FSA LiquidityStandards

Consultation Paper
09/13
Financial Services Authority
Strengthening liquidity
standards 2:
Liquidity reporting
April 2009
Contents
1 Overview 3
2 Next steps for the wider regime 8
3 Purpose and use of data collected 11
4 The proposed reporting regime in detail 15
5 Reporting for simpler firms 24
6 Waivers and modifications 28
7 Cost benefit analysis 30
8 Compatibility statement with our objectives and the 36
principles of good regulation
Annex 1: Draft legal instrument

Annex 2: List of CP questions
Annex 3: List of acronyms
© The Financial Services Authority 2009

The Financial Services Authority invites comments on this Consultation Paper by
15 July 2009. We have created an electronic response form and would prefer
respondents to use this electronic form when sending us their responses.
Comments should be sent by electronic submission using the form on the FSA’s
website (www.fsa.gov.uk/Pages/Library/Policy/CP/2008/cp09_13_response.shtml).
Alternatively, please send comments in writing to:
Elisabeth Bertalanffy-Fournier
Prudential Standards, Conduct and Organisational Policy
Financial Services Authority
25 The North Colonnade
Canary Wharf
London E14 5HS
Telephone: 020 7066 1222

Fax: 020 7066 1223
E-mail: liquidity.policy@fsa.gov.uk
It is the FSA’s policy to make all responses to formal consultation available for public
inspection unless the respondent requests otherwise. A standard confidentiality
statement in an e-mail message will not be regarded as a request for non-disclosure.
A confidential response may be requested from us under the Freedom of Information
Act 2000. We may consult you if we receive such a request. Any decision we make
not to disclose the response is reviewable by the Information Commissioner and the
Information Tribunal.
Copies of this Consultation Paper are available to download from our

website – www.fsa.gov.uk. Alternatively, paper copies can be obtained by
calling the FSA order line: 0845 608 2372.
1 Overview
Introduction
1.1 This Consultation Paper (CP) sets out our proposals for a new liquidity reporting
regime, being part of the proposed overhaul of UK liquidity regulation, as set out in
last December’s CP08/22, Strengthening liquidity standards. It consults on rules and
guidance notes, as proposed in the draft SUP 16.12 text and relevant annexes to SUP
16 (see Annex 1 to this CP).
1.2 This CP also takes on board many of the comments we have received in response to
the pre-consultation material on reporting which was set out in Chapter 8 of CP08/22.
Where useful, these comments have been included in this document.
1.3 Our reporting proposals, and related internal business intelligence (BI) and systems
requirements, are based on lessons learned during the difficulties faced by the
financial services markets since the summer of 2007. One key lesson, which was
supported by respondents to the original Discussion Paper (DP) 07/7, Review of the
liquidity requirements for banks and building societies, was the need to monitor
liquidity at a market-wide and sectoral level, alongside our firm-specific assessments.
1.4 To achieve this, we propose to collect quantitative liquidity data that is granular,
frequent, standardised and based on firms’ contractual commitments and exposures.
This will allow us to conduct internal stress testing and ‘what if?’ analyses, peer
comparisons and also to develop a common language for liquidity across the
financial services sector and, possibly, internationally.
1.5 Given the dynamic and multi-faceted nature of liquidity risk our new regime will
require firms to develop in-depth understanding of their risk exposures and to
manage them closely, where necessary on a daily basis. This drives our proposals for
both the granularity and frequency of firms’ reporting to us. While we recognise
that, compared with past practice, our reporting requirements may be costly to
implement for many of the firms that fall within the scope of our Individual
Liquidity Adequacy Standards (ILAS) regime, we believe the data concerned would
normally be required by most firms in undertaking prudent liquidity risk
management for their own purposes. Recent experience has demonstrated the need
for firms to track and manage their liquidity positions across such dimensions in
Financial Services Authority 3

that kind of detail. Accordingly, the cost of complying with our proposed reporting
regime should be modest when measured against what prudent risk management
itself requires of firms.
1.6 Many respondents to the pre-consultation agreed with this basic premise. One noted
that ‘firms may in due course see the effort involved (in the proposed reporting
requirements) as a beneficial investment in management of their own firm. It may be
that the incremental cost incurred in respect of meeting these requirements is not
that great relative to where internal management reporting associated with liquidity
risk would/should be in any event’.
Feedback received in the pre-consultation

