Grand total PRR

Firms should input “0” in order for all validations to succeed

63 Add-ons

Page 57 of 76 64 Total Add-ons The total of items 1 to n in 63

FSA005 – Market risk validations Internal validations

Data elements are referenced by row then column.

53 64G = SUM (63B)

FSA006- Market Amend the text as follows. Underlining indicates new text and striking through indicates deleted text:

…

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 relevant provisions of the EU CRR.

…

1A Closing P&L data

This is the daily figure calculated under BIPRU 7.10.100R. 1B VaR confidence level

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

Page 58 of 76 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 appropriate regulator. See BIPRU

7.10.93G.

1E Currency

This identifies the VaR reporting currency. See BIPRU 7.10.113R.

1F Value at Risk

This is the One day VaR measure calculated in accordance with BIPRU 7.10.98R. Article 365 of the EU CRR. [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 Starting P&L date

This is the date defined under BIPRU 7.10.100R. 1J Date on which VaR computed

This is the date when the VaR is computed under BIPRU 7.10.115R.

1K Last date VaR historic data updated

This is the last date on which this has been updated under BIPRU 7.10.34R.

1L Add-on VaR

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]

FSA007 – Operational Risk FSA008 – Large Exposures

Page 59 of 76 FSA009 – Key data

validations

FSA015 - Sectoral information, including arrears and impairment

Amend the text as follows. Underlining indicates new text and striking through indicates deleted text:

…

Valuation

For the general policy on valuation, please see the rules and guidance set out in GENPRU 1.3. relevant provisions in the EU CRR.

… FSA016 – Solo

consolidation data

Amend the text as follows. Underlining indicates new text and striking through indicates deleted text:

…

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 firm’s 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 firm’s solo- consolidated reporting under BIPRU 2.1, in the unconsolidated accounts of the firm.

… FSA018 – UK

integrated group large exposures

Delete the text and substitute with the following (new text is not underlined):

FSA018 – Exposures from the core UK group to the non-core large exposures group

This data item is only applicable to firms that have both a core UK group permission and an NCLEG trading book permission or an NCLEG non-trading book permission. It captures information on exposures from the members of a firm’s core UK group (and the firm) to members of a firm’snon-core large exposures group. A single report is required in respect of exposures from all members of the firm’s core UK group (and the firm), reflecting the exposures at the reporting date.

FSA018 was originally constructed to capture information on the level of exposures from the UK integrated group to the diverse blocks and residual blocks, reflecting the intra-

Page 60 of 76

group large exposures regime in operation pre-2011. However, firms should interpret this form on the basis of the core UK group and non-core large exposures group respectively, and follow the specific instructions provided for the individual data cells.

Valuation

Unless indicated otherwise, the valuation of data elements should follow article 390 of the EU CRR.

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. Individual rows within an element are identified as 2B.1, 2B.2 etc.

General 1

Ignore.

2 Firm Reference Numbers

List the Firm Reference Numbers for all the authorised firms in the firm’score UK group only. Firms should be listed sequentially in 2A, with the Firm Reference Numbers being entered in 2B. Ignore cell 2C. 3A Core UK group eligible capital

This is core UK group eligible capital. 4A Exposure number

Complete one line in relation to Section 4B. Ignore line marked ‘Total’.

4B Non-core large exposures group

Complete one line only in respect of aggregate exposures of all members of the core UK group (and the firm) to all members of the non-core large exposures group.

4C Gross exposure

Report here the gross exposures (non-trading book and trading book) of all members of the firm’score UK group (and the firm) to all members of the non-core large exposures group.

Page 61 of 76

This is column C as a percentage of data element 3A (core UK group eligible capital). It should be entered to two decimal places, omitting the % sign.

4E 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.

4F Amount of the exposure that is exempt

That part of the amount reported in column E that is exempted, whether under the firm’s NCLEG non trading book permission or its NCLEG trading book permission. 4G % of core UK group eligible capital

This is column F as a percentage of data element 3A (core UK group eligible capital. 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 core UK group eligible capital

This is column H as a percentage of core UK group

eligible capital. 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