterling retail deposits falling due in next five working days Include all retail deposits with a residual contractual maturity of five working days or less as at the reporting date. Deposits subject to a penalty on withdrawal should only be included if the residual contractual maturity is five working days or less. For this purpose, retail deposits shall be defined as deposits which arise from customer acceptance of an advertised rate (including nil) for a particular product. This shall be taken to include deposits taken in a firms branch network on the grounds of an existing or new customer relationship where the rates of interest are not directly linked to interbank rates, and are advertised or displayed at the branch counter or are part of standard tariff terms so that depositors can establish, without further enquiry, the rate applicable to each type of deposit. Any cases of doubt should be referred to the normal supervisory contact at the FSA. 15A Sterling retail deposits to be covered The figure (data element 15A multiplied by 0.05) should be rounded up, where appropriate, to an integer (being prudent). FSA013 definitions Page 3

16A

Sterling liquidity ratio (LQR)

The sterling liquidity ratio should be 100% or more unless it is appropriate for the firm to maintain a lower ratio (such cases should be agreed with the FSA). The figure should be calculated to two decimal places (rounding .005 and above up, and below .005 down). Repo activity Where gilts or other assets qualifying for inclusion in the sterling liquidity stock have been acquired as a result of entering into a repo or reverse repo transaction, they can be included in a firms liquidity stock for the duration that they are held; conversely, the asset sold should be excluded until it is repurchased. Breaches Any breaches of the stock liquidity ratio should be reported immediately to the normal supervisory contact at the FSA.

FSA013 definitions Page 4

FSA013 Stock liquidity validations

Internal validations Data elements are referenced by row then column. Reference Data number element 1 2 3 4 5 6 7 8 9 16A = 6A 8A 11A 12A 12A 13A 15A = = = = 1A+2A+3A+4A+5A 6A 10A*0.85, rounded down to an integer 9A/2, rounded down to an integer 11A 11A-12A 14A*0.05 [deleted replaced by validation 9] If 9A>0, then (6A/(9A 12A + 15A)) multiplied by 100 to 2 decimal places, (rounding 5 and over up, and under 5 down), otherwise (6A/(0 12A + 15A)) multiplied by 100 to 2 decimal places, (rounding 5 and over up, and under 5 down)

FSA013 validations Page 1

FSA014 Forecast data

This data provides details of a firms financial forecasts for the year following the reporting date, or an updated forecast at the interim stage. If a firm does not re-forecast (or update the forecast) at the interim stage, then the figures will be the same as previously reported. The data elements 6A, 12A, 13A and 14A should be provided by all firms as a minimum. The firm should complete the other data elements to the extent it has the data available. Forecasts should be made on a best endeavours basis, aiming where possible to match with specific data elements in other data items that are provided regularly. Firms should aim for consistency in approach when compiling these data. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. 1A Net interest income

This item should be equivalent to data elements 2B minus 26B on data item FSA002 (Income statement). 2A Other income

This is equivalent to data elements 1B minus 2B on data item FSA002. 3A Expenditure

This is equivalent to data element 25B minus 26B, plus 34B on data item FSA002. 4A Impairment/provisions

This is equivalent to data element 40B on data item FSA002. 5A Total profit before tax

This is equivalent to data element 44B on data item FSA002. 6A Net profit (loss)

This data element should be completed by all firms. This is equivalent to data element 46B on FSA002. 7A Cash and balances at central banks

This is equivalent to data element 5A plus 5B on data item FSA001 (Balance sheet). 8 Loans and advances to customers

This is equivalent to data elements 9A plus 9B on data item FSA001.

FSA014 definitions Page 1

Investments

This is equivalent to data elements 10A plus 10B plus 11A plus 11B plus 13A plus 13B plus 14A plus 14B on data item FSA001. 10A Retail deposits

This is equivalent to data element 25A on data item FSA001. 11A Deposits by banks, including overdrafts

This is equivalent to data element 23A on data item FSA001. 12A Total assets/liabilities

This data element should be completed by all firms. This is equivalent to data elements 20A plus 20B on data item FSA001. 13A Total capital after deductions

This data element should be completed by all firms. This is equivalent to data element 15A on data item FSA003 (Capital adequacy). 14A Variable capital requirement at end of period

This data element should be completed by all firms. This is equivalent to data element 70A on data item FSA003.

FSA014 definitions Page 2

FSA014 Forecast data validations

There are no validations for his data item.

FSA014 validations Page 1

FSA015 Sectoral information, including arrears and impairment This data item provides the FSA with information on the credit quality of a firm's portfolio, enabling the FSA to assess potential threats to the firm's viability. It also provides information to be used at a macro level to monitor changes in the economic climate. This data item relates only to credit risk. Completion of this data item is acceptable on a best endeavours basis. Allocation between sectors is adequate at portfolio level; accuracy to individual account level is not required. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts i.e. in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Definitions Column A: "All balances (customer) outstanding at period end" This is the amount of total debt owed by the customer at the reporting date, and should comprise the total amount outstanding (after deducting any write-offs but without deduction for any provisions) in respect of: (i) the principal of the advance (including any further advances made); (ii) interest accrued on the advance (but only up to the reporting date), including any interest suspended; and (iii) any other sum which the borrower is obliged to pay the firm and which is due from the borrower, e.g. fees, fines, administration charges, default interest and insurance premiums. The information in respect of balances to be reported in this column should not be fair-valued but should report the contractual position (i.e. between the lender and borrower). The treatment of loan assets that are being operated as part of a current account offset mortgage product (or similar products where deposit funding is offset against loan balances in arriving at a net interest cost on the account) will depend on the conditions pertaining to the mortgage product. The balance outstanding on such loans will need to be reported on the basis of the contractually defined balance according to the terms of the mortgage product. This might be the amount of loan excluding any offsetting funds, or it might be the net amount.

It is not expected that these figures in this column will necessarily reconcile to any of the firm's published statutory data. Columns B-G, rows 1-11: "Balances of accounts in arrears /default by band" The analysis is based on expressing the amount of arrears on each loan as a percentage of the balance outstanding on the loan, allocating cases to relevant arrears bands, providing details of cases moving up into more serious arrears bands in the quarter (or half year in the case of a UK consolidation group), and giving information on loan performance during the quarter or half year. (In cases where there is more than one loan secured on a single property, these should be amalgamated, where possible, in reporting details of arrears cases.) Arrears will arise through the borrower failing to service any element of his debt obligation to the firm, including capital, interest, or fees, fines, administrative charges, default interest or insurance premiums. At the reporting date, the amount of arrears is the difference between: (i) the accumulated total amounts of (monthly or other periodic) payments due to be received from the borrower; and (ii) the accumulated total amount of payments actually made by the borrower. Only amounts which are contractually due at the reporting date should be included in the above. That is: (i) include accrued interest only up to the reporting date but not beyond; (ii) only include a proportion of any annual insurance premium if the firm permits such amounts to be paid in periodic instalments. However if the terms of the loan or the lenders practice are such as to permit insurance premiums to be added to the loan principal then do not treat such amounts as contractually due; (iii) similarly, where 'any other sum' has been added to the loan, only include such proportions as are contractually due (e.g. if it is the practice in particular circumstances to add the sum/charge to the loan and require repayment over the residual term of the loan); (iv) in assessing 'payments due' when a borrower has a flexible loan, it is important to apply the contractual terms of the loan: for example, payment holidays which satisfy the terms of the loan should not be treated as giving rise to an arrears position; (v) do not however include 'Deeds Store' loans in the arrears figures (that is, loans where the debt is de minimis e.g. 100, but the borrower still has insurance premiums to pay and perhaps some instalments are overdue). In the case of annual review schemes the 'payment due to be received' is that calculated under the scheme. This may well differ from the amount charged to the account but should not of itself give rise to any arrears, providing the borrower is making the level of payments advised by the firm. The same principles apply to deferred interest products if the borrower is making the payments that are required under the loan arrangements then he is not in arrears, even though the debt outstanding is increasing.

Where a firm makes a temporary 'concession' to a borrower (i.e., an agreement with the borrower whereby monthly payments are either suspended or less than they would be on a fully commercial basis) for a period, the amounts included are those contractually due (and at commercial rates of interest). Hence the borrower will continue to be in arrears and the level of arrears will in fact continue to increase until such time as he is able fully to service the debt outstanding. Where the terms of the loan do not require payment of interest (or capital) until a stated date or until redemption or until certain conditions are triggered, as for example in the case of certain building finance loans, then the loan is not in arrears until such time as contractual repayments are overdue. Where a 'capitalisation' case that has at one time been correctly removed as fully performing but at some later time defaults, then this should be treated as a new default and the amount of arrears taken as that arising from this new default. That is, the previously capitalised arrears should not be reinstated as current arrears. By 'capitalisation' we mean a formal arrangement agreed with the borrower to add all or part of a borrower's arrears to the amount of outstanding principal (i.e. advance of principal including further advances less capital repayments received during the period of the loan) and then treating that amount of overall debt as the enlarged principal. This enlarged principal is then used as the basis for calculating future monthly payments over the remaining term of the loan. Where less than the full amount of arrears is capitalised (or indeed where none of the arrears is capitalised) then, providing there are arrangements made for the borrower to repay the non-capitalised arrears over a shorter period ranging for example from 3 to 18 months, this type of arrangement should also be regarded as an equivalent of 'capitalisation'. The decision to 'capitalise' (or treat as if capitalised) is a business decision between the firm and the borrower. However for the purposes of consistency in reporting arrears cases the following reporting criteria should be used where a firm has capitalised the loan (or treated as if capitalised) and reset the monthly payment: (i) such an arrears case should continue to be included as an arrears case until the loan has been 'fully performing' (see (ii) below) for a period of six consecutive months (any temporary increase in arrears during this qualifying period has the effect of requiring six consecutive months of fully performing after such an event). Until that time it should be included in the table and be allocated to the arrears band applicable at each reporting date as if 'capitalisation' had not taken place; (ii) for these purposes a loan is considered to be 'fully performing' only where the borrower has been meeting all obligations on the loan with regard to repayments of principal, interest (at a normal mortgage rate on the full balance outstanding, including as appropriate any relevant past arrears), any payment towards clearing past arrears as agreed with the firm and any default payments due levied in respect of previous missed repayments. That is, amounts may be either added to the principal of the loan or otherwise repaid over a shorter period than the residual term of the mortgage, as agreed between firm and borrower. But then this revised payment schedule must be fully maintained for a six month period before the arrears can qualify to be treated as capitalised for reporting purposes and hence removed from the arrears cases in this table.

Column B rows 12-26 Include here the amount of any payments that a counterparty has failed to make when they were contractually due. Column C rows 12-26 Include here the amount by which any exposures in column B are also deemed to be impaired. Column D rows 12-26 Include here the amount by which any other exposures which, whilst not past due, are deemed to be impaired. Column E rows 12-26 Enter the total gross value, before deduction of impairment charges, of exposures against which impairment charges have been made (i.e. included in columns C and D) and where no collateral is held against the exposure; i.e. report here loans which are included in columns C and D because they are impaired, reporting the amount of the loan which is unsecured. Report the unsecured amount of the loan, irrespective of the impaired amount. Column B rows 27-31 Include here any exposures where payments have not made on the date due and where there is little prospect for recovery of principal or interest. Column C rows 27-31 Include here the amount by which any other exposures which, whilst not in default, are deemed to be impaired. Column D rows 27-31 Include here the Mark-to-market value of any impaired exposures included in columns B and C. Column H: All balances (accounting) at period end This is the total value of the on balance sheet exposures in each category, valued in line with the firm's accounting policies. Column J: Write-offs net of recoveries Enter the net amount written off during the period, after any recoveries of exposures previously written off. Columns K and L: Charge/credit to the Income statement (P&L) Enter the net charge or credit to the income statement (profit & loss account) in respect of impairment charges during the period. A net credit should be shown with a minus sign (not brackets). The gross charge for new impairment charges should be offset by other items including any charges made in earlier periods but now released. The charge or credit for individual impairment charges should include the charge or credit for provisions in respect of suspended interest where it is the practice of the reporting institution to show suspended interest as interest receivable in the income statement (profit and loss account).

Column M: Other Adjustments This includes any adjustments made as a result of an acquisition or disposal of a subsidiary company the balance sheet of which includes impairment balances and is included in the consolidation for the particular return. Also include any adjustments made for exchange rate movements in respect of impairment balances denominated in currencies other than the reporting currency. Where the adjustment is negative, report the amount with a minus sign (not brackets). Column N: individual impairment balance Enter the total value of individual impairment balances. Column P: collective impairment balance Enter the total value of collective impairment balances. Column Q: balances of loans with individual impairment Include the total balance of any exposures against which there is an individual impairment charge. Sectors (rows) UK and Non-UK Where a split of exposures between UK and non-UK is required, this should be done based on the location of the lending entity. Retail sector This section comprises all Retail exposures, including exposures to retail SME.

First charge mortgages to individuals

This comprises lending to individuals secured by mortgage on land and buildings, where such loans are fully secured by a first equitable or legal charge, where at least 40% of the land and buildings is used for residential purposes, and where the premises are for occupation by either the borrower (or dependant), or any other third party (e.g. it includes buy to let lending to individuals). Both regulated and non-regulated mortgage contracts should be included. Do not include here any residential loans to individuals that are part of a business loans type package (involving multiple loans and multiple securities, where there is no one-to-one correspondence between a loan and a specific security), but report them under other secured loans to individuals. 2 Other fully secured loans to individuals

Include here all other secured lending in the UK to individuals where the firm does not have a first charge. 3 Partially secured exposures to individuals

Include here any lending in the UK to individuals where the exposure is only partially secured.

Card accounts

This includes UK charge card lending (even if the outstanding balance is required to be paid off in full at the end of each charging period). 5 Unsecured exposures to individuals

Report here all other exposures in the UK to individuals. 6 Retail SME

Include here all UK exposures to retail SME irrespective of security held. 7 8 Fully secured loans to individuals Partially secured exposures to individuals

Include here any lending outside the UK to individuals where the exposure is fully secured. Include here any lending outside the UK to individuals where the exposure is only partially secured. 9 Unsecured exposures to individuals Comprises all other exposures outside the UK to individuals. Credit card lending outside the UK should be included here. 10 Retail SME

Include here all non-UK exposures to retail SME irrespective of security held. Corporate sector This section comprises all corporate exposures. 12 UK commercial real estate (secured and unsecured)

This will typically include any exposures defined by Basel as "Claims secured by commercial real estate" or "Income-producing real estate", or lending where the counterparty has been allocated to SIC code 70 and the lending is done in the UK. 13, 17 Other fully secured lending Include here any lending where the exposure is fully secured 14, 18 Other partially secured lending Include here any lending where the exposure is only partially secured. 15, 19 Unsecured lending Include here all other corporate exposures. 16 Non-UK commercial real estate

This will typically include any exposures defined by Basel as "exposures secured by commercial real estate" or "Income-producing real estate", or lending where the counterparty has been allocated to SIC code 70 and the lending is done outside the UK.

Financial sector This section comprises all exposures to the financial sector. Non-financial institutions (inc government) All other exposures other than those defined above. Debt instruments (banking book) 27 UK collateralised debt obligations Include here all CDOs issued by UK companies. 28 Other UK asset backed securities

Comprises holding of all other asset backed securities, except CDOs, issued by UK entities. 29 Other UK securities

Comprises holding of all other securities, except those listed above, issued by UK entities. 30 Other non-UK securities

Comprise holdings of any securities issued by non-UK companies.