1.7 We received 18 responses to the pre-consultation on liquidity reporting in Chapter 8
of CP08/22. Respondents were broadly supportive of our proposals and objectives,
and offered comments and suggestions on some of the detail of the requirements.
For example, one noted that ‘The FSA’s intention to build firm-specific sector- and
market-wide knowledge of liquidity is welcome.’ Another said that ‘Overall, we are
content with reporting frequent and granular information as we already collect daily
data for internal liquidity risk management’.
1.8 Detailed comments, including many helpful suggestions received, are reflected in our
final proposals outlined in this CP. The following key points were made by respondents:
• There was widespread support for our proposals in principle, including

proposed reporting frequencies, and appreciation of the goals we are trying to
achieve with the new reporting regime. However, questions were raised over our
staff and systems capabilities to analyse the data we are planning to collect.
• Respondents were opposed to our suggestion of shortening the consultation

period for this CP to less than three months.
• Concerns were raised over the disproportionately greater impact of the reporting
proposals on smaller firms and perceived disadvantage for firms not currently
asked by their FSA supervisors to complete ad hoc liquidity returns which have
coverage basically similar to that proposed in this CP.
• There were also concerns over the proposed implementation timetable which
was seen as challenging.
• Similarly, our proposals on submission deadlines were considered too tight, with
reporting over weekends and same-day deadlines for crisis time reporting
deemed particularly burdensome.
• Respondents stressed that quantitative reporting needed to be coupled with

qualitative firm assessments and discussions to get a full and accurate picture of
a firm’s liquidity risk profile.
4 CP09/13: Strengthening liquidity standards 2

• While many respondents noted that they were planning to automate their
liquidity reporting, they also stressed that a degree of human intervention would
always be necessary to ensure appropriate data verification.
• Respondents were strongly supportive of our promoting standardised

quantitative reporting internationally.
1.9 We also received helpful comments and suggestions on currency reporting, reporting
for derivatives and collateral cashflows, reporting of daily flows, data sharing and
other matters. We have discussed these in workshops and bilateral meetings with
firms and have reflected our conclusions in this CP.
Substantial changes reflecting comments received

1.10 Compared with the approach outlined in Chapter 8 of CP08/22, we have amended
and developed the details of our proposals in a number of key areas, reflecting the
comments we have received as part of the pre-consultation or during bilateral
meetings and workshops. Particular adjustments, which should make the overall
approach less onerous than the proposals outlined in CP08/22, include:
• a more pragmatic, proportionate and risk-based approach to currency reporting

(see Chapter 4 of this CP);
• allowing firms that are eligible and opt for our simplified regime to report to
us less frequently, less granularly, and with extended submission deadlines (see
Chapter 5);
• clarifying how our proposals on cross-border and intra-group management of

liquidity, and the associated waivers and modifications, will affect regulatory
reporting (see Chapter 6);
• dropping some data items1 and expanding on certain others which respondents
deemed important, such as derivatives cashflows and retail analysis (see Chapter 4);
• revising submission deadlines, including weekly and crisis-time submission deadlines

for daily reporting, to make them more manageable for firms (see Chapter 4);
• rethinking our approach to intra-day liquidity reporting, taking account of the

extent to which existing information collected in this area can be harnessed to
meet our needs; and
• reassessing the implementation timetable for the quantitative reporting requirements.
Q1: Do you believe that our revised proposals will enhance

the effectiveness and proportionality of the new regime?
1 When we refer to ‘data items’ in this CP we mean the forms that firms will have to submit to us. When we refer to
‘data elements’ we mean the specific data fields within the data items.

International developments
1.11 In parallel with our domestic work on liquidity reporting, we continue to play
an active role, alongside the Bank of England (BoE), in discussions in relevant
international fora, such as the Liquidity Working Group (LWG) of the Basel
Committee on Banking Supervision (BCBS) and the Committee of European
Banking Supervisors (CEBS) (see box below). We welcome all opportunities to build
international consensus on this important issue and look to encourage international
harmonisation of standardised, quantitative liquidity reporting.
1.12 We believe that international work on common information exchange between

international supervisors should focus, on the quantitative side, on reaching
agreement on some form of standardised reporting of objective, contract-based
information. We take a cautious approach towards a predetermined list of metrics,
as this could lead firms and supervisors to focus only on those specified indicators of
liquidity risk, rather than taking a holistic view, and thereby potentially missing
shifts in firm, sectoral and market-wide liquidity risk exposures. However, we are
supportive of a flexible and adaptable menu of metrics available for supervisory
authorities to share, as this could facilitate international comparisons.
1.13 An internationally-agreed standard for quantitative liquidity reporting would help

supervisors to form more objective, evidence-based views and comparisons of the
respective liquidity risk profiles of local and internationally active firms, as well as
to conduct peer comparisons of similar firms that operate within different
jurisdictions or across borders. Sharing standardised contract-based data will also
enable supervisors to run those metrics most relevant for their financial services
markets and their firms’ activities and business models.
1.14 Respondents to the pre-consultation agreed with our international objectives. One
noted ‘We agree with the aims of the new regime, and would appreciate the FSA’s
role in setting new international benchmarks and promoting the convergence of
cross border liquidity standards.’ Another commented ‘Regulators need to be more
aware of liquidity requirements globally and cooperate more in developing a
coordinated approach.’ One firm said that ‘Progress towards standardisation among
differing regulators of requirements for liquidity reporting should be an intended
outcome of any new reporting requirements introduced by the FSA.’
Q2: Do you agree with our international objective of

promoting standardised quantitative reporting on
liquidity?
Q3: What role do you believe standardised metrics should
play in international supervision of liquidity?

Basel Committee on Banking Supervision
One workstream of the BCBS WGL is focused on liquidity risk supervision for cross-border
banks, including the necessary degree of information sharing. The WGL will discuss what type
of information sharing and regulatory reporting may be appropriate for cross-border banks.
Committee of European Banking Supervisors

The CEBS task force on Liquidity Risk Management was formed under the remit of the
Groupe de Contact (GdC) to assist CEBS in answering the European Commission’s Call for
Advice on Liquidity and in exploring the potential for further convergence in this area.
The final Advice on Liquidity and 30 recommendations were published in September 2008.
At its October 2008 meeting, CEBS decided that further work was needed on liquidity risk
management and supervision.
One of three new workstreams in CEBS focuses on ‘proposals for a common set of
minimum quantitative and qualitative information requirements for supervisors’. This work
centres on exchange of information during normal times, and metrics tailored to potential
sources of liquidity vulnerability.

2 Next steps for the wider
regime
2.1 This Chapter outlines our current plans for the finalisation and roll-out of the liquidity
regime as a whole, which take account of initial stakeholder feedback on CP08/22.
Background
2.2 The consultation process, policy finalisation and transitional arrangements for our
reporting requirements are naturally closely intertwined with those for the overall
liquidity regime proposed in CP08/22. We shall need to stay flexible and by June
will give an update on our planning for implementation, including reporting, in a
further CP containing proposed transitional rules for the detailed switch-on of the
new regime. Here, we summarise our current intentions.
2.3 We have received 98 responses to CP08/22. We are currently analysing the