FSA015 sectoral information, including arrears and impairment - validations Internal validations Data elements are referenced by row then column Validation number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 Data element 1G 2G 3G 4G 5G 6G 7G 8G 9G 10G 11G 11A 11B 11C 11D 11E 11F 11G 20B 20C 20D 20E 23B 23C 23D 23E 26B 26C 26D 26E 31B 31C 31D 11H 11J 11K 11L 11M 11N 11P = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = 1B+1C+1D+1E+1F 2B+2C+2D+2E+2F 3B+3C+3D+3E+3F 4B+4C+4D+4E+4F 5B+5C+5D+5E+5F 6B+6C+6D+6E+6F 7B+7C+7D+7E+7F 8B+8C+8D+8E+8F 9B+9C+9D+9E+9F 10B+10C+10D+10E+10F 11B+11C+11D+11E+11F 1A+2A+3A+4A+5A+6A+7A+8A+9A+10A 1B+2B+3B+4B+5B+6B+7B+8B+9B+10B 1C+2C+3C+4C+5C+6C+7C+8C+9C+10C 1D+2D+3D+4D+5D+6D+7D+8D+9D+10D 1E+2E+3E+4E+5E+6E+7E+8E+9E+10E 1F+2F+3F+4F+5F+6F+7F+8F+9F+10F 1G+2G+3G+4G+5G+6G+7G+8G+9G+10G 12B+13B+14B+15B+16B+17B+18B+19B 12C+13C+14C+15C+16C+17C+18C+19C 12D+13D+14D+15D+16D+17D+18D+19D 12E+13E+14E+15E+16E+17E+18E+19E 21B+22B 21C+22C 21D+22D 21E+22E 24B+25B 24C+25C 24D+25D 24E+25E 27B+28B+29B+30B 27C+28C+29C+30C 27D+28D+29D+30D 1H+2H+3H+4H+5H+6H+7H+8H+9H+10H 1J+2J+3J+4J+5J+6J+7J+8J+9J+10J 1K+2K+3K+4K+5K+6K+7K+8K+9K+10K 1L+2L+3L+4L+5L+6L+7L+8L+9L+10L 1M+2M+3M+4M+5M+6M+7M+8M+9M+10M 1N+2N+3N+4N+5N+6N+7N+8N+9N+10N 1P+2P+3P+4P+5P+6P+7P+8P+9P+10P

41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88

11Q 20H 20J 20K 20L 20M 20N 20P 20Q 23H 23J 23K 23L 23M 23N 23P 23Q 26H 26J 26K 26L 26M 26N 26P 26Q 31H 31J 31K 31L 31M 31N 31P 31Q 32H 32J 32K 32L 32M 32N 32P 32Q 12C 13C 14C 15C 16C 17C 18C

= = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = = <= <= <= <= <= <= <=

1Q+2Q+3Q+4Q+5Q+6Q+7Q+8Q+9Q+10Q 12H+13H+14H+15H+16H+17H+18H+19H 12J+13J+14J+15J+16J+17J+18J+19J 12K+13K+14K+15K+16K+17K+18K+19K 12L+13L+14L+15L+16L+17L+18L+19L 12M+13M+14M+15M+16M+17M+18M+19M 12N+13N+14N+15N+16N+17N+18N+19N 12P+13P+14P+15P+16P+17P+18P+19P 12Q+13Q+14Q+15Q+16Q+17Q+18Q+19Q 21H+22H 21J+22J 21K+22K 21L+22L 21M+22M 21N+22N 21P+22P 21Q+22Q 24H+25H 24J+25J 24K+25K 24L+25L 24M+25M 24N+25N 24P+25P 24Q+25Q 27H+28H+29H+30H 27J+28J+29J+30J 27K+28K+29K+30K 27L+28L+29L+30L 27M+28M+29M+30M 27N+28N+29N+30N 27P+28P+29P+30P 27Q+28Q+29Q+30Q 11H+20H+23H+26H+31H 11J+20J+23J+26J+31J 11K+20K+23K+26K+31K 11L+20L+23L+26L+31L 11M+20M+23M+26M+31M 11N+20N+23N+26N+31N 11P+20P+23P+26P+31P 11Q+20Q+23Q+26Q+31Q 12B 13B 14B 15B 16B 17B 18B

89 90 91 92 93 94 95 96

19C 20C 21C 22C 23C 24C 25C 26C

<= <= <= <= <= <= <= <=

19B 20B 21B 22B 23B 24B 25B 26B

External validations There are no external validations for this data item.

FSA016 Solo consolidation data

This data item collects information on the subsidiaries included within solo-consolidation. It is designed to provide the FSA with sufficient information to understand the impact and profile of the solo-consolidated subsidiaries on the balance sheet of the firm, while at the same time limiting the information to the most material subsidiaries. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2A will be the element numbered 2 in column A. 1A Number of subsidiaries included in the solo-consolidation This is the number of firms that are included within the solo-consolidation and for which waivers have been granted. 2A Book value of investments included in solo-consolidation EEA incorporated This is the book value of EEA- incorporated investments that are included within the firms solo-consolidated reporting under BIPRU 2.1, in the unconsolidated accounts of the firm. 3A Book value of investments included in solo-consolidation non-EEA incorporated This is the book value of non-EEA incorporated investments that are included within the firms solo-consolidated reporting under BIPRU 2.1, in the unconsolidated accounts of the firm. 4A Surplus capital in the parent firm This figure is the total capital after deductions from the solo-consolidated FSA003 (data element 15A) less the value of the investments reported in data elements 2A and 3A above, to which has been added back the value of any investments by the solo-consolidated subsidiaries in their own non solo-consolidated subsidiaries. 5 Top 5 solo-consolidated subsidiaries ranked by book value of investment 5A 5B 5C 5D the name of the subsidiary; the country of incorporation; a brief business descriptor from a pre-defined list funding; lending; investment; other; the main underlying assets from a predefined list commercial property; residential property; fixed assets; plant; investment grade debt securities; investment grade equity; debt securities; equity; other; the book value of the subsidiary (included within 2A or 3A above); and the capital requirements arising from the assets held by the subsidiary. For each of the subsidiaries listed, the following details should be provided:

5E 5F

FSA016 definitions Page 1

6 Top 5 solo-consolidate subsidiaries ranked by aggregate exposure of parent to subsidiary For each of the subsidiaries listed, the following details should be provided: 6A 6B 6C 6D the name of the subsidiary; the country of incorporation; a brief business descriptor from a pre-defined list funding; lending; investment; other; the main underlying assets from a predefined list commercial property; residential property; fixed assets; plant; investment grade debt securities; investment grade equity; debt securities; equity; other; the aggregate exposure of the parent to the subsidiary, including funding in a capital form; the exposure of the parent to the subsidiary at the reporting date with a residual maturity of less than one year; and the capital requirements arising from the assets held by the subsidiary.

6E 6F 6G

7 Top 5 solo consolidated subsidiaries ranked by net flow of funds from parent to subsidiary during the period For each of the subsidiaries listed, the following details should be provided: 7A 7B 7C 7D the name of the subsidiary; the country of incorporation; a brief business descriptor from a pre-defined list funding; lending; investment; other; the main underlying assets from a predefined list commercial property; residential property; fixed assets; plant; investment grade debt securities; investment grade equity; debt securities; equity; other; and the net flow of funds from the parent to the subsidiary, including funding in a capital form.

7E

FSA016 definitions Page 2

FSA016 Solo consolidated data validations

Internal validations There are no internal validations for this data item. External validation There are no external validations for this data item.

FSA016 validations Page 1

FSA017 Interest rate gap

This data item collects information on the interest rate gap. It is designed to provide the FSA with sufficient information to understand the interest rate sensitivity of a firms assets and liabilities. Some firms may already have sophisticated models capable of showing the impact of a 2% shift in interest rates and, in such cases, these firms may seek a waiver from reporting this data item. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2A will be the element numbered 2 in column A. Gap analysis is undertaken by examining details of interest sensitive assets and liabilities to establish when they will next reprice (i.e. be subject to a change in interest rate), and then tabulating those which reprice within set time periods (known as time buckets, within which all items repricing are grouped together). Interest rate sensitive items are those assets and liabilities that are subject to contractual change in interest rates, or which mature (fall due for repayment) during the period of the return. (Note that the contractual date for repricing purposes is not necessarily the maturity date of the asset/liability. For example, a 3 year loan could be repriced every six months at a spread above 6 month LIBOR. If it was rolled over a month ago then it will reprice in 5 months, not in 3 years, time.) Those assets and liabilities lacking definitive repricing intervals (e.g. sight deposits or savings accounts) or actual maturities that could vary from contractual maturities (e.g. mortgages with an option for early repayment) should be assigned to repricing time bands according to the judgement and past experience of the firm. When fixed rate liabilities in an individual time bucket exceed fixed rate assets in the same bucket, a 'negative gap' exists for that period - implying that a rise in interest rates for that period should produce an increase in net interest income, and a fall in rates should give rise to a fall in net interest income. Conversely, when fixed rate assets exceed fixed rate liabilities in the same time bucket, a 'positive gap' exists and net interest income should fall if interest rates increase and rise if rates reduce. Variable rate items, for which there is no lead time between a change in market rates and a corresponding change in the contracted interest rate (i.e. effectively overnight) should be placed in the overnight time bucket. Conventionally, first year time buckets are of shorter duration than later time buckets. However, the precise choice of time buckets is a matter for each firm. On and off balance sheet items should be allocated to the various time buckets in accordance with their repricing date. The information in respect of balances to be used in this data item should not be fair-valued but should be based on the contractual position (i.e. between the lender and borrower). Care should be taken in allocating off balance sheet items. Firms need to consider the essential interest-bearing characteristics of these instruments. For example: FSA017 definitions Page 1

Swaps: if a fixed rate mortgage of 3 years maturity is swapped to a 6 month LIBOR rate then the impact on the gap analysis should be shown by placing the notional swapped amount into the 3 year liability time bucket and the same amount in the 6 month asset time bucket. FRAs: if a deposit is due to reprice in 3 months time for 3 months and the firm wishes to hedge its exposure, then it might do so by buying an FRA where in 3 months time it receives an amount of interest covering the further 3 month period (i.e. it will buy a 3v6 FRA). This should be shown as a 6 month liability and a 3 month asset in the gap analysis, reflecting the fact that effectively (a) the firm has locked in now (at time zero) to paying a fixed rate in 3 months time covering a 3 month period (hence in total 6 months), and (b) the firm has an exposure now for 3 months to the rate at which the receiving leg of the FRA will settle. In 3 months time, on settlement, the FRA will disappear from the analysis as proceeds, or preferably payments, will have been settled and the derivative interest rate exposure extinguished. Non interest rate sensitive items (e.g. fixed assets, reserves or interest accruals) should be placed in the most distant time bucket. This should not be included in the sensitivity calculations but remains on the gap report for the sake of balance sheet completeness. The FSA recognises that there are several schools of thought over where to allocate reserves in a gap analysis and will consider other board-approved scenarios which are consistently applied and rationalised. Where firms fully hedge or match customer products, in theory, there is no gap created. However, in practice, permanent one-for-one matching is not always possible. There may be lead times during which the asset/liability and the related hedge/match are out of step. For example, this may occur when swapping fixed rate mortgages: the mortgages can complete over a period of time, whilst the swap is typically effected in full at a particular point in time. A perfect match or hedge may be disrupted by the early repayment of a fixed rate mortgage or early withdrawal of a fixed rate savings product on the death of an investor. The FSA recognises that the contractual repricing relating to certain assets and liabilities do not bear a close relationship to their actual behavioural characteristics. So a firm may report its interest rate gap analysis after taking account of these behavioural assumptions; these should be included in the rows for "adjusted for actual expected re-pricing date". Where balances are committed but not yet drawn down, the amount should be included in the relevant row for "pipeline products". The information in respect of balances to be reported in column A should not be fair-valued but should report the contractual position. The data item should be completed for all currencies in aggregate.

FSA017 definitions Page 2

FSA017 Interest rate gap report validations

Internal validations Data elements are referenced first by row then by column.
Validation number Data element

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28

1A 2A 3A 4A 5A 6A 7A 8A 10A

= 2% = 2B+2C+2D+2E+2F+2G+2H+2J+2K+2L+2M+2N+2P+2Q = 3B+3C+3D+3E+3F+3G+3H+3J+3K+3L+3M+3N+3P+3Q [deleted replaced by validation 201] = 4B+4C+4D+4E+4F+4G+4H+4J+4K+4L+4M+4N+4P+4Q = 5B+5C+5D+5E+5F+5G+5H+5J+5K+5L+5M+5N+5P+5Q = 6B+6C+6D+6E+6F+6G+6H+6J+6K+6L+6M+6N+6P+6Q [deleted replaced by validation 202] = 7B+7C+7D+7E+7F+7G+7H+7J+7K+7L+7M+7N+7P+7Q = 8B [deleted replaced by validation 203] = 10B+10C+10D+10E+10F+10G+10H+10J+10K+10L+10M+10N +10P+10Q [deleted replaced by validation 205] [deleted replaced by validation 206] [deleted replaced by validation 207] [deleted replaced by validation 208] [deleted replaced by validation 209] [deleted replaced by validation 210] [deleted replaced by validation 211] [deleted replaced by validation 212] [deleted replaced by validation 213] [deleted replaced by validation 214] [deleted replaced by validation 215] [deleted replaced by validation 216] [deleted replaced by validation 217] [deleted replaced by validation 218] [deleted replaced by validation 219]

11A

= 11B+11C+11D+11E+11F+11G+11H+11J+11K+11L+11M+11N +11P+11Q FSA017 validations Page 1

29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57

12A 13A 13A 13B 13C 13D 13E 13F 13G 13H 13J 13K 13L 13M 13N 13P 13Q 14A 15A

= 12B+12C+12D+12E+12F+12G+12H+12J+12K+12L+12M+12N +12P+12Q = 13B+13C+13D+13E+13F+13G+13H+13J+13K+13L+13M+13N +13P+13Q = 10A+11A+12A = 10B+11B+12B = 10C+11C+12C = 10D+11D+12D = 10E+11E+12E = 10F+11F+12F = 10G+11G+12G = 10H+11H+12H = 10J+11J+12J = 10K+11K+12K = 10L+11L+12L = 10M+11M+12M = 10N+11N+12N = 10P+11P+12P = 10Q+11Q+12Q = 14B+14C+14D+14E+14F+14G+14H+14J+14K+14L+14M+14N +14P+14Q = 15B+15C+15D+15E+15F+15G+15H+15J+15K+15L+15M+15N +15P+15Q [deleted replaced by validation 220] = 16B+16C+16D+16E+16F+16G+16H+16J+16K+16L+16M+16N +16P+16Q = 17B+17C+17D+17E+17F+17G+17H+17J+17K+17L+17M+17N +17P+17Q = 18B+18C+18D+18E+18F+18G+18H+18J+18K+18L+18M+18N +18P+18Q [deleted replaced by validation 221] = 19B+19C+19D+19E+19F+19G+19H+19J+19K+19L+19M+19N +19P+19Q = 20B = 8A = 8B [deleted replaced by validation 223] FSA017 validations Page 2

16A 17A 18A

19A 20A 20A 20B

58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87

22A 23A

= 22B+22C+22D+22E+22F+22G+22H+22J+22K+22L+22M+22N +22P+22Q = 23B+23C+23D+23E+23F+23G+23H+23J+23K+23L+23M+23N +23P+23Q [deleted replaced by validation 224] = 24B+24C+24D+24E+24F+24G+24H+24J+24K+24L+24M+24N +24P+24Q [deleted replaced by validation 225] [deleted replaced by validation 226] [deleted replaced by validation 227] [deleted replaced by validation 228] [deleted replaced by validation 229] [deleted replaced by validation 230] [deleted replaced by validation 231] [deleted replaced by validation 232] [deleted replaced by validation 233] [deleted replaced by validation 234] [deleted replaced by validation 235] [deleted replaced by validation 236] [deleted replaced by validation 237] [deleted replaced by validation 238] [deleted replaced by validation 239]