responses to prepare a Feedback Statement and review the proposals in the light of
the comments received from stakeholders. We plan to publish a Policy Statement
that will cover all elements of the new regime, including reporting, in the third
quarter of this year.
2.4 CP08/22 outlined a phased implementation approach for the various elements of the
new regime, with systems and controls requirements, the adequacy and self-
sufficiency rules and the ILAS framework applying from October 2009 for all in-
scope firms. The strengthened reporting requirements and full operation of the ILAS
arrangements would be phased in progressively from that start date. Meanwhile, an
interim liquidity reporting programme – launched in mid-2008 and now covering
more than 30 key firms – has been providing a basis for supervisory dialogue and
challenge of firms’ liquidity risk management and adequacy of their position. The
data being provided is a core sub-set of what would need to be reported under the
proposals in this CP which were outlined in CP08/22.
2.5 In line with the 2009/10 Business Plan and as stated in DP09/2, published alongside
the Turner Review in March, we are now planning for all new rules and guidance on
liquidity risk management – including transitional provisions – to be in effect from

the fourth quarter of 2009. The new reporting system will succeed interim
arrangements and the overall reporting programme will focus particularly on
firms/sectors most significant from a systemic perspective.
2.6 Firm-by-firm, supervisors will set individual schedules for the review of submissions
made under the ILAS framework. We intend to use Individual Liquidity Guidance
(ILG) to effect progressive strengthening – potentially over several years – of firms’
liquidity positions. Our approach will recognise the need not to impose stringent
requirements on firms whilst the economic recovery is under way.
2.7 DP09/2 and the Turner Review proposed for discussion introduction of a Core
Funding Ratio to apply to deposit-takers as a ‘macro-prudential’ tool to ensure that
asset growth is funded in a stable manner. And, as noted in Chapter 1, international
discussions continue on strengthening of prudential regulatory requirements. Further
refinement of the UK regime for regulation of firms’ liquidity – including the
requirements for firms’ reporting – is to be expected through time. We will consult
in the normal way on any proposed development of the FSA Handbook requirements
and meanwhile see the fundamental structure for reporting proposed in this CP as
providing a stable foundation for the future.
Phased implementation
2.8 Reporting requirements will be phased in over time by data item, legal entity and
across the different categories of in-scope ILAS firms. We are planning that key data
items, such as FSA047 (Daily Flows), FSA048 (Enhanced Mismatch Report (EMR) –
standard), FSA049 (EMR-simplified) and FSA052 (Pricing data) will be collected
from the first quarter of 2010. Collection of other data items will commence
subsequently.
2.9 Planned milestones for finalising and implementing the new regime are currently
as follows:
DATE
Consultation on CP08/22 closed 4 March 2009
Responses to Reporting CP09/13 due by 15 July 2009
Transitionals CP to be published Q2 2009
Policy Statement on new regime published Q3 2009
Rules and guidance come into effect Q4 2009
New reporting arrangements go live Q1 2010
2.10 This is an ambitious timetable, especially on the reporting side, reflecting the fact
that strengthening liquidity standards and supervision is a clear priority. We will
take a pragmatic, risk-based and proportionate approach to our implementation
timetable and the transitional arrangements and will continue to engage closely with
key stakeholders and the industry on all aspects.

Q4: What are your views on the appropriate
implementation timetable?
Q5: What are your views on a gradual phasing-in of our
quantitative requirements?

3 Purpose and use of
data collected
3.1 This Chapter describes the purpose and use of the data we are proposing to collect,
and of associated Business Intelligence (BI) output, and how we are preparing
internally for this step-change in regulatory data collection.
Overall objectives of the new reporting regime

3.2 As discussed in Chapter 8 of CP08/22, our reporting proposals are driven by the
proposed new individualised liquidity regime. The new regime recognises the
idiosyncratic, multi-faceted and fast-moving nature of liquidity risk and identifies ten
key liquidity risk drivers, which firms should consider as part of their liquidity risk
assessments2; the new data items are designed to capture these, to monitor firms’
compliance with the new regime and to provide sector- and market-wide views on
liquidity risk.
3.3 In light of the recent market turbulence our proposals highlight a number of specific
factors to be reflected in the design of quantitative liquidity reporting. These were
broadly seen as sensible by respondents to the pre-consultation and include the need to:
• collect objective (i.e. contractual), granular, frequent data on a standardised basis;
• form the basis of a common language on liquidity;
• avoid adverse signalling to the market;
• run firm-specific and market-wide stress tests within the FSA;
• if required, collect firm behavioural data in a standardised format;
• conduct peer comparison;
• collect data that is useful for monetary and financial stability purposes and can
be shared for these purposes with the BoE;
2 The sources of liquidity risk identified in CP08/22 are: Wholesale funding risk, Retail funding risk, Intra-day
liquidity risk, Intra-group liquidity risk, Cross-currency liquidity risk, Off-balance sheet liquidity risk, Franchise
viability liquidity risk, Marketable asset risk, Non-marketable asset risk and Funding diversification risk.

• develop relevant BI output and alerts for FSA internal use, which, on a suitably
anonymised and consolidated basis, could be shared externally; and
• analyse the impact of the ILAS regime and ILG on the relevant sectors.
3.4 Respondents were broadly supportive of these objectives, with one noting that ‘the
goals seem reasonable at this time’.
Q6: Do you agree with the broad objectives of our

reporting proposals? Are there any objectives we have
omitted, which should be included?
3.5 There were some concerns, however, about the sharing of data output, such as
liquidity risk outlook documents, even on an anonymised basis. One firm observed
that ‘Disclosure even on an anonymous basis should be limited to the key stakeholders
(Bank of England, UK government, other regulators) to avoid any run-off on one
name or a general disinvestment from investors in the financial sector’. Another added
that ‘If there is the remotest possibility that an institution or group of institutions
could be identified and “outed” as having an unusual or problematic liquidity position,
then crystallisation of liquidity risk could become a self-fulfilling event. In addition,
there is an international dimension to be considered, where overseas market
participants could treat UK banks operating internationally in a detrimental way if
there is a lack of complete data for other banks and/or if as a result of your
publication there is a perception of weakness in the UK banking system’.
Q7: What are your views on our proposal to feed back, on an

anonymised basis, some of our analysis of the data we
collect? To what extent do you believe this could have a
potentially detrimental impact on certain peer groups,
sectors or the wider UK financial services industry?
3.6 There were also concerns over our ability to produce meaningful peer group analysis
based on quantitative reporting alone. Many respondents observed that the
quantitative reporting analysis must be conducted in the context of wider qualitative
assessments of a firm to get an accurate view of its individual liquidity risk profile.
As one respondent put it, ‘Data collected under the new reporting regime should not
be looked at in isolation, but rather should be compared to the data already
collected by banks for their internal use’.
3.7 We have always stressed that quantitative reporting does not aim to replace
qualitative discussions between firms and FSA supervisors. So, our new regime puts
appropriate emphasis on both the quantitative and qualitative elements of the
supervisory process and an individualised approach to firms’ liquidity risk
assessments. Our liquidity reporting aims to collect standardised data that will allow
us to conduct analyses to identify potential liquidity risks arising within firms and
the wider market and lead to better-informed and more targeted interactions
between firms and their supervisors.

Q8: What do you believe the appropriate balance should be
between the qualitative and quantitative elements of
the new regime, particularly with regards to reporting?
Whole-of-market view
3.8 Our need to form a whole-of-market view of liquidity – by which we mean the
market as it is relevant to the balance sheet of the firms that fall within the overall
scope of the regime, not only the sterling markets – emerged as a crucial objective
from the responses to DP07/7. Respondents to the reporting pre-consultation in
CP08/22 remained supportive of this goal. Other stakeholders, including the BoE
and the Treasury, also favour this approach, given its relevance to UK financial
stability work.
3.9 The need to form a whole-of-market view drives our proposals for standardised data
items that apply to all firms within the scope of the ILAS regime. While we are
willing to compromise on frequency and some degree of granularity under certain
circumstances (see Chapters 5 and 6 and paragraphs 4.18-4.21 in Chapter 4 on
currency reporting), it is important that we collect data in a consistent format from
all relevant firms. However, not every data element within the data items will be
required from every firm.
Q9: Do you agree that in order for us to form a market-wide

view on liquidity we need to collect largely the same
data from all firms within the full scope of the regime?
Use of the data collected