24A

25A 25A 26A 26A 27A 27A 27A 27B 27C 27D 27E

= 25B+25C+25D+25E+25F+25G+25H+25J+25K+25L+25M+25N +25P+25Q = 11A = 26B+26C+26D+26E+26F+26G+26H+26J+26K+26L+26M+26N +26P+26Q = 12A = 27B+27C+27D+27E+27F+27G+27H+27J+27K+27L+27M+27N +27P+27Q = 13A = 24A+25A+26A = 24B+25B+26B = 24C+25C+26C = 24D+25D+26D = 24E+25E+26E FSA017 validations Page 3

88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121

27F 27G 27H 27J 27K 27L 27M 27N 27P 27Q 28A 28A 28B 28C 28D 28E 28F 28G 28H 28J 28K 28L 28M 28N 28P 28Q

= 24F+25F+26F = 24G+25G+26G = 24H+25H+26H = 24J+25J+26J = 24K+25K+26K = 24L+25L+26L = 24M+25M+26M = 24N+25N+26N = 24P+25P+26P = 24Q+25Q+26Q = 28B+28C+28D+28E+28F+28G+28H+28J+28K+28L+28M+28N +28P+28Q = 0 = 13B-27B = 13C-27C = 13D-27D = 13E-27E = 13F-27F = 13G-27G = 13H-27H = 13J-27J = 13K-27K = 13L-27L = 13M-27M = 13N-27N = 13P-27P = 13Q-27Q [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] FSA017 validations Page 4

122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156

[deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] FSA017 validations Page 5

157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191

[deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted replaced by validation 253] [deleted replaced by validation 254] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] FSA017 validations Page 6

192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 3A 6A 9A 10A 10A 10B 10C 10D 10E 10F 10G 10H 10J 10K 10L 10M 10N 10P 10Q 15A 18A 19A 21A 23A 24A

[deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] [deleted] = 0 = 0 = 9B+9C+9D+9E+9F+9G+9H+9J+9K+9L+9M+9N+9P+9Q = 24A = 2A+3A+4A+5A+6A+7A+8A+9A = 2B+3B+4B+5B+6B+7B+8B+9B = 2C+3C+4C+5C+6C+7C+9C = 2D+3D+4D+5D+6D+7D+9D = 2E+3E+4E+5E+6E+7E+9E = 2F+3F+4F+5F+6F+7F+9F = 2G+3G+4G+5G+6G+7G+9G = 2H+3H+4H+5H+6H+7H+9H = 2J+3J+4J+5J+6J+7J+9J = 2K+3K+4K+5K+6K+7K+9K = 2L+3L+4L+5L+6L+7L+9L = 2M+3M+4M+5M+6M+7M+9M = 2N+3N+4N+5N+6N+7N+9N = 2P+3P+4P+5P+6P+7P+9P = 2Q+3Q+4Q+5Q+6Q+7Q+9Q = 0 = 0 = 4A+7A-16A = 21B+21C+21D+21E+21F+21G+21H+21J+21K+21L+21M+21N +21P+21Q = 0 = 14A+15A+16A+17A+18A+19A+20A+21A+22A+23A FSA017 validations Page 7

226 227 228 229 230 231 232 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257

24B 24C 24D 24E 24F 24G 24H 24J 24K 24L 24M 24N 24P 24Q 31B 31C 31D 31E 31F 31G 31H 31J 31K 31L 31M 38A 39A 40A 41A 42A

= 14B+15B+16B+17B+18B+19B+20B+21B+22B+23B = 14C+15C+16C+17C+18C+19C+21C+22C+23C = 14D+15D+16D+17D+18D+19D+21D+22D+23D = 14E+15E+16E+17E+18E+19E+21E+22E+23E = 14F+15F+16F+17F+18F+19F+21F+22F+23F = 14G+15G+16G+17G+18G+19G+21G+22G+23G = 14H+15H+16H+17H+18H+19H+21H+22H+23H = 14J+15J+16J+17J+18J+19J+21J+22J+23J = 14K+15K+16K+17K+18K+19K+21K+22K+23K = 14L+15L+16L+17L+18L+19L+21L+22L+23L = 14M+15M+16M+17M+18M+19M+21M+22M+23M = 14N+15N+16N+17N+18N+19N+21N+22N+23N = 14P+15P+16P+17P+18P+19P+21P+22P+23P = 14Q+15Q+16Q+17Q+18Q+19Q+21Q+22Q+23Q = 31C+28B = 31D+28C = 31E+28D = 31F+28E = 31G+28F = 31H+28G = 31J+28H = 31K+28J = 31L+28K = 31M+28L = 31N+28M [deleted replaced by validation 337] = 38B+38C+38D+38E+38F+38G+38H+38J+38K+38L+38M+38N +38P = 39B+39C+39D+39E+39F+39G+39H+39J+39K+39L+39M+39N +39P = 40B+40C+40D+40E+40F+40G+40H+40J+40K+40L+40M+40N +40P = 41B+41C+41D+41E+41F+41G+41H+41J+41K+41L+41M+41N +41P = 42B+42C+42D+42E+42F+42G+42H+42J+42K+42L+42M+42N +42P FSA017 validations Page 8

258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292

44B 44C 44D 44E 44F 44G 44H 44J 44K 44L 44M 44N 44P 45B 45C 45D 45E 45F 45G 45H 45J 45K 45L 45M 45N 45P 46C 46D 46E 46F 46G 46H 46J 46K

= 1/((1+43B)^34B) = 1/((1+43C)^34C) = 1/((1+43D)^34D) = 1/((1+43E)^34E) = 1/((1+43F)^34F) = 1/((1+43G)^34G) = 1/((1+43H)^34H) = 1/((1+43J)^34J) = 1/((1+43K)^34K) = 1/((1+43L)^34L) = 1/((1+43M)^34M) = 1/((1+43N)^34N) = 1/((1+43P)^34P) = 1/((1+(43B+1A))^34B) = 1/((1+(43C+1A))^34C) = 1/((1+(43D+1A))^34D) = 1/((1+(43E+1A))^34E) = 1/((1+(43F+1A))^34F) = 1/((1+(43G+1A))^34G) = 1/((1+(43H+1A))^34H) = 1/((1+(43J+1A))^34J) = 1/((1+(43K+1A))^34K) = 1/((1+(43L+1A))^34L) = 1/((1+(43M+1A))^34M) = 1/((1+(43N+1A))^34N) = 1/((1+(43P+1A))^34P) [deleted replaced by validation 333] = 1/((1+(43C-1A))^34C) = 1/((1+(43D-1A))^34D) = 1/((1+(43E-1A))^34E) = 1/((1+(43F-1A))^34F) = 1/((1+(43G-1A))^34G) = 1/((1+(43H-1A))^34H) = 1/((1+(43J-1A))^34J) = 1/((1+(43K-1A))^34K) FSA017 validations Page 9

293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327

46L 46M 46N 46P 47B 47C 47D 47E 47F 47G 47H 47J 47K 47L 47M 47N 48B 48C 48D 48E 48F 48G 48H 48J 48K 48L 48M 48N 49B 49C 49D 49E 49F 49G 49H

= 1/((1+(43L-1A))^34L) = 1/((1+(43M-1A))^34M) = 1/((1+(43N-1A))^34N) = 1/((1+(43P-1A))^34P) = 28B*44B = 28C*44C = 28D*44D = 28E*44E = 28F*44F = 28G*44G = 28H*44H = 28J*44J = 28K*44K = 28L*44L = 28M*44M = 28N*44N = 28B*45B = 28C*45C = 28D*45D = 28E*45E = 28F*45F = 28G*45G = 28H*45H = 28J*45J = 28K*45K = 28L*45L = 28M*45M = 28N*45N = 28B*46B = 28C*46C = 28D*46D = 28E*46E = 28F*46F = 28G*46G = 28H*46H FSA017 validations Page 10

328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348

49J 49K 49L 49M 49N 46B 47P 48P 49P 31N 31P 38B 38C 38D 38E 38F 38G 38H 38J 38K 38L

= 28J*46J = 28K*46K = 28L*46L = 28M*46M = 28N*46N = 1/1((1+43B-1))^34B = 28P*44P = 28P*45P = 28P*46P = 28N = 28P

= 48B-47B = 48C-47C = 48D-47D = = = = = = = 48E-47E 48F-47F 48G-47G 48H-47GH 48J-47J 48K-47K 48L-47L

FSA017 validations Page 11

349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364

38M 38N 38P 39B 39C 39D 39E 39F 39G 39H 39J 39K 39L 39M 39N 39P

= = = = = = = = = = = = = = = =

48M-47M 48N-47N 48P-47P 49B-47B 49C-47C 49D-47D 49E-47E 49F-47F 49G-47G 49H-47H 49J-47J 49K-47K 49L-47L 49M-47M 49N-47N 49P-47P

FSA017 validations Page 12

FSA018 UK integrated group large exposures

This data item captures information on large exposures, by a UK integrated group to the diverse blocks and the residual block, under BIPRU 10.8 and BIPRU 10.9. A single report is required for all members of the UK integrated group, although each individual member of the UK integrated group will need to reflect its share of any CNCOM (reported below in column N) in Part 3 of its FSA003. It reflects the exposures at the reporting date. Unless indicated otherwise, the valuation of items should follow GENPRU 1.3. Valuation Unless indicated otherwise, the valuation of data elements should follow GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Individual rows within an element are identified as 2B.1, 2B.2 etc. General 1 Identify the UK integrated group

[To follow] 2 FSA Firm Reference Numbers

List the FSA Firm Reference Numbers for all the authorised firms in the UK integrated group. As this report is a joint requirement across all firms that are members of that group, this notifies us which firms requirements are being met by this data item. Firms should be listed sequentially in 2A, with the FSA Firm Reference Numbers being entered in 2B. 3A Group capital resources under BIPRU 10.8.13R

This is the capital resources of the UK integrated group calculated in accordance with BIPRU 10.8.13R and BIPRU 10.8.14G. 4A Exposure number

Please number each exposure consecutively. 4B Wider integrated group diverse blocks, and residual block

List here the diverse blocks and residual block to which there are exposures at the reporting date. FSA018 definitions Page 1

4C

Gross exposure

Report here the gross exposures calculated in accordance with BIPRU 10.2 and BIPRU 10.4. 4D % of capital resources under BIPRU 10.8.13R

This is column C as a percentage of data element 3A. It should be entered to two decimal places, omitting the % sign. 4E Exposure after credit risk mitigation

This is the figure reported in column D after credit risk mitigation. This figure is subsequently broken down in columns F to M. 4F Amount of the exposure that is exempt

That part of the amount reported in column E that is an exempt under BIPRU 10.6 and BIPRU 10.7. 4G % of capital resources under BIPRU 10.8.13R

This is column F as a percentage of data element 3A. It should be entered to two decimal places, omitting the % sign. 4H Amount of the exposure that is not exempt and is in the non-trading book

That part of the exposure reported in column E that is not exempt and is in the non-trading book. 4J % of capital resources under BIPRU 10.8.13R

This is column H as a percentage of the capital resources under BIPRU 10.8.13R. It should be entered to two decimal places, omitting the % sign. 4K Amount of the exposure that is not exempt and is in the trading book

That part of the exposure reported in column E that is not exempt and is in the trading book. 4L % of capital resources under BIPRU 10.8.13R

This is column K as a percentage of the capital resources under BIPRU 10.8.13R. It should be entered to two decimal places, omitting the % sign. 4M Aggregate % of capital resources under BIPRU 10.8.13R

This is the sum of columns J and L. The total of the column should be monitored against the limit set out in BIPRU 10.8.7R. It should be entered to two decimal places, omitting the % sign. 4N CNCOM

This is the amount of CNCOM calculated as set out in BIPRU 10.10.2R, before being allocated to individual members of the UK integrated group in accordance with BIPRU 10.10.3R and BIPRU 10.10.4R. As this will be reported later than each firms individual FSA008, firms will be expected to have sufficient capital resources at the reporting dates to meet this requirement. FSA018 definitions Page 2

FSA018 UK integrated group large exposures validations

Internal validations Data elements are referenced by row then column. 1 2 3 4 5 6 7 8 9 10 4LT 11 12 4NT 13 4NT 14 4E 15 4F 16 4D 17 4G 18 4J 19 4L 20 4M = = = = = = = = 4JT 4K 4F+4H+4K = = 4H 2CT = 2C [deleted replaced by validation 16] [deleted replaced by validation 17] 4E [deleted replaced by validation 18] 4J 4E 4E [deleted replaced by validation 19] 4L [deleted replaced by validation 20] 4N 2CT 4C 4E (4C/3A) * 100 (4F/3A) * 100 (4H/3A) * 100 (4K/3A) * 100 ((4H+4K)/3A) * 100

FSA018 validations Page 1

FSA019 Pillar 2 questionnaire

This data, supplemented by other relevant data, will be used to inform the intensity of our risk assessment of a firm, or its group, under the Supervisory Review and Evaluation Process (SREP). It will allow us to reduce supervisory time by helping us to identify those firms with a risk profile for which we will carry out additional individual or thematic work. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. 1B Does GENPRU 1.2 apply to your firm?

See GENPRU 1.2.1R and GENPRU 1.2.44G to GENPRU 1.2.59R. The answer is either Yes or No. Subsequent sections are only completed if the answer to 1B is Yes. 2B What is the internal capital amount that you consider adequate?

See GENPRU 1.2.26R. Enter the figure in 000s. 3B What is the actual amount of internal capital that your firms holds at the accounting reference date? See GENPRU 1.2.26R. Enter the figure in 000s. 4B Have you documented your ICAAP?

See GENPRU 1.2.60R. The answer is either Yes or No. 5B When did you last review the ICAAP?

See GENPRU 1.2.39R and GENPRU 1.2.40G. The answer should be in ddmmyy format. 6B Have your external auditors audited your firms financial statements in the last 12 months? The answer Yes, No or Not applicable.

FSA019 definitions Page 1

7B If so, has any audit opinion you received in the last year been qualified in any respect? This question should only be answered if the response to data element 6B was Yes. The answer to this question is either Yes or No. 8B What is the ratio of dealing errors in relation to the total number of transactions your firm has undertaken in the last 12 months? See GENPRU 1.2.30R. This figure should be a percentage to one decimal place. 9B Have you considered your firms risk appetite when developing its ICAAP?

See GENPRU 1.2.75G (2). The answer is either Yes or No. 10B and 11B In your ICAAP, have you considered the impact of an economic downturn on your firms financial capital, and your business plans? See GENPRU 1.2.30R (1) and GENPRU 1.2.73R (1). The answer to each question is either Yes or No. 12A to 23A Is your firm exposed to the risks listed

See GENPRU 1.2.30R. The answer to each question is either Yes or No. 12B to 23B them? If so, what is the amount of internal capital you have allocated to each of

For each answer in Column A that is Yes, enter the amount in column B in 000s. 24B Does your firm have any professional indemnity insurance?

The answer is either Yes or No. 25B If so, what is the limit of the indemnity in the aggregate?

If the answer to data element 24B is Yes, enter the amount here in 000s. 26B What is the greatest deductible single claim?

If the answer to data element 24B is Yes, enter the amount here in 000s. 27B What is the credit rating of the lead underwriter?

Only answer if you answered Yes to data element 24B. This is a text field to accept any value. 28B In your firms ICAAP, do you take account of the results of the stress tests set out in BIPRU 4.3.39R and BIPRU 4.3.40R? See BIPRU 4.3.39R and BIPRU 4.3.40R. The answer is either Yes or No.

FSA019 definitions Page 2

29B Does your firm deduct illiquid assets as set out in GENPRU 2.2.17R to GENPRU 2.2.19R? See GENPRU 1.2.30R, GENPRU 2.2.17R to GENPRU 2.2.19R, and GENPRU 2.2.260R to GENPRU 2.2.262G. The answer is either Yes or No. 30B Does your firm have sufficient liquidity to meet your liabilities as they fall due in the circumstances of an orderly wind down? See GENPRU 1.2.30R. The answer is either Yes or No. 31B Report the amount of illiquid assets

See GENPRU 1.2.30R, and GENPRU 2.2.260R to GENPRU 2.2.262G. This number should be entered in integers. 32B Do you use credit risk mitigation techniques?

See GENPRU 1.2.30R. The answer is either Yes or No. 33B If so, have you considered in your ICAAP the fact that those techniques may not fully work as anticipated? This is only relevant if you answered Yes to data element 32B. See GENPRU 1.2.30R. The answer is either Yes or No. 34B Have you securitised assets in the last 12 months?

See GENPRU 1.2.30R. The answer is either Yes or No. 35B Do you use an internal model as described in BIPRU 7.10 to calculate your regulatory market risk? See BIPRU 7.10. The answer is either Yes or No. 36B If so, have you taken the results of the market risk stress tests in your ICAAP into account? This is only relevant if you answered Yes to data element 35B. See BIPRU 7.10, BIPRU 7.10.72R and BIPRU 7.10.73G. The answer is either Yes or No. 37B Report the result of a 200 basis point shock to interest rate on your firms economic value See BIPRU 2.3.7R (2). Enter the figure in 000s. 38B Does the result of the above stress test exceed 20% of your economic value?

See BIPRU 2.3.7R (3). The answer to this is either Yes or No.

FSA019 definitions Page 3

39B Would the valuation adjustments required under GENPRU 1.3.35G enable you to sell out of hedge your firms positions within a short period without incurring material losses under normal market conditions? See GENPRU 1.3.29R to GENPRU 1.3.35G. The answer to this is either Yes or No.

FSA019 definitions Page 4

FSA019 Pillar 2 questionnaire validations

Internal validations There are no validations for this data item.

FSA019 validations Page 1

FSA020 Balance sheet (ELMIs)

There are no definitions for this data item.

FSA020 definitions Page 1

FSA020 Balance sheet (ELMIs) validations

Internal validations Data elements are referenced by row then column. Validation number 1 2 3 4 5 6 7 8 9 10 11 33A 33A 22A = = Data elements 10A 12A 20A 23A 26A 28A 29A = = = = = = 1A+2A+3A+4A+5A+6A+7A+8A+9A 11A 15A+16A+17A+18A+19A 20A+21A-22A 24A+25A 26A+27A 23A+28A [deleted replaced by validation 10] 10A 11A+13A+14A+20A-21A+28A+30A+31A+32A 6A+8A

External validations Validation number 1 2 3 4 5 Data elements 11A 29A 3A 4A 11A = = = = FSA022.2A FSA022.1A FSA025.3A FSA025.3A FSA025.5A

FSA020 definitions Page 2

FSA021 Income statement (ELMIs)

There are no definitions for this data item.

FSA021 definitions Page 1

FSA021 Income statement (ELMIs) validations

Internal validations There are no validations for this data item.

FSA021 validations Page 1

FSA022 Capital adequacy (ELMIs)

There are no definitions for this data item.

FSA022 definitions Page 1

FSA022 Capital adequacy (ELMIs) validations

Internal validations Data elements are referenced first by row then by column. Validation number 1 External validations Validation number 1 2 Data element 1A 2A = = FSA020.29A FSA020.11A Data element 4A = 1A/(maximum 2A, 3A)

FSA022 validations Page 1

FSA023 Foreign exchange risk (ELMIs)

There are no definitions for this data item

FSA023 definitions Page 1

FSA023 Foreign exchange risk (ELMIs) validations

Internal validations Data elements are referenced first by row then by column. Validation number 1 2 3 4 5 6 7 8 15C 16C 12C = = = Data element 9A 10B 11C = = = 1A+2A+3A+4A+5A+6A+7A+8A 1B+2B+3B+4B+5B+6B+7B+8B Maximum 9A, 10B [deleted replaced by validation 5] [deleted replaced by validation 8] 13C-12C 14C-12C 11C*8%

FSA023 definitions Page 2

FSA024 Large exposures (ELMIs)

There are no definitions for this data item.

FSA024 definitions Page 1

FSA024 Large exposures (ELMIs) validations

Internal validations

Validation number 1 2

Data element 1BT 1CT = = 1B 1C

FSA024 definitions Page 1

FSA025 Liquidity (ELMIs)

There are no definitions for this data item.

FSA025 definitions Page 1

FSA025 Liquidity (ELMIs) validations

Internal validations Data elements are referenced first by row then by column. Validation number 1 2 3 4 5 External validations Validation number 1 2 3 4 5 6 5A 3A 1A 4A = = = Data elements 2A = FSA020.3A [deleted replaced by validation 4] FSA020.11A FSA020.4A FSA020.1A+FSA020.2A 1A+2A+(min (FSA020.29A*20%), 3A) 4A 6A = Data elements [deleted see external validation 5] 4A/5A ( 1) [deleted see external validation 6] [deleted replaced by validation 5] 1A+2A+3A

FSA025 definitions Page 2

FSA026 ELMI questions

There are no definitions for this data item.

FSA026 definitions Page 1

FSA026 ELMI questions validations

Internal validations There are no validations for this data item.

FSA026 validations Page 1

FSA028 Non-EEA sub-groups

This data item should be completed if a BIPRU firm is a member of a non-EEA sub-group, as set out in BIPRU 8. Firms should use the diagrams in BIPRU 8 Annex 3G, in conjunction with BIPRU 8.3, to help them understand in the first instance whether a non-EEA sub-group exists. If a non-EEA sub-group exists, and has been identified as existing on FSA001 (or FSA009), then this data item should be completed. However, where a firm concludes that the reporting requirement is fully met by another regulatory submission of FSA003/FSA009 (which will either be a soloconsolidated submission, or a UK consolidation group submission), it should be noted on this data item, which can then be submitted with no further information required. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. 27A Do you have a non-EEA group you are reporting on behalf of?

Firms should view the examples of non-EEA sub groups in BIPRU 8 Annex 3R. If the firm is at the top of a non-EEA sub group (eg the UK bank in non-EEA sub group 1 in Example 5, and also UK bank 2 in the case of non-EEA sub group 2 in Example 4), then you should answer 'yes'. If however the firm is not at the top of a non-EEA sub group, for example the UK investment firms in non-EEA sub group 1 Example 5), the answer will be 'no'. Thus for any non-EEA sub group, there should only be a single firm that answers 'yes' to this data element. Firms that answer 'no' need not complete the data item further, but are still required to submit the data item. 1A Is your non-EEA sub-group reporting requirement satisfied by your soloconsolidated FSA003/FSA009? The diagrams in BIPRU 8 Annex 3G, in conjunction with BIPRU 8.3, should assist firms in identifying those circumstances when a non-EEA sub-group exists and when a soloconsolidated FSA003 or FSA009 will satisfy the reporting requirement. Firms should answer Yes or No. Firms answering Yes do not need complete the rest of the data elements. 2A Is your non-EEA sub-group reporting requirement satisfied by your UK consolidation group FSA003/FSA009? The diagrams in BIPRU 8 Annex 3G, in conjunction with BIPRU 8.3, should assist firms in identifying those circumstances when a UK consolidation group exists and when a UK consolidation group FSA003 or FSA009 will satisfy the reporting requirement. Firms should answer Yes or No. Firms answering Yes should complete 3A, and then do not need to complete the rest of the data elements.

FSA028 definitions Page 1

3A If the answer to 2A is Yes, what is the reference number of the UK consolidation group? Firms should enter the reference number used for the submission of the UK consolidation group FSA003/FSA009. 4A What is the currency of the report? Firms should identify the currency of the data item from the selection provided. Acceptable currencies are Sterling, Euro, US Dollar, Canadian Dollar, Swedish Kroner, Swiss Franc and Japanese Yen. Figures should be reported in 000s. 5A Total tier one capital after deductions GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to Stage F in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R. 6A Total tier two capital after deductions GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to stage K in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R. 7A Deductions from the totals of tier one and two GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to stage M in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R.

FSA028 definitions Page 2

8A

Total tier one capital plus tier two capital after deductions GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision.

This is equivalent to Stage N in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R. 9A Total tier three capital GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This figure is equivalent to Stage Q in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R. 10A Deductions from total capital GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. This is equivalent to Stage S in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R. 11A Total capital after deductions GENPRU 2 Annex 2R, for a UK bank; GENPRU 2 Annex 3R, for a building society; GENPRU 2 Annex 4R, for a BIPRU investment firm deducting material holdings; GENPRU 2 Annex 5R, for a BIPRU investment firm deducting illiquid assets; and GENPRU 2 Annex 6R, for a BIPRU investment firm with a waiver from consolidated supervision. FSA028 definitions Page 3 This figure is equivalent to Stage T in:

Firms should also see BIPRU 8.6 and BIPRU 8.7.1R. 12A Credit risk requirement under existing rules This data element is only relevant up to and including 31 December 2007. Thereafter, it must be zero. This should only be completed by firms that have not yet adopted one of the approaches to credit risk set out in BIPRU 3 and BIPRU 4. 13A Market risk capital requirement under existing rules This data element is only relevant up to and including 31 December 2007. Thereafter, it must be zero. This should only be completed by firms that have not yet adopted one of the approaches to credit risk set out in BIPRU 3 and BIPRU 4. 14A Other capital requirements under existing rules This data element is only relevant up to and including 31 December 2007. Thereafter, it must be zero. Enter here any other capital requirements, other than credit or market risk, under existing rules including any secondary requirements arising under BIPRU TP 8.11 R. 15A Total credit risk capital component During 2007, this will be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. See GENPRU 2.1.39R as modified if a firm has an IRB permission, as well as BIPRU 8.7.6R to BIPRU 8.7.11R. 16A Total operational risk capital requirement During 2007, this will be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. See BIPRU 6, BIPRU 8.7.14R and BIPRU 8.7.15R. 17A Reduction in operational risk capital requirement under BIPRU TP 12.8R This is only relevant for a full scope BIPRU investment firm that satisfies the conditions set out in BIPRU TP 12.1R. Firms should report here the amount by which the ORCR reported in data element 16A is reduced as a result of the calculation in BIPRU TP 12.8R (thus data element 16A less this data element will give the reduced ORCR). So 17A will be less than 16A. 18A Counterparty risk capital component During 2007, this will only be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. See BIPRU 14.1.3R, as well as BIPRU 8.7.6R to BIPRU 8.7.11R. 19A Total market risk capital requirement During 2007, this will only be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. See BIPRU 7, GENPRU 2.2.46R, BIPRU 8.7.12R and BIPRU 8.7.13R. FSA028 definitions Page 4

20A

Concentration risk capital component

During 2007, this will only be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. See BIPRU 10.5.14R to BIPRU 10.5.21G, as well as BIPRU 8.7.6R and BIPRU 8.9, for details of how this is calculated. 21A Fixed overheads requirement During 2007, this will only be completed by firms that have adopted one of the new approaches to credit risk at the reporting date. See GENPRU 2.1.40R to GENPRU 2.1.46G. 22A Capital requirements Report here your calculation of your capital requirement. For firms that have not adopted the new approaches to credit risk yet, the figure may well differ from that reported in your existing regulatory returns under SUP 16.7. Although this may be expected, firms should be able to explain how the differences from that have arisen. 23A Capital resources requirement arising from the operation of capital floors This will only be completed by firms that have adopted the IRB approach to credit risk or AMA for operational risk.. See BIPRU TP2. When reporting, the scaling factors set out in BIPRU TP2.8R should have been applied. 24A Surplus/Deficit of own funds This is data element 11A less data element 22A. Although not reported here, firms that have adopted the IRB approach should also be monitoring data element 23A in relation to item 11A. Large exposures 25A Capital resources Enter here either a figure based on the previously reported capital resources for this non-EEA sub-group in data element 8A on the last submission, adjusted for those items excluded under BIPRU 10.5.5R, or alternatively a figure based on the capital resources figure reported in data element 8A above on this report, adjusted for those items excluded under BIPRU 10.5.5R. Firms should report figures on a consistent basis. 26 Counterparty details Enter each counterparty name or group name for each large exposure at the reporting date, together with the appropriate details of the exposure. 26A Exposure number Please number each large exposure consecutively. 26B Counterparty name

List here the names of the counterparties, groups of connected clients, and connected counterparties (as set out in BIPRU 10.3) that represent large exposures.

FSA028 definitions Page 5

26C

Amount of the exposure that is exempt

The amount of the exposure, after credit risk mitigation techniques, that is exempt under BIPRU 10.6 26D Amount of the exposure that is not exempt and is in the non-trading book

The amount of the exposure, after credit risk mitigation techniques, that is not exempt and is in the non-trading book. 26E Amount of the exposure that is not exempt and is in the trading book

The amount of the exposure, after credit risk mitigation techniques, that is not exempt and is in the trading book. 26F Non-exempt % of capital resources under BIPRU 10.5.2R

This is columns D plus E as a percentage of the capital resources under BIPRU 10.5.2R reported in data element 25A. It should be entered to two decimal places, omitting the % sign. 26G CNCOM

The amount of CNCOM calculated as set out in BIPRU 10.5.14R to 10.5.21G.

FSA028 definitions Page 6

FSA028 Non-EEA sub-groups validations

Internal validations Data elements are referenced by row then column. Validation number 1 2 3 4 Data element 8A 11A 17A 24A = = = 5A + 6A - 7A 8A + 9A - 10A 16A 11A-22A

FSA028 validations Page 1

FSA029 Balance Sheet

Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor firms' capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory Annual Accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way. The requirement that any figures be audited does not apply to small companies exempted from audit under the Companies Act 2006. Description Fixed Assets Intangible assets Data element Guidance

Fixed assets include all assets used by the firm in its activities on a continuing basis. 1A Intangible assets include goodwill, capitalised development costs, patents, licences, exchange seats (such as seats on LIFFE), trademarks and similar rights. Exchange seats held for investment purposes may be treated as a fixed asset investment.

FSA029 definitions Page 1

Current assets Trade debtors due within 90 days Trade debtors due after 90 days 6A 7A Amounts due from counterparties should be reflected at gross amounts less any provisions for bad and doubtful debts. Netting is only permitted to the extent that there is express agreement with the counterparty that balances may be settled on a net basis. Firms should ensure that trading book debtors under and over 90 days are disclosed separately. These include debtors not arising from trading book activities. Examples of these are corporate finance fees, commissions, interest and dividends not directly related to items in the trading book. Firms should ensure that non-trading book debtors under and over 90 days and debts with affiliates and non-affiliates are disclosed separately. Segregated client monies on the balance sheet should be disclosed separately from other non segregated funds.

Non-trade debtors

8A

Cash at bank and in hand segregated Cash at bank and in hand non segregated Ordinary shares Non cumulative preference shares fixed term Non cumulative preference shares non fixed term Cumulative preference shares fixed term Cumulative preference shares non fixed term Retained earnings

11A 12A

Capital - for incorporated entities only 29A 30A Cumulative and non cumulative preference shares for fixed and non fixed terms should be disclosed separately. Preference share capital can only be included in financial resources, provided that there is an agreement in place, that redemption may not take place if it would take the firm into a deficit of financial resources. Preference share capital may only be included in initial capital where the dividends are noncumulative.

31A

32A

33A

38A

This figure should include audited figures where applicable. The requirement that this figure be audited does not apply to small companies exempted from audit under the Companies Act 2006. FSA029 definitions Page 2

Profit / (loss) current year - externally verified Profit / (loss) current year unverified trading book Profit / (loss) current year unverified non trading book

39A

40A

Incorporated firms should ensure that for both prior year brought forward and current year profit and loss, amounts representing externally audited balances and unverified trading and non trading book balances are identified and disclosed separately. Interim profits may only be included in a firm's initial capital where they have been verified by an external auditor. The requirement that this figure be audited does not apply to small companies exempted from audit under the Companies Act 2006.

41A

Off Balance sheet items

43A, 43B, 43C

Select the off-balance sheet items from the following items: structured products; OTCs; derivatives; operating leases; offshore entities; securitised transactions; and other. This represents capital introduced by the partners or sole trader There should be a legal agreement in place to ensure that this capital can not be removed if it would take the firm into a deficit of its financial resources. These can only be included in a firms capital where they have been verified by an external auditor. Unincorporated firms should ensure that for both prior year brought forward and current year current account, amounts representing externally audited balances and unverified trading and non trading book balances are identified and disclosed separately. Interim current account may only be included in a firm's initial capital where they have been verified by an external auditor. The requirement that this figure be audited does not apply to small companies exempted from audit under the Companies Act 2006.

Capital for Partnerships or sole traders only Capital account 44A

Retained earnings

45A

Current account current year externally verified Current account current year unverified trading book Current account current year unverified non trading book Off Balance sheet items

46A

47A

48A

50A, 50B, 50C

Select the off-balance sheet items from the following items: structured products; OTCs; derivatives; operating leases; offshore entities; securitised transactions; and other. FSA029 definitions Page 3

Capital for Limited Liability Partnerships only Off Balance sheet items 54A, 54B, 54C Select the off-balance sheet items from the following items: structured products; OTCs; derivatives; operating leases; offshore entities; securitised transactions; and other.

FSA029 definitions Page 4

FSA029 Balance sheet validations

Internal validations Data elements are referenced by row, then column. Validation Data number element 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 27A 28A 34A 42A 42A 44A 49A 49A 51A 53A 53A 55A 21A = = = = 4A 13A = = 1A + 2A + 3A 5A + 6A + 7A + 8A + 9A + 10A + 11A + 12A [deleted replaced by validation 16] 22A + 23A + 24A + 25A + 26A 13A + 21A 27A If 29A = 0, then 0, else (32A + 33A) If 29A = 0, then 0, else (29A + 30A + 31A + 34A + 35A + 36A + 37A + 38A + 39A + 40A + 41A) If 29A = 0, then 0, else 28A If 29A > 0, then 0 If 44A > 0, then (44A + 45A + 46A + 47A + 48A), else 0 If 44A > 0, then 28A, else 0 If (29A + 44A) > 0, then 0 If 51A > 0, then (51A + 52A), else 0 If 51A > 0, then 28A, else 0 14A + 15A + 16A + 17A + 18A + 19A + 20A 13A 55A

FSA043 validations Page 1

FSA030 Income Statement

Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor firms' capital adequacy and financial soundness. The Income Statement should be reported on a cumulative basis throughout the firm's financial year. Defined Terms Terms referred to in these notes where defined by the Companies Acts1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory Annual Accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way. The requirement that any figures be audited does not apply to small companies exempted from audit under the Companies Act 2006. Description Dealing Profit /(Loss) Dealing profits or (loss) - trading 1A This is the total gross profit or loss which arises from market making and other dealings as principal in the financial year to date. Stamp duty, exchange fees, commissions and brokerage and any related interest paid or payable should be deducted. Data element Guidance

FSA030 definitions Page 1

Revenue Gross Commission and brokerage

A firm should complete only the sections relevant to the business it undertakes 5A This includes all commission income in respect of the relevant regulated business. Gross commissions will include commission that is received and passed on to another person. Where commission is shared between two or more firms, the gross commission should not be double counted, i.e. each firm should report only the commission it has received.

Performance fees Investment management fees

6A 7A

Fees received in relation to the firms regulated activities. This is the total of underwriting fees and commissions, fees from investment advice, valuations, management of investments and unit trusts, pension funds, discretionary management and collective investment schemes. This is the total of all income earned by the firm from corporate finance business. You should record here any income that has derived from its business in the financial year, which has not been recorded under commissions or fees. Such income may include interest on client money, where the firm is permitted to retain this, or payments made by product providers on a basis other than fees or commissions.

Corporate Finance Other revenue

9A 12A

Expenditure Commissions and fees 15A This is the total of commissions paid and shared, plus fees, brokerage and other charges paid in relation to the business. This is the total of foreign exchange losses. This is the total of interest payable on borrowings of the firm and interest payable on client bank accounts.

Foreign exchange losses Interest expense

18A 20A

FSA030 definitions Page 2

Following section for incorporated entities only Profit or (loss) on ordinary activities before taxation Appropriations 23A Profit / (loss) from the activities carried out by a firm in the carrying out of its business. Includes dividends paid, or any other items paid out by the firm. Operating profit / (loss) arising from the day to day activities of the firm.

26A

Following section for LLPs only Operating Profit or (loss) 28A

FSA030 definitions Page 3

FSA030 Income statement validations

Internal validations Data elements are referenced by row, then column. Validation number 1 2 3 4 5 6 7 8 Data element 4A 14A 22A 23A 25A 27A 28A 31A = = = = = = = 1A + 2A + 3A 5A + 6A+ 7A + 8A + 9A + 10A + 11A + 12A + 13A 15A + 16A + 17A + 18A + 19A + 20A + 21A 4A + 14A 22A 23A 24A 25A 26A If 23A 0, then 0, else (4A + 14A 22A) 28A + 29A + 30A

FSA043 validations Page 1

FSA031 Capital Adequacy (for exempt CAD firms subject to IPRU(INV) Chapter 9)
Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor a firm's capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory annual accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way.

Description Regulatory capital

Data element This section has four parts.

Guidance

Part 1 should be completed by all firms Part 2 should only be completed by those firms whose own funds requirement is calculated in accordance with IPRU(INV) 9.2.9R Part 3 should only be completed by those firms whose own funds requirement is calculated in accordance with IPRU(INV) 9.5 Part 4 should be completed by all firms FSA031 definitions Page 1

Part 1 Ordinary share capital which is fully paid Perpetual noncumulative preference share capital which is fully paid Share premium account Reserves excluding revaluation reserves Audited retained earnings Externally verified interim net profits Partners capital Eligible LLP Members Capital (in accordance with the provisions of IPRU(INV) Annex A) Sole trader capital Initial capital Part 2 Initial capital Investment in own shares at book value Intangible shares Material current year losses Revaluation reserves Fixed term cumulative preference share capital Long term subordinated loans 1A 5A Item 1 in IPRU(INV) 9.3.1R Item 2 in IPRU(INV) 9.3.1R

3A 4A 36A 37A 38A 2A

Item 3 in IPRU(INV) 9.3.1R Item 4 in IPRU(INV) 9.3.1R Item 5 in IPRU(INV) 9.3.1R Item 6 in IPRU(INV) 9.3.1R Item 7 in IPRU(INV) 9.3.1R Item 8 in IPRU(INV) 9.3.1R

39A 17A

Item 9 in IPRU(INV) 9.3.1R This comprises the items listed in IPRU(INV) 9.3.1R

To be completed by those firms whose own funds requirement is calculated in accordance with IPRU(INV) 9.2.9R 40A 6A 7A 8A 11A 12A As calculated in Part 1 data element 17A Item 5 in IPRU(INV) Table 5.2.2(1) Item 6 in IPRU(INV) Table 5.2.2(1) Item 7 in IPRU(INV) Table 5.2.2(1) Item 9 in IPRU(INV) Table 5.2.2(1) Item 10 in IPRU(INV) Table 5.2.2(1)

13A

Item 11 in IPRU(INV) Table 5.2.2(1)

FSA031 definitions Page 2

Perpetual cumulative preference share capital and qualifying capital instruments Qualifying arrangements Material holdings in credit and financial institutions and material insurance holdings Part 3 Initial capital Investments in own shares at book value Intangible assets Material current year losses Perpetual cumulative preference share capital Fixed term capital preference shares Perpetual long term subordinated loans Long term subordinated loans Revaluation reserves Part 4 How do you meet your regulatory capital requirement?

14A

Item 12 in IPRU(INV) Table 5.2.2(1)

15A 9A

Item 13 in IPRU(INV) Table 5.2.2(1) Item 8 in IPRU(INV) Table 5.2.2(1)

To be completed by those firms whose own funds requirement is calculated in accordance with IPRU(INV) 9.5 41A 18A 19A 20A 22A As calculated in Part 1 data element 17A In IPRU(INV) Table 9.5.2, item 1 of part B In IPRU(INV) Table 9.5.2, item 2 of part B In IPRU(INV) Table 9.5.2, item 3 of part B In IPRU(INV) Table 9.5.2, item 2 of part C

23A 24A 25A 26A 29A

In IPRU(INV) Table 9.5.2, item 5 of part C In IPRU(INV) Table 9.5.2, item 4 of part C In IPRU(INV) Table 9.5.2, item 3 of part C In IPRU(INV) Table 9.5.2, item 1 of part C The rules allow a firm to specify the method in which it will meet the regulatory capital requirement. A firm can:

Regulatory capital test to be completed by all firms

use capital to meet the regulatory requirement; or use PII to meet the regulatory requirement; or use a combination of capital and PII to meet the regulatory requirement.

A firm should select from the drop-down options. (If a firm uses PII to meet the regulatory FSA031 definitions Page 3

requirement it will nevertheless always require a minimum of 5,000 initial capital) Own funds requirement 30A The own funds requirement (OFR) should be calculated in accordance with section IPRU(INV) 9.2. Where a firm chooses to meet the regulatory requirements using PII the OFR will always be a minimum of 5,000. Other FSA own funds requirements (if applicable) 31A Firms subject to a requirement under another chapter of IPRU(INV) should include that requirement to the extent it exceeds the own funds requirement in 30A. For example, where an ECF also conducts nonMiFID activities, such as operating an unregulated collective investment scheme, it may be subject to a liquid capital requirement under IPRU(INV) chapter 5. The firm would need to express the liquid capital requirement in terms of 'own funds' by adjusting (adding back or deducting as relevant) those items of liquid capital which do not constitute items of the own funds computation e.g. the illiquid assets deduction. Where the liquid capital requirement, expressed in terms of own funds, exceeds the own funds requirement reported in 30A, the difference between both requirements should be reported here. Professional Indemnity Insurance This section requires each firm to confirm it is in compliance with the prudential requirements in relation to professional indemnity insurance (PII). Data is required in relation to all PII policies that a firm has in place, up to a limit of ten (this is provided in columns AH). If a firm has more than ten policies, it should report only on the ten largest policies by premium. For each insurer, if there are any business lines with different excess, then they should be reported in columns J and K (so there can be multiple entries in columns J and K for each insurer). Does your firm hold a Comparable Guarantee in lieu of PII or is it otherwise exempt from PII? 33A This question will establish whether a firm is exempt from the requirements and so is not required to hold PII. If the firm is required to hold PII i.e. is not exempt from holding PII you should enter 'no' in the data field. A firm is NOT exempt from holding PII if:

the firm has a group policy with an insurer; or the firm has permission for the regulated business that requires PII, but does not FSA031 definitions Page 4

currently carry it out; or

it is a personal investment firm meeting the exemption requirements for mortgage intermediaries and insurance intermediaries in MIPRU 3.1.

Select either Comparable guarantee or Exempt. Does your firm conduct insurance mediation activities? Annualised premium 34A Insurance mediation activities are defined in the FSA Handbook glossary. This should state the premium payable (in descending order of size), net of tax and any other add-ons. If the premium covers a period other than 12 months, it should be annualised before ranking. Select the PII insurer from the list provided (to follow). If you have more than one policy with the same insurer, they should be combined. If the insurer is not listed, select Other. If a policy is underwritten by more than one insurance undertaking or Lloyd's syndicate, you should select multiple. Enter the start date of the policy. Enter the renewal date of the policy You should record here the required indemnity limits on the firms PII policy or policies, in relation to single claims. This should be reported in the currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. You should record here the required indemnity limits on the firms PII policy or policies, in aggregate. This should be reported in the currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. You should record here the indemnity limits on the firms PII policy or policies obtained in relation to single claims. This should be reported in the currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. You should record here the indemnity limits on the firms PII policy or policies obtained in aggregate. This should be reported in the currency FSA031 definitions Page 5

35A

PII Insurer

35B

Start date Renewal date Limit of indemnity required single

35C 35D 35E

Limit of indemnity required aggregate

35F

Limited of indemnity obtained single

35G

Limited of indemnity obtained aggregate

35H

of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. Business line 35J For policies that cover all business lines, firms should select All from the list provided (to follow). Where the policy contains different excess for different business lines, firms should identify these business lines from the list (or the closest equivalent) and report the (highest) excess for that business line in data element 35K. Once these non-standard excesses have been identified, the remaining business lines should be reported under All other. (Some typical business types include pensions, endowments, FSAVCs, splits/zeroes, precipice bonds, income drawdown, lifetime mortgages, discretionary management). Policy excess 35K For policies that cover all business lines with no difference in excesses, this should be the excess applicable. Otherwise, it should contain the highest excess for each business line that differs.

FSA031 definitions Page 6

FSA031 Capital Adequacy (for exempt CAD firms subject to IPRU(INV) Chapter 9) validations
Internal validations Data elements are referenced by row, then column. Validation number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 42A 32A = = 17A 40A 10A 16A 41A 28A = = = = = = Data element [deleted replaced by validation 9] [deleted replaced by validation 10] [deleted] [deleted] [deleted replaced by validation 12] [deleted] 1A +5A +3A +4A + 36A + 37A + 38A + 2A + 39A 17A or 0 40A 6A 7A 8A 10A + 11A + 12A + 13A +14A +15A 9A 17A or 0 41A 18A 19A 20A + 22A + 23A + 24A + 25A + 26A 27A [deleted replaced by validation 15] 30A+31A (16A or 28A) 42A

FSA043 validations Page 1

FSA032 Capital Adequacy (for exempt CAD firms subject to IPRU(INV) Chapter 13)
Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor a firms' capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory annual accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in a wrong way Description Regulatory Capital Ordinary share capital which is fully paid up Perpetual noncumulative preference share which is fully paid Share premium account Reserves excluding 1A 5A Item 1 in IPRU(INV) 13.1A.7R Item 2 in IPRU(INV) 13.1A.7R Data element Guidance

3A 4A

Item 3 in IPRU(INV) 13.1A.7R Item 4 in IPRU(INV) 13.1A.7R FSA032 definitions Page 1

revaluation reserves Audited retained earnings Externally verified interim net profits Partners capital Eligible LLP members capital (in accordance with the provisions of IPRU(INV) Annex A) Sole trader capital Revaluation reserves 45A 46A 47A 2A Item 5 in IPRU(INV) 13.1A.7R Item 6 in IPRU(INV) 13.1A.7R Item 7 in IPRU(INV) 13.1A.7R Item 8 in IPRU(INV) 13.1A.7R

48A 13A

Item 9 in IPRU(INV) 13.1A.7R Revaluation reserves (unrealised reserves arising from revaluation of fixed assets) can only be included here if audited. The rules allow a firm to specify the method in which it will meet the regulatory capital requirement. A firm can:

Regulatory capital test(s) How do you meet your regulatory capital requirement? 23A

use capital to meet the regulatory requirement; or use PII to meet the regulatory requirement; or use a combination of capital and PII to meet the regulatory requirement.

A firm should select from the drop-down options. (If a firm uses PII to meet the regulatory requirements it will nevertheless always require a minimum 10,000 initial capital. For the purposes of this question, the minimum initial capital held by the firm can be ignored.) Capital requirement Own funds requirement 24A The own funds requirement (OFR) should be calculated in accordance with section IPRU(INV) 13.1A. Where a firm chooses to meet the regulatory requirements using PII the OFR will be a minimum of 10,000. Additional own funds requirement for PII (if applicable) 25A If the firm has any increased excesses or exclusions on its PII policies, the total of the additional capital requirements required by IPRU(INV) 13.1.4. FSA032 definitions Page 2

Other FSA capital / own funds requirements (if applicable)

26A

Firms subject to a requirement under IPRU(INV) 13.2-8 or 13.9-12 should include that requirement as calculated by reference to the firm's own funds calculated under IPRU(INV) 13.1A to the extent it exceeds the own funds requirement in 24A. This excludes capital requirements in relation to PII. For example, where an ECF is subject to an expenditure based requirement (EBR) the firm would need to express the EBR in terms of 'own funds' by adjusting for the extent to which the own funds exceeds it's Test 2 financial resources. Where the adjusted requirement exceeds the own funds requirement reported in 24A, the difference between both requirements should be reported here.

Surplus / (deficit)

28A

This is the amount of the firms own funds in relation to its own funds requirement. A firm's own funds requirement is the total of 24A, 25A and 26A. So, such a firm should compare this requirement with the own funds calculated in 27A to compute the surplus/(deficit ).

Adjusted net current assets

The purpose of this test is to ensure that the firm has adequate working capital to be able to meet its liabilities as and when they fall due. It does this by taking the firms net current assets (from FSA029), and applying the following actions: (1) excluding assets which cannot be realised or recovered within twelve months; (2) excluding amounts receivable from connected persons (to the extent that they are not properly secured, except certain allowable deposits); (3) valuing investments at current market value.

Adjusted net current assets requirement (if applicable) Adjusted net current assets (if applicable) Surplus / (deficit) (if applicable)

29A

All personal investment firms except low resource firms should at all times have adjusted net current assets of at least 1. Low resource firms should enter n/a here. Adjusted net current assets should be calculated in accordance with IPRU(INV) 13.11. This shows whether the firms net current assets are positive.

30A 31A

Professional Indemnity Insurance This section requires each firm to confirm it is in compliance with the prudential requirements in relation to professional indemnity insurance (PII). Data is required in relation to all PII policies that a firm has in place, up to a limit of ten (this is provided in columns AH). If a firm has more than ten policies, it should report only on the ten largest policies by FSA032 definitions Page 3

premium. For each insurer, if there are any business lines with different excess, then they should be reported in columns J L (so there can be multiple entries in columns J, K and L for each insurer). Does your firm hold a Comparable Guarantee or equivalent cover in lieu of PII or is it otherwise exempt from holding PII? 32A This question will establish whether a firm is exempt from the requirements and so is not required to hold PII. If the firm is required to hold PII i.e. is not exempt from holding PII you should enter 'no' in the data field. A firm is NOT exempt from holding PII if:

the firm has a group policy with an insurer; or the firm has permission for regulated business that requires PII, but does not currently carry it out; or it is a personal investment firm meeting the exemption requirements for mortgage intermediaries and insurance intermediaries in MIPRU 3.1.

Select either Comparable guarantee or Exempt. If your firm does not hold a Comparable Guarantee or equivalent cover and is not exempt, does the firm currently hold PII? Does the firm conduct insurance mediation activities? Has your firm renewed its PII cover since the last reporting date? If your policy excludes all business activities carried on prior to a particular date (i.e. a retroactive start date), then insert the date here. If not insert N/A. 33A This is either Yes or No.

34A

This is either Yes or No, and enables us to check that the PII cover meets the minimum requirements. This is either Yes or No.

35A

36A

Required terms of PII are set out in IPRU(INV) 13.1.4. Examples of a retroactive start date: (1) A firm has a retroactive start date of 01/01/2005 on its policy if:

A client is advised by the firm to purchase an XYZ policy on 01/03/2004 (i.e. before the retroactive date) The client makes a formal complaint about the FSA032 definitions Page 4

sale of the XYZ policy to the firm on 01/04/2006 (i.e. while this PII cover is still in place).

The complaint is upheld, but the firm's current PII Insurer will not pay out any redress for this claim as the transaction took place before 01/01/2005, the retroactive date in the policy.

Insert 01/01/05 for this question on the data item. (2) A firm does not have a retroactive start date if:

A client is advised by the firm to purchase an XYZ policy on 01/03/2006. The client makes a formal complaint about the sale of the XYZ policy to the firm on 01/04/2006 (i.e. while this PII cover is still in place). The complaint is upheld, and the firm's current PII Insurer will pay out any redress owed by the firm to the client over any prescribed excess, and to the limit of indemnity provided for. There is no date in the policy before which any business transacted may not give rise to a valid claim.

Insert n/a for this question on the data item. Is the cover compliant? Annualised premium 37A 38A This is either Yes or No. This should state the premium payable (in descending order of size), net of tax and any other add-ons. If the premium covers a period other than 12 months, it should be annualised before ranking. Select the PII insurer from the list provided (to follow). If you have more than one policy with the same insurer, they should be combined. If the insurer is not listed, select Other. If a policy is underwritten by more than one insurance undertaking or Lloyd's syndicate, you should select multiple. Enter the start date of the policy. Enter the renewal date of the policy You should record here the required indemnity limits on the firms PII policy or policies, in relation to single claims, as under IPRU(INV) 13.1.4(2)R. This should be reported in the FSA032 definitions Page 5

PII Insurer

38B

Start date Renewal date Limit of indemnity required single

38C 38D 38E

currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. Limit of indemnity required aggregate 38F You should record here the required indemnity limits on the firms PII policy or policies, in aggregate, as under IPRU(INV) 13.1.4(2)R. This should be reported in the currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. You should record here the indemnity limits on the firms PII policy or policies obtained in relation to single claims, as under IPRU(INV) 13.1.4(2)R. This should be reported in the currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. You should record here the indemnity limits on the firms PII policy or policies obtained in aggregate, as under IPRU(INV) 13.1.4(2)R. This should be reported in the currency of the report, converted at the closing rate of exchange on the reporting date, if it is in a different currency. For policies that cover all business lines, firms should select All from the list provided (to follow). Where the policy contains different excess for different business lines, firms should identify these business lines from the list (or the closest equivalent) and report the (highest) excess for that business line in data element 38K. Once these non-standard excesses have been identified, the remaining business lines should be reported under All other. (Some typical business types include pensions, endowments, FSAVCs, splits/zeroes, precipice bonds, income drawdown, lifetime mortgages, discretionary management). Policy excess 38K For policies that cover all business lines with no difference in excesses, this should be the excess applicable. Otherwise, it should contain the highest excess for each business line that differs. If there are any exclusions in the firms PII policy, the business type(s) to which they relate should be entered here. This is a free text field. This should be the income as stated on the firm's most recent PII proposal form. This is relevant income arising from all of the FSA032 definitions Page 6

Limited of indemnity obtained single

38G

Limited of indemnity obtained aggregate

38H

Business line

38J

Policy exclusions

38L

Annual income as stated on the most recent proposal form

39A

firm's activities for the last accounting year before the policy began or was renewed (IPRU(INV) 13.1.3(3)R). Amount of additional capital required for policy excess(es) 40A This should be calculated using the tables in IPRU(INV) 13.1.4(12)E. The total of additional capital (i.e. in relation to all of the firms PII policies) should have been reported under additional own funds requirement for PII (data element 25A). This should be calculated in line with IPRU(INV) 13.1.4(13)R. The total of additional own funds (i.e. in relation to all of the firms PII policies) should have been reported under additional own funds for PII (data element 25A). This represents the total of additional own funds required under IPRU(INV) 13.1.4 to 13.1.4(13)G for all of the firms PII policies (data element 25A). State here the total of the own funds that are classed as readily realisable under the terms of IPRU(INV) 13.1.4(4)G. In this field, enter the result of the total of readily realisable own funds less the total of additional own funds required.

Total amount of additional own funds required for policy exclusion(s) Total of additional own funds required

41A

42A

Total of readily realisable own funds Excess / (deficit) of readily realisable own funds

43A

44A

FSA032 definitions Page 7

FSA032 Capital Adequacy (for exempt CAD firms subject to IPRU(INV) Chapter 13) validations
Internal validations Data elements are referenced by row, then column. Validation number 1 2 3 4 5 6 7 8 9 10 11 44A 17A 42A 42A = = = = 22A 28A 30A 31A = = = = Data element [deleted replaced by validation 9] 18A 19A 20A-21A 27A 24A 25A 26A 22A 30A 29A [deleted] [deleted replaced by validation 10] 43A 42A 1A + 5A + 3A + 4A + 45A + 46A + 47A + 2A + 48A 8A 9A 10A 12A + 13A + 14A + 15A + 16A 11A 25A 40A + 41A

FSA043 validations Page 1

FSA033 Capital Adequacy (for firms subject to IPRU(INV) Chapter 3)

Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor firms' capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory Annual Accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way. the requirement that any figures be audited does not apply to small companies exempted from audit under the Companies Act 2006. Description Regulatory Capital Tangible net worth 1B and 2B For an incorporated firm, tangible net worth includes ordinary share capital plus redeemable preference shares, meeting the criteria set out in IPRU(INV) 3- 62R, approved reserves as explained in IPRU(INV) 3-62R, share premium account and retained earnings, less any intangible assets. For a partnership or sole trader, tangible net worth includes the capital account plus current account, less any intangible assets. FSA033 definitions Page 1 Data element Guidance

Eligible Capital Substitutes

3B to 5B

There are certain limits on subordinated loans, approved bank bonds and approved undertakings which may be taken into financial resources. The total should not exceed four times tangible net worth. The other limits are detailed in IPRU(INV) 3-63R. This is the requirement set out in IPRU(INV) 370R

Primary requirement Base requirement 7B

The base requirement is the greater of:

the absolute minimum requirement which is determined in accordance with IPRU(INV) 372R; the expenditure requirement which is determined in accordance with IPRU(INV) 373R; and the volume of business requirement which is 3.5% of the aggregate of the firm's counterparties' total initial margin requirement.

Total liquidity adjustment

10B

The liquidity adjustment should be calculated in accordance with IPRU(INV) 3-75R and should be deducted in order to arrive at the financial resources. This is the balance sheet value of each asset charged to a third party (IPRU(INV) 3-76R) unless the related exposure has already been recorded as a liability or is subject to CRR. An amount should be added to primary requirement in accordance with IPRU(INV) 377R. Unless a provision has already been made (ie a reduction of the firm's financial resources), the amount is equal to the deficiency in shareholders' funds in the subsidiary of the firm (IPRU(INV) 378R). A firm which trades on its own account should calculate a position risk requirement. The methods and position risk weightings (known as PRRs) to be used can be found in IPRU(INV) 380R to 3-169R and IPRU(INV) 3 App 26. FSA033 definitions Page 2

Charged assets

11B

Contingent liabilities

12B

Deficiencies in subsidiaries

13B

Regulatory capital test Position Risk Requirement 16A

Counterparty Risk Requirement

17A

This section is split into debtors and creditors arising on the trading book. The headings for assets and liabilities are designed to reflect the balance sheet values of transactions analysed by type.

FSA033 definitions Page 3

FSA033 Capital Adequacy (for firms subject to IPRU(INV) Chapter 3) validations

Internal validations Data elements are referenced by row, then column. Validation number 1 2 3 4 5 6 7 Data element 6B 10B 14B 15A 18B 19B 20B = = = = = = = 1B 2B + 3B + 4B + 5B 8A + 9A 7B + 10B + 11B + 12B + 13B 14B 15A + 16A + 17A 6B 19B 18B

FSA043 validations Page 1

FSA034 Capital Adequacy (for firms subject to IPRU(INV) Chapter 5 not subject to exemption in IPRU(INV) 5.2.3(2)R)
Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor firms' capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory annual accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way. The requirement that any figures be audited does not apply to small companies exempted from audit under the Companies Act 2006.

FSA034 definitions Page 1

FSA034 Capital Adequacy (for firms subject to IPRU(INV) Chapter 5 not subject to exemption in IPRU(INV) 5.2.3(2)R) validations
Internal validations Data elements are referenced by row, then column. Validation number 1 2 3 4 5 6 7 8 9 10 11 12 34B 9B 10B 33B = = = = 16B 21B 22B 28B 29B = = = = = Data item [deleted replaced by validation 10] [deleted replaced by validation 11] 10B + 11B + 12B + 13B + 14B + 15B 16B + 17B + 18B 19B + 20B 21B 23A + 24A + 25A + 26A + 27A 22B 28B [deleted replaced by validation 12] 6 or 13 5A + 6A + 7A + 8A + 36A 1B + 35B + 2B + 3B + 4B 9B 32B*(34B/52)

FSA043 validations Page 1

FSA035 Capital Adequacy (for firms subject to IPRU(INV) Chapter 5 and to the exemption in IPRU(INV) 5.2.3(2)R)
Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose to help the FSA to monitor firms' capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory Annual Accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way. The requirement that any figures be audited does not apply to small companies exempted from audit under the Companies Act 2006.

FSA035 definitions Page 1

FSA035 Capital Adequacy (for firms subject to IPRU(INV) Chapter 5 and to the exemption in IPRU(INV) 5.2.3(2)R) validations
Internal validations Data elements are referenced by row, then column. Validation Data number element 1 2 3 4 5 6 7 8 9 16B 18A 19A 19A 20B 9B 10B = = = = = = [deleted replaced by validation 8] [deleted replaced by validation 9] 10B + 11B + 12B + 13B + 14B + 15B 0 or 5 0 or 4000 If 18A = 0, then 4000, else 0 17B (18A + 19A) 5A + 6A + 7A + 8A + 22A 1B + 21B + 2B + 3B + 4B 9B

FSA043 validations Page 1

FSA036 Capital Adequacy (for UCITS firms)

Introduction The purpose is to provide a framework for the collection of information required by the FSA as a basis for its supervision activities. It also has the purpose of helping the FSA to monitor firms' capital adequacy and financial soundness. Defined Terms Terms referred to in these notes where defined by the Companies Acts 1985 and 2006, as appropriate, or the provisions of the firm's accounting framework (usually UK GAAP or IFRS) bear that meaning for these purposes. The descriptions indicated in these notes are designed simply to repeat, summarise or amplify the relevant statutory or other definitions and terminology without departing from their full meaning or effect. The data item should comply with the principles and requirements of the firm's accounting framework, which will generally be UK GAAP (including relevant provisions of the Companies Acts 1985 and 2006 as appropriate) or IFRS. The data item should be unconsolidated. For a sole trader, only the assets and liabilities of the business should be included. The data item should be in agreement with the underlying accounting records. Accounting policies should be consistent with those adopted in the statutory Annual Accounts and should be consistently applied. Information required should be prepared in accordance with generally accepted accounting standards. The data item should not give a misleading impression of the firm. A data item is likely to give a misleading impression if a firm wrongly omits or includes a material item or presents a material item in the wrong way. The requirement that any figures be audited does not apply to small companies exempted from audit under the Companies Act 2006.

FSA036 definitions Page 1

FSA036 Capital Adequacy (for UCITS firms) validations

Internal validations Data elements are referenced by row, then column. Validation Data number element 1 2 3 4 5 6 7 8 9 10 11 12 26B 38B 40B 9B = = = = 15B 17B 18B 20B 21B 24B = = = = = = [deleted replaced by validation 12] 9B + 10B + 11B + 12B + 13B + 14B 15B 16B 9B 18B 19B 17B 22A + 23A [deleted] 21B (Max 24B, 25B) 27B 28A 29A 30A 31A 32A 33A 34A 35A 36A 37A 39B / 4 1B + 2B + 3B + 4B + 41B 5B 6B 7B 42B 8B

FSA043 validations Page 1

FSA037 Deleted

FSA037 definitions Page 1

FSA038VolumesandTypeofBusiness
Invested/uninvestedfunds Asfaraspossible,theamountreportedshouldbeatruereflectionofthevalueoffundsthat areavailabletobuyassetsatthetimeofreporting,addedtothevalueoftheassets themselves.Funds'inprocess'shouldnotbeincluded. Discretionary/advisoryclients FirmsshouldincludeanyFUMrelatingtoallinvestmentmanagementclientswhether managedunderadiscretionaryoranadvisoryarrangement. Delegationandextentofdelegation (a) FUMshouldexcludethevalueofthosepartsofthemanagedportfoliosinrespectof whichtheresponsibilityforthediscretionarymanagementhasbeenformally delegatedtoanotherfirm (andwhich firmwillincludethevalueoftheassetsin questioninitsownFUMtotal). However,thefirmmustincludeFUMwhere: (i)the firm towhomthemanagementisdelegatedwillnotbereportingite.g.ifitis notFSAregulated,orisanonUKfirmand (ii)thereportingfirmhasdiscretionoverthedelegationorretainstherightto terminateanarrangementforthirdpartyassetmanagement,andthereportingfirm mayeitherbringthemanagementofthatFUMbackinhouseordelegateittoanother party. Valuationissues Asageneralrule,firmsshouldapply aconsistentbasisforvaluationacrosstherangeof clientsinrespectofwhichtheyarereporting.Firmsshouldbeabletoexpressandjustifythe basisofvaluationtheyselectandshould,asfaraspossible,consistentlyapplythe methodology,suchthattimeseriesanalysisismeaningful. TheFSAisencouragedbytheongoingdevelopmentofindustrystandardsinrelationto valuationandencouragesreporterstomakeuseofanyrelevantindustryagreedstandards. Debtgearing ThevalueofassetspurchasedthroughborrowingshouldbereportedasFUM,includingany cashamountavailableforinvestmentasaresultofdebtgearing. Valueofderivatives Thevalueofderivativeinstrumentsandotherassetsiscalculatedonamarktomarketbasis. Doublecounting Firmsshouldmakeallreasonableeffortstoeliminatedoublecountinginthesubmissionof sums.However,itisacceptedthatreportingonthebasisofourguidancemayincertain circumstancesleadtotheoverstatementofFUM. Timingofcalculation InrespectofthetimingforcalculatingoftotalFUM,weexpectfirms tocollectandaggregate theinformationtobasetheirreportingonwithinareasonabletimeframe.However,the FSA038definitionsPage1

(b)

valuationpointusedforanyclientshouldbethelastmandatoryvaluationpointandthetotal valuationshouldnotincludethesumofvaluationsthataremorethan30daysapart. Client/funddomicile Thevalueofallclients'assets,regardlessofdomicile,shouldbeincludedinthecalculation. Privateequityandventurecapitalbusiness Inrelationtoinvestmentmanagementfirmscarryingoutventurecapitalbusiness, thosefirms shouldreportthatelementoftheirtotalFUMbyreferencetothevalueoftheirdrawndown capitalplusanyremainingcommittedbutundrawninvestorcapitalandloans.Allthe precedingguidelinesapplytoreportingbythesefirms. Description Totalfunds under management Ofwhich drawndown capital Doyou conduct designated investment businesswith orforretail clients? Dataelement 1A Guidance Thisshouldbereportedbyallfirmswithpermissionof managinginvestments. All firmscarryingoutventurecapitalbusinessshould reportheretheamountof drawndowncapitalincluded withindataelement1Aabove. Thisdataelementinparthelpsustodifferentiatebetween firmsthathavedirectcontactwithretailclientsincarrying ondesignatedinvestmentbusinessservicesandfirmswhich areoperators,trusteesordepositariesofAuthorisedUnit Trusts(AUTs),OpenEndedInvestmentCompanies (OEICs),Recognisedschemes(RSs)andUnregulated collectiveinvestmentschemes(UCISs)inwhichthe unit/shareholderswouldberetailclientsbutthefirmsdonot conductdesignatedinvestmentbusinessdirectlywithorfor them.So,afirmthatisconductingdesignatedinvestment businessdirectlywithorforanAUT,OEIC,RSorUCIS should,whenansweringthequestioninrespectofthose clients,haveregardtohowtheAUT,OEIC,RSorUCIS hasbeenclassifiedbythefirmandnotthenotional classificationoftheunderlyingunit/shareholders.Clearly, wherethefirmhasotherclients,itwillneedtotakeinto accounttheirclassificationwhenansweringthequestion. IfyourfirmiseligibleandhasappliedunderRule1.1.7of DISP (DisputeResolution:Complaints)forexemptionfrom DISP 1.2 DISP 1.7,inthatthefirmdoesnotconductand isnotreasonablylikelytoconduct,businesswitheligible complainants,then,inrespectof dataelement3A,itis possiblethatyouwillnotbeconductingdesignated investmentbusinessfororwithretailclients,butfirms shouldnotethatthedefinitionofeligiblecomplainantis differenttothatofretailclient. Wherefirmsconductnonadvisedinvestmentservices (executiononlyservices)forretailclientsandarerequired FSA038definitionsPage2

5A

3A

tocompleteanappropriatenesstest(underMiFID)fora retailclientinrelationtoatransactionorservice,pleasebe awarethattheoutcomeofthatappropriatenesstestdoesnot altertheclassificationofthatclient.

FSA038definitionsPage3

Whatisthe current approximate percentageof yourclients areretail clients?

4A

Thepurposeofthisdataelementistogivesupervisorsan indicationofthemakeupofthefirm'sclientbase.Whilstit isacceptedthatthisquestiondoesnotdemonstrateafirm's compliancewithaparticularrule,itwillassistsupervisors inunderstandingthelevelofpotentialriskfacingafirm fromthoserisksthatarespecifictoactivitieswithprivate customers/retailclients.FirmsshouldbeawarethattheFSA isnotexpectingfirmstoabletodetermineanexactnumber ofprivatecustomers/retailclientswhenansweringthis question,rathertheFSAisaskingforanapproximate answerandisnotexplicitlyorimplicitlyrequiringfirmsto implementsystems,ormodifyexistingones,tocollate clientclassificationandactivityinformation.However,the FSAdoesexpectfirmstohaveadequateriskmanagement systemsandcontrolsinplacetomanagetheiraffairsand risksresponsiblyandwouldexpectanauthorisedfirmtobe abletomakeareasonableestimateinanswertothis questionwithinthebandsspecified. Itisacknowledgedthataclientmayhavedifferentaccounts andbeclassifiedasaprivatecustomer/retailclientin relationtooneareaofbusinessandclassifiedasan intermediatecustomerormarketcounterparty/professional clientforanother.Itisacknowledgedthatthismayleadto doublecountingofsomeclientsbetweenclassifications.It isnotenvisagedthatthissituationwillcausegreat anomaliesintheinformationprovidedwithinthebands specified. TheFSAwillnotexpectfirmstoapplyastringentcriteria tofilteroutcustomersthatbecomeinactiveforthepurpose ofthisquestion.Theanswerprovidedbythefirmshould, howeverreflectafirm'srecentandongoingactivities.The FSAwouldexpectafirmtohavesufficientmanagement informationtobeabletoavoidalargediscrepancybetween thetruecurrentpositionandadistortedpositionthroughthe inclusionofinactiveclients,whenansweringthisquestion.

FSA038definitionsPage4

FSA038VolumesandTypeofBusinessvalidations
Internalvalidations Dataelementsarereferencedbyrow,thencolumn. Validation Data number element 1 2 2A 4A If1A>0,then 0,else0 If3A=Yes,then 0,else,0

FSA043validationsPage1

FSA039 Client Money and Client Assets

Description Has your firm held Client Money or Client Assets in this reporting period? Does the firm undertake or allow stock lending activities using clients' custody assets?

Data element 1A

Guidance Firms should choose from the options: No; Yes Client assets; Yes Client Money; and Yes Both. Please see the Handbook Glossary for the defined term of Client Money.

2A

Please answer yes or no as applicable. For the purposes of this question, stock lending is an agreement for the temporary transfer of securities, in which the borrower undertakes to return equivalent securities at a pre-determined time. The lender retains ownership of the securities, and typically earns income from the borrower for agreeing to the loan, but the borrower is able to exercise the voting rights attached to the securities.

FSA039 definitions Page 1

FSA039 Client Money and Client Assets validations

Internal validations There are no internal validations for this data item.

FSA039 validations Page 1

FSA040 CFTC

Description Balance per previous reporting date Addition Termination / cancellation Current balance

Data element 1A

Guidance Total amount of all bank bonds held to cover customers' unrealised LME profits as at the previous reporting date. Total additions to those bank bonds during the current reporting period. Total reductions to those bank bonds during the current reporting period. Total amount of all those bank bonds held to cover customers' unrealised LME profits as at the current reporting date. Total open trade deficit of US and non-US LME customer positions as at the current reporting date. Any net deficit in the firm's proprietary positions at LCH.Clearnet. Aggregate customer deficit related to nonsegregated non-LME positions cleared at LCH.Clearnet. The aggregate of all forward profits on LME positions of US customers. The lower of (8A) or (5A+6A+7A) 4A-9A The number of days during the current reporting period when 10A would have been negative.

2A 3A 4A

Deficit open trade equity at LME House losses at LCH Deficit open trade equity of non-LME customers at LCH LME forward profit Total Excess / (deficiency) Number of occasions when the omnibus letter of credit was deficient Secured amount Value of letter of credit Excess / (deficiency) Date rectified

5A

6A 7A

8A 9A 10A 11A

12A 12B 12C 12D

The secured amount covered by individual letters of credit. The amount of the individual letter of credit covering that secured amount. 12B 12A Where a letter of credit was not sufficient to cover the relevant secured amount as at the reporting date, the date on which the deficiency was rectified.

FSA040 definitions Page 1

Number of occasions when any one individual letter of credit was deficient

13A

The number of deficiencies on individual letters of credit during the current reporting period.

FSA040 definitions Page 2

FSA040 CFTC validations

Internal validations Data elements are referenced by row, then column. Validation Data number item 1 2 3 4 5 4A 9A 10A 12C 12CT = = = = = 1A + 2A 3A Min (8A, (5A + 6A + 7A)) 4A 9A 12B 12A 12C

FSA043 validations Page 1

FSA041 Asset Managers that use Hedge Fund Techniques Report

Description Do you manage an unregulated collective investment scheme ("uCIS") that is not domiciled in the UK?

Data element 1A

Guidance An unregulated Collective Investment Scheme is, we believe, a term that is reasonably wellunderstood by regulated firms and one which is typically used by hedge funds We have excluded onshore uCIS as these are used by some mainstream asset managers for pooling smaller defined benefit pension plans FSA Handbook Glossary Definition An unregulated collective investment scheme is a collective investment scheme that is not a regulated collective investment scheme. Regulated Schemes may become regulated under FSMA by one of four routes: Individual scheme authorisation of unit trusts or ICVCs Under section 264 of FSMA as schemes constituted in other EEA states (UCITS schemes) Under section 272 of FSMA as individually recognised overseas schemes Under section 270 of FSMA as schemes authorised in designated countries or territories

Collective investment scheme Defined in Section 235 of FSMA as: any arrangements with respect to property of any description, including money, the purpose or effect of which is to enable persons taking part in the arrangements (whether by becoming owners of the property or any part of it or otherwise) to participate in or receive profits or income arising from the acquisition, holding, management or disposal of the property or sums paid out of such profits or income; and

FSA041 definitions Page 1

which are not excluded by the Financial Services and Markets Act (Collective Investment Schemes) Order 2001 (SI 2001/1062).

Do you solely undertake venture capital management?

3A

"Undertaking venture capital management" is defined in our Handbook and is currently the basis of a notification requirement. The purpose of inclusion of this question is to exclude pure private equity/ venture capital managers who use uCIS structures FSA Handbook Glossary Definition venture capital investment a designated investment which, at the time the investment is made, is: (a) in a new or developing company or venture; or (b) in a management buy-out or buy-in; or (c) made as a means of financing the investee company or venture and accompanied by a right of consultation, or rights to information, or board representation, or management rights; or (d) acquired with a view to, or in order to, facilitate a transaction falling within (a) to (c).

Do you provide valuations for any instruments to your fund administrator which, to the best of your knowledge, are relied upon by the administrator in valuing the fund?

4A

For managers identified as a using hedge fund techniques

Firms that have answered "Yes" to question 1 and "No" to question 2 should answer the following questions.

FSA041 definitions Page 2

For the auditor(s) you use to audit your funds pleas provide the following: Name(s) of auditing firm(s) that signed the most recent audit opinion. Name(s) of prime broker(s)

5A

A list of the most frequently occurring auditor firms will be provided in drop-down list format. There will also be the option to add, in free text, other auditor firms not included in the list provided.

7A

A list of the most frequently occurring prime broker firms will be provided in drop-down list format. There is also the option to add, in free text, other prime brokers not included in the list provided. A list of the most frequently occurring third party administrator firms will be provided in drop-down list format There is also the option to add, in free text, other third party administrators not included in the list provided

Name(s) of the third 11A party administrator(s)

FSA041 definitions Page 3

FSA041 Asset Managers that use Hedge Fund Techniques Report validations
Internal validations There are no internal validations for this data item.

FSA043 validations Page 1

FSA042 UCITS

Description Do you use derivatives in the scheme(s)? Are you using derivatives for investment purposes? Have you notified the FSA of the following details of your Risk Management Process: The methods used for estimating risks in derivative and forward transactions Have you notified the FSA of the following details of your Risk Management Process: The types of derivatives and forward transactions to be used within the scheme(s) together with the underlying risks and relevant quantitative limits Have there been any material alterations to the details provided within the last 6 months?

Data element 2B

Guidance FSA Handbook Glossary Definition: Derivative: a contract for differences, a future or an option.

4A

"Using derivatives for investment purposes" is a term with which we believe managers are familiar This term suggests that derivatives are not being used in pursuit of efficient portfolio management Required under COLL 5.2.24 (2)(a) http://fsahandbook.info/FSA/html/handbook/COLL/5/2

5B

6B

Required under COLL 5.2.24 (2)(a) http://fsahandbook.info/FSA/html/handbook/COLL/5/2

7B

The degree of materiality is to be decided by the manager and is in line with COLL 5.2.24 (3). http://fsahandbook.info/FSA/html/handbook/COLL/5/2

FSA042 definitions Page 1

FSA042 UCITS validations

Internal validations Data elements are referenced by row, then column. Validation Data number item 1 2 2A 3A If 1A = No, then No If 2A = No, then No

FSA042 validations Page 1

FSA043 Key data

[deleted]

FSA044 Maturity analysis of assets and deposits This data item captures the funding profile, by sector and maturity, of UK banks and building societies, to monitor mismatches. Valuation For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. Definitions Maturity (columns A to G) This is worked out on a residual maturity basis. There should be no netting of assets and deposits. Where a loan is made with a number of repayments spread over the period of the loan, the capital repayment elements should be in the relevant maturity bands. For example, a mortgage with 15 years remaining maturity would have in excess of 150 individual repayments; each of these should be classified in the appropriate maturity band. Assets 1A - 1G 2A - 2G Intra-group Inter bank Include here balances that relate to counterparties connected to the reporting institution. This includes other credit institutions, but excludes any balances with intra-group firms, which should go in element 1 (i.e. intragroup). 3A - 3G 4A - 4G Of which: unsecured loans Of which: reverse repos Include here any interbank exposures which are not backed by any form of collateral. include here securities or other assets have been purchased from credit institutions for a finite period with a commitment to re-sell. 5A - 5G OFC exposures Include here exposures to Other Financial Companies, i.e. excluding banks and building societies. This will include investment firms, insurance companies, pension funds, securities firms. 6A - 6G Of which: unsecured loans Include here any exposures to OFC which are not backed by any form of collateral.

7A - 7G

Of which: reverse repos

Include here securities or other assets have been purchased from OFC for a finite period with a commitment to re-sell. 8A - 8G 9A - 9G Loans to Customers Of which: wholesale Include here loans to all counterparties other than intra-group, credit institutions and OFC. This includes non-bank, non-connected corporate counterparties and will include those customers who deal directly with a firm's treasury/markets unit. 10A - 10G 11A - 11G Other financial assets Of which: pledgable This covers financial exposures not included in any of the above categories. These are assets which a reporting institution is freely able to pledge as collateral (i.e. where those assets remain on the reporting institution's balance sheet but have been charged as collateral) 12A - 12G 13A 14A Liabilities 15A -15G 16A - 16G Intra-group Interbank deposits Include here balances that relate to counterparties connected to the reporting institution. This includes other credit institutions, but excludes any balances with intra-group firms, which should go in element 1 (i.e. intragroup). 17A - 17G Of which: repos Report sale and repurchase agreements (repos), ie when the reporting institution is the seller of the asset where the asset sold is not reported on the balance sheet 18A - 18G OFC Deposits Include here deposits from Other Financial Companies, i.e. excluding banks and building societies. This will include investment firms, insurance companies, pension funds, securities firms. 19A - 19G Of which: repos Report sale and repurchase agreements (repos), i.e. when the reporting institution is the seller of the asset where the asset sold is not reported on the balance sheet. 20A - 20G Debt securities in issuance Include here all debt securities issued by the reporting entity. Total financial assets Other assets Total assets This will equal the sum of the above elements. Include here all other assets of a non-financial nature. This will equal the sum of financial plus other assets and also the sum of total liabilities.

21A - 21G

Of which: CDs

This comprises all Certificates of Deposit issued by the reporting entity which are still outstanding, whether at fixed or floating interest rates, allocated to the appropriate maturity column. Include negotiable deposits taken on terms in all respects identical to those on which a certificate of deposit would have been issued, but for which it has been mutually convenient not to have issued a certificate. 22A - 22G 23A - 23G 24A - 24G 25A -25G 26A - 26G Of which: unsecured bonds Of which: CP Of which: asset backed securities Of which: covered bonds Customer deposits Include here any bonds issued which are not backed by collateral Include here all Commercial Paper issued by the reporting institution Include here all asset backed securities issued by the reporting institution. Include here all covered bonds issued by the reporting institution. Include here deposits from all counterparties other than intra-group, credit institutions and OFC. 27A - 27G Of which: wholesale This includes non-bank, non-connected corporate counterparties and will include those customers who deal directly with a firm's treasury/markets unit. 28A - 28G 29A - 29G Other Subordinated liabilities Include all other non-capital liabilities here. Include all subordinated debt issued by the reporting institution. Building societies should include PIBS here. 30A - 30G 31A - 31G Capital Total liabilities Includes called up share capital and reserves. This is the total of elements 15, 16, 18, 20, 26 and 28 and will also equal total assets. Off-balance sheet elements Maturity (columns B - D) Firms should include in column B any commitments, contingent liabilities or undrawn credit lines inward that are either unconditionally cancellable. Commitments, contingent liabilities or undrawn credit lines inward with a residual maturity up to one year should be included in column C and commitments, contingent liabilities or undrawn credit lines inward with a residual maturity over one year should be included in column D.

32 (a)

Contingent liabilities transaction-related contingents, such as performance bonds, warranties and indemnities; bid or tender bonds; advance payment guarantees; VAT, customs and excise bonds; standby letters of credit relating to a particular contract or to nonfinancial transactions (including arrangements backing, inter alia, subcontractors and suppliers performance. labour and materials, contracts, and construction bids); and trade-related contingents, including short-term, self liquidating trade-related items such as documentary letters of credit issued by the reporting entity which are, or are to be, collateralised by the underlying shipment; endorsements of bills; direct credit substitutes (including guarantees, standby letters of credit serving as financial guarantees, bills accepted by the reporting entity but not held by it, per aval endorsements and other endorsements with equivalent effect); claims sold with recourse, where the credit risk remains with the reporting bank; transaction related contingents not having the character of direct credit substitutes (including tender and performance bonds, bid bonds, warranties, standby letters of credit related to particular transactions, retention money guarantees, import and export excise duty bonds, VAT bonds); undrawn documentary letters of credit issued or confirmed; and those arising from similar transactions entered into by the reporting institution.

This includes:

(b)

The following should be excluded: indemnities in respect of lost share certificates and import/export carnets; bill endorsements on bills already endorsed by another bank; and where the reporting institution acts as a lessor, mortgagee, or owner of goods under a hirepurchase agreement, those contingent liabilities which may result from injuries, damage or loss suffered by third parties and caused by the goods. 33 Of which: subject to credit downgrade Include any contingent liabilities that are cancellable by the reporting institution as a result of deterioration in the obligors creditworthiness. 34 Commitments Include commitments for loans and other on-balance sheet items with certain drawdown. Rolling or undated/open-ended commitments should be included providing that they are unconditionally cancellable at any time without notice and subject to credit review at least annually. Unused credit card lines and liquidity facilities provided to ABCP conduits should be reported. 35 Of which: subject to credit deterioration Include any commitments that are cancellable by the reporting institution as a result of deterioration in the obligor's creditworthiness. 36 Of which: Liquidity facilities to third party ABCP conduits Include any liquidity facilities provided to third party Asset Backed Commercial Paper conduits or equivalent structured vehicles. 37 Of which: Liquidity facilities to own (sponsored) ABCP conduits Include any liquidity facilities provided to own (sponsored) Asset Backed Commercial Paper conduits or equivalent structured vehicles.

38

Undrawn credit lines inward

Report here any facilities which have been committed to the reporting institution and which at the reporting date remain undrawn. 39 Of which: subject to credit deterioration Include any credit lines inward that are cancellable as a result of deterioration in the reporting institution's creditworthiness.

FSA044 Maturity of assets and deposits - validations Internal validations Data elements are referenced by row then column Validation number 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 Data element 1A 2A 2A 2B 2C 2D 2E 2F 2G 3A 4A 5A 5A 5B 5C 5D 5E 5F 5G 6A 7A 8A 9A 9A 9B 9C 9D 9E 9F 9G 10A 11A 11A 11B 11C 11D 11E 11F 11G 12A

= = >= >= >= >= >= >= >= = = = >= >= >= >= >= >= >= = = = = <= <= <= <= <= <= <= = = <= <= <= <= <= <= <= =

1B+1C+1D+1E+1F+1G 2B+2C+2D+2E+2F+2G 3A+4A 3B+4B 3C+4C 3D+4D 3E+4E 3F+4F 3G+4G 3B+3C+3D+3E+3F+3G 4B+4C+4D+4E+4F+4G 5B+5C+5D+5E+5F+5G 6A+7A 6B+7B 6C+7C 6D+7D 6E+7E 6F+7F 6G+7G 6B+6C+6D+6E+6F+6G 7B+7C+7D+7E+7F+7G 8B+8C+8D+8E+8F+8G 9B+9C+9D+9E+9F+9G 8A 8B 8C 8D 8E 8F 8G 10B+10C+10D+10E+10F+10G 11B+11C+11D+11E+11F+11G 10A 10B 10C 10D 10E 10F 10G 12B+12C+12D+12E+12F+12G

41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88

12A 12B 12C 12D 12E 12F 12G 14A 15A 16A 17A 17A 17B 17C 17D 17E 17F 17G 18A 19A 19A 19B 19C 19D 19E 19F 19G 20A 20A 20B 20C 20D 20E 20F 20G 21A 22A 23A 24A 25A 26A 27A 27A 27B 27C 27D 27E 27F

= = = = = = = = = = = <= <= <= <= <= <= <= = = <= <= <= <= <= <= <= = >= >= >= >= >= >= >= = = = = = = = <= <= <= <= <= <=

1A+2A+5A+8A+10A 1B+2B+5B+8B+10B 1C+2C+5C+8C+10C 1D+2D+5D+8D+10D 1E+2E+5E+8E+10E 1F+2F+5F+8F+10F 1G+2G+5G+8G+10G 12A+13A 15B+15C+15D+15E+15F+15G 16B+16C+16D+16E+16F+16G 17B+17C+17D+17E+17F+17G 16A 16B 16C 16D 16E 16F 16G 18B+18C+18D+18E+18F+18G 19B+19C+19D+19E+19F+19G 18A 18B 18C 18D 18E 18F 18G 20B+20C+20D+20E+20F+20G 21A+22A+23A+24A+25A 21B+22B+23B+24B+25B 21C+22C+23C+24C+25C 21D+22D+23D+24D+25D 21E+22E+23E+24E+25E 21F+22F+23F+24F+25F 21G+22G+23G+24G+25G 21B+21C+21D+21E+21F+21G 22B+22C+22D+22E+22F+22G 23B+23C+23D+23E+23F+23G 24B+24C+24D+24E+24F+24G 25B+25C+25D+25E+25F+25G 26B+26C+26D+26E+26F+26G 27B+27C+27D+27E+27F+27G 26A 26B 26C 26D 26E 26F

89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126

27G 28A 29A 30A 31A 31A 31A 31B 31C 31D 31E 31F 31G 32A 33A 33A 33C 33D 34A 35A 35A 35C 35D 36A 36A 36B 36C 36D 37A 37A 37B 37C 37D 38A 39A 39A 39C 39D

<= = = = = = = = = = = = = = = <= <= <= = = <= <= <= = <= <= <= <= = <= <= <= <= = = <= <= <=

26G 28B+28C+28D+28E+28F+28G 29B+29C+29D+29E+29F+29G 30B+30C+30D+30E+30F+30G 31B+31C+31D+31E+31F+31G 14A 15A+16A+18A+20A+26A+28A+29A+30A 15B+16B+18B+20B+26B+28B+29B+30B 15C+16C+18C+20C+26C+28C+29C+30C 15D+16D+18D+20D+26D+28D+29D+30D 15E+16E+18E+20E+26E+28E+29E+30E 15F+16F+18F+20F+26F+28F+29F+30F 15G+16G+18G+20G+26G+28G+29G+30G 32B+32C+32D 33C + 33D 32A 32C 32D 34B+34C+34D 35C + 35D 34A 34C 34D 36B + 36C + 36D 34A 34B 34C 34D 37B + 37C + 37D 34A 34B 34C 34D 38B + 38C + 38D 39C + 39D 38A 38C 38D

External validations There are no external validations for this data item.

FSA045 IRB portfolio risk This data enables the FSA to understand the relationship between cyclicality and capital requirements under the CRD, help mitigate the risk of financial instability or economic recession, and be in a position to influence/contribute to international discussions on this. The information provided should be used to calculate that firm's capital requirements. Firms should submit the data in their own PD bands. Currency You should report in the currency of your annual audited accounts ie in Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s, to 3 decimal places. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. PiT, TTC or Hybrid PiT This should be based on the firm's rating philosophy. Point in Time (PiT): A rating system which explicitly estimates default risk over a fixed period, typically one year. Through the Cycle (TTC): A rating system which seeks to take cyclical volatility out of the estimation of default risk by assessing a borrower's performance over the business cycle. Hybrid PiT: A rating system which sits in-between the PiT and TTC rating systems described above. Definiton of default number of days The exact number of days past due that is applied to each asset class as part of the definition of default. Gross exposure value Exposure before taking into account credit risk mitigation and credit conversion factors (CCFs). Exposure at default estimate Calculate in accordance with BIPRU 4. This should be the downturn EAD. Maturity This is the exposure weighted average maturity in days. PD probability of default The probability of default of a counterparty over a one year period, calculated in accordance with BIPRU 4. This should be the long-run PD. LGD Loss given default The ratio of the loss on an exposure due to the default of a counterparty to the amount outstanding at default, calculated in accordance with BIPRU 4. This should be the downturn LGD.

Expected loss Calculate in accordance with BIPRU 4. Risk weighted exposure amount Calculate in accordance with BIPRU 4.

FSA045 IRB portfolio risk validations Internal validations PD bands should be mutually exclusive and numerically sequential. External validations There are no validations for this data item.

FSA046 Securitisation This data item allows a greater understanding of the prudential risk profile of the firm and avoids the need for ad hoc data requests from firms. It also enables the FSA to lead debate on credit risk transfer in international discussions. Currency You should report in the currency of your annual audited accounts ie in either Sterling, Euro, US dollars, Canadian dollars, Swedish Kroner, Swiss Francs or Yen. Figures should be reported in 000s. Data elements These are referred to by row first, then by column, so data element 2B will be the element numbered 2 in column B. 3A 3B Programme name Asset class Enter the common name of the programme in the market. This is the class of assets securitised in accordance with the options in FSA004 with an additional entry for "Asset Backed Commercial Paper Programme". 3C 3D 3E Originator's interest Investors' interest Location of investor reports See BIPRU 9.13.4R (1). The exposure value should be used. See BIPRU 9.13.4R (3). The exposure value should be used. Provide either a URL to the location of the investor reports published on the performance of the assets or, if not available via the internet, a description of where to find the investor reports. 3F 3G Assets appear in FSA001? BIPRU 9.3.1 applied? Yes/No to indicate whether the assets appear on the balance sheet provided in FSA001. Yes/No to indicate whether the assets have been excluded from the calculation of risk weighted exposure amounts under BIPRU 9.3.1R. 3H BIPRU 9.13 applies? Yes/No to indicate whether the transaction is a securitisation of revolving exposures with an early amortisation provision. Risk positions standardised exposures All exposures that are treated under BIPRU 9.11 should be shown in this section, broken down by credit quality and how the exposure arose. Row 4 This is for exposures where the firm originated the underlying assets. Row 5 This is for exposures to Asset backed commercial paper programmes.

Row 6 This is the exposure values generated under BIPRU 13 where the exposure is also a securitisation position. Row 7 This is for any standardised exposures not included in data elements 4 6 above. Columns A D Positions should be split by credit rating according to BIPRU 9.11.2R and BIPRU 9.11.3R. Column E This is for positions deducted from capital at part 1 of stage M of the capital calculations in GENPRU 2, Annexes 2R, 3R, 4R, 5R or 6R as appropriate. Risk positions IRB exposures All exposures that are treated under BIPRU 9.12 should be shown in this section, broken down by credit quality, granularity and how the exposure arose. Rows 8 10 This is for exposures where the firm originated the underlying exposures. Rows 11 13 This is for exposures to Asset backed commercial paper programmes. Rows 14 16 This is for exposure values generated under BIPRU 13 where the exposure is also a securitisation position. Rows 17 19 This covers any IRB exposures not included above. Columns A M This should be split by credit rating according to BIPRU 9.12.11R and BIPRU 9.12.12R. Column N This is for positions calculated under BIPRU 9.12.21R to BIPRU 9.12.23R. Column O This is for positions deducted from capital at part 1 of stage M of the capital calculations in GENPRU 2, Annexes 2R, 3R, 4R, 5R or 6R as appropriate.

FSA046 Securitisation validations Internal validations There are no validations for this data item. External validations There are no validations for this data item.