3.10 One particular theme of feedback from firms, both through the pre-consultation and
in bilateral meetings and workshops, has been concern over our ability to marshal
and analyse the large volume of data we propose to collect. One respondent said
that ‘The objective of being able to single out and deal with specific single-firm
issues, without triggering knock-on impacts to other peer firms or sectors is
particularly useful. However, it does assume that the FSA has in place sufficient
internal systems, and resources, to monitor the significant increase in reported data
which the proposed reporting requirements will generate, and thus that everyone
will benefit from FSA being able to utilise internal automated tools to spot trends or
anomalies in the data submitted’.
3.11 The following section focuses on the BI output we intend to produce, while the next
section focuses on our internal systems and staff capabilities.
Business Intelligence output

3.12 We have been developing a suite of BI reports on the basis of the live data currently
collected through ad hoc liquidity reporting submitted by many firms. These are
being further expanded to make full use of the data we intend to collect via forms
FSA047, FSA048 and FSA049, as well as the other data items we are proposing. We
remain committed to collecting information only if we can demonstrate its use.

3.13 The data we collect will be analysed to produce a suite of BI liquidity reports for
supervisors and technical experts within the FSA. The standardised reporting pack
can be supplemented by any reports we may require at the time. Where necessary it
will also alert our supervisors, for example, by telling them that a firm has fallen
below its ILG. Standard reports will, among other matters, identify significant
outliers within a peer group of regulated firms.
3.14 The reports will inform us about firms’ wholesale cashflow survival periods, eligible
collateral survival periods, as well as cumulative gap positions across the relevant
liquidity risk drivers. In addition to the regular reports, we will also run internal
behavioural analysis and stress tests on the basis of the data we receive, for example,
to stress-test how the firm, sector or market might respond to credit downgrades or
changes in central bank eligibility criteria. Furthermore, we will calculate aggregate
data to get an overall market picture of liquidity.
FSA systems and capabilities

3.15 Firms stressed the importance of the FSA developing systems and staff capabilities to
receive, analyse and correctly interpret the large volume of data proposed. One
respondent to the pre-consultation in CP08/22 said that ‘Our concern is how the
regulator will be able to analyse such large data sets and decide on the most
appropriate course of action, particularly in times of stress. In other words, we seek
explanation of how the FSA will “see the wood for the trees”’.
3.16 An extensive programme is currently under way to develop our existing systems so
that they are prepared for the step-change in data collection that will be the result of
our proposed reporting requirements. This includes substantial systems changes to
our data collection capabilities and internal risk management assessment processes,
as well as our BI tools.
3.17 We are developing a training programme to raise overall liquidity risk management
capabilities. Every supervisor will participate in this training, which will also include
a module on reporting and interpreting the data items and BI reports.
3.18 Finally, in line with the ‘Supervisory Enhancement Programme’ recommendations

coming out of the Internal Audit Report that followed the collapse of Northern
Rock, we have considerably expanded our internal centres of technical expertise.
These technical specialists, who have a strong liquidity risk background, will be
among the principal users of the data and BI output, and will conduct most of the
sector- and market-wide analyses, as well as peer comparisons.
Q10: Do you believe that the actions outlined above

sufficiently address industry concerns over our systems
and staff capabilities for analysing the large volume of
data we propose to collect?

4 The proposed reporting
regime in detail
4.1 In this Chapter, we describe the details of the proposed reporting regime, including
data items, frequency, submission deadlines, currency reporting and the legal entity
basis for reporting.
Background
4.2 Since the publication in December 2008 of CP08/22 we have been engaged in
extensive interactions with individual firms, trade associations and working groups
to refine the data items outlined in Chapter 8 of CP08/22. The feedback we have
received has been instrumental in shaping the more developed proposals in this CP.
4.3 Although specific comments were offered on some of the detailed elements of the
data items, respondents generally agreed with the overall shape of our proposals and
felt that the data collected would allow us to form a sound view of firms’ and the
overall markets’ liquidity risk profiles. This was subject to inclusion of data on both
derivatives cashflows and withdrawable retail analyses. Both are now part of the
proposed suite of data items.
4.4 One respondent noted that ‘The proposed items will provide a strong overview. In
particular the pricing data return may give an early warning sign on a firm’s stress
as it will identify change in liability pricing over a range of market products.’
Another agreed, saying that ‘From a purely quantitative perspective, the proposed
data items should give the FSA a sufficiently clear view of a firm’s liquidity position
on a contractual (or partly derived contractual) basis’, but warned again that ‘a
firm’s liquidity should not be assessed on a purely quantitative basis and that the
qualitative element is an equally important part of understanding a firm’s position.
This caveat also must apply when the FSA is thinking of peer group analysis.’
4.5 The new liquidity data items will replace most current liquidity forms and ad hoc
liquidity reports. We are also considering deleting FSA044, provided that we can be
satisfied that all relevant information in FSA044 can be derived from the new data
items (see paragraphs 4.16-4.17).

Scope of the reporting regime
4.6 Our quantitative reporting requirements will apply to all ILAS firms, to a frequency
and granularity varied according to whether the firm is a standard ILAS firm or a
simplified ILAS firms. Waivers and modifications can be applied to our quantitative
reporting requirements where we are satisfied that the Financial Services and
Markets Act 2000 (FSMA) section 148 statutory tests have been met (see Chapter
6). That is the context for our proposed regime on waivers and modifications in
relation to the cross-border and group management of liquidity. ILAS firms, as
outlined in CP08/22, are banks, building societies, full scope BIPRU3 investment
firms and branches of European Economic Area (EEA) and non-EEA banks.
4.7 Some ILAS firms fall within the scope of our proposed standardised buffer ratio regime,
as outlined in BIPRU 12.6, on which we have been consulting in CP08/22. As defined at
present, the criteria for the standardised ILAS buffer will be satisfied primarily by simpler
building societies and mortgage banks. Ongoing dialogue internally and externally, as
part of the consultation process on CP08/22, will assess the appropriateness of these
criteria and their possible extension to a wider range of firms.
4.8 Limited licence and limited activity investment firms fall outside the scope of the
ILAS requirement of the new liquidity regime and would be subject instead to the
systems and controls requirements, as outlined in BIPRU 12.3 &12.4. So they will
not be subject to our proposed quantitative reporting requirements. Their annual
completion of a Systems and Controls Questionnaire will enable us to monitor their
compliance with our qualitative rules and guidance.
Proposed data items and frequency

4.9 The table below describes our proposed data items, their purpose, respective
frequencies, scope and submission deadlines.
3 BIPRU: Prudential Sourcebook for Banks, Building Societies and Investment Firms

DATA ITEM DESCRIPTION SCOPE FREQUENCY SUBMISSION DEADLINES
FSA047: Collects daily flows out to Standard ILAS Weekly; BAU: End-of-day Monday for the
EMR Daily three months to analyse BIPRU firms Daily in firm- week ending the previous Sunday;
Flows survival periods and spot specific and/or Crisis: End of the following
potential liquidity squeezes market liquidity business day (23.59GMT) for the
early. crises. previous business day.
FSA048: Based on lessons learned Standard ILAS Weekly; Business-as –usual (BAU): End-of-
Enhanced during the recent market BIPRU firms on Daily in firm- day (23.59GMT) Monday for the
Mismatch turbulences; aims to capture the full regime specific and/or week ending the previous Sunday;
Report (EMR) the ILAS risk drivers and market liquidity Crisis: End of the following
– Standard contractual flows across the crises. business day (23.59GMT) for the
full maturity spectrum; can previous business day.
also be used to collect
behavioural information from
firms on a standardised basis.
FSA049: Similar to the standard EMR; Simplified ILAS Monthly; BAU: Three business days after
EMR- firms will not have to provide BIPRU firms, Daily in firm- month end;
Simplified daily flows. as outlined in specific and/or Crisis: End of the following
BIPRU 12.6 market liquidity business day (23.59GMT) for the
crises. previous business day.
FSA050: Provides more granular All ILAS BIPRU Monthly Three business days after month
Marketable analysis of firms’ marketable firms end.
Assets asset holdings.
FSA051: Captures firms’ borrowings from All ILAS BIPRU Monthly Three business days after month
Funding unsecured wholesale funders firms end.
Concentration (excluding primary issuance),
by counterparty class to
identify concentrations on a
firm- and market-wide basis.
FSA052: Collects daily transaction All ILAS BIPRU Weekly End-of-day Monday for the week
Pricing Data prices and transacted volumes firms ending the previous Sunday for
for wholesale unsecured standard ILAS BIPRU firms;
liabilities by product, tenor Three business days after month
(where appropriate) and end for firms on the simplified
currency; gives insight into regime.4
system-wide financial stability.
FSA053: Captures firms’ retail and All ILAS BIPRU Quarterly Three business days after quarter
Retail and corporate funding profiles and firms end.
Corporate the stickiness of various retail
Funding deposits; shows changing
retail funding profiles.
FSA054: Provides an analysis of the All ILAS BIPRU Monthly Three business days after quarter
Currency foreign exchange (fx) firms end.
Analysis exposures on firms’ balance
sheets.
FSA055: Monitor firms’ compliance Non ILAS Annual Five business days after year end.
Systems & with our Systems and BIPRU firms
Controls Controls requirements, as
Questionnaire outlined in BIPRU 12.3 &
12.4.
4 Firms on the simplified regime have monthly submission deadlines of this weekly data item, which means once a
month they will submit four reports.

Q11: What are your views on the proposed data items? Are
there important drivers of liquidity risk that you
believe we fail to capture with the proposed reports?
Q12: Is the data we are proposing to collect sufficiently
comprehensive? Should FSA047, 048 and 049 also
include operational cash flows (such as tax
payments/receipts and dividend payments)? Should
FSA053 also include behavioural data?
Frequency
4.10 We had already outlined our thinking on reporting frequency in Chapter 8 of
CP08/22. Our main rationale is based on recent experience, which has demonstrated
that liquidity problems crystallise quickly and that, in a crisis situation, there is a
need for daily liquidity data. We have also been urged by firms to avoid the need to
institute inconsistent, onerous reporting on an ad hoc basis. Accordingly, all firms
will need to have systems in place which will allow them to comply with daily
reporting in a crisis situation for key data items. We, in turn, must also have the
capability and capacity to analyse the information we collect speedily and efficiently.
4.11 Therefore, we propose, with regard to the frequency for the key liquidity data items
(FSA047, FSA048 and FSA049) that:
• firms will have to report them weekly (monthly for FSA049) under business-as-
usual and daily in crisis times; and
• firms will have to ensure they have the capability to report these items daily.
4.12 The reporting frequency of these data items switches to daily if there is a firm-specific
or market liquidity crisis in relation to the firm or group in question. The former
includes the firm failing to meet its ILG, liquidity resources requirements or overall
liquidity adequacy rules, as proposed in CP08/22. The latter means a crystallisation of
liquidity risk in any market that is of material significance to the reporting firm.
4.13 To satisfy ourselves that firms are indeed capable of reporting the key data items
daily, we will periodically check their capability via ‘on request’ daily reporting over
a set time period (e.g. two weeks) as part of our normal supervisory relationship
with those firms.
4.14 The case for setting weekly reporting as the normal pattern, with activation of daily
reporting under certain circumstances, was largely accepted in responses to the pre-
consultation. To summarise:
• it addresses signalling concerns in crisis times;
• it reduces the likelihood that we will need ad hoc reporting in a crisis and places
less strain on firms under stress;
• it reflects firms’ management of core treasury operations on a daily basis;

• data would be sufficiently frequent to allow us to form a reasonably complete
picture of firms’ liquidity positions at all times;
• data would be sufficiently frequent to identify potential liquidity problems

quickly to enable swift responses; and
• it will mean FSA systems are capable of collecting and analysing a high volume
of data daily, minimising the need for ad hoc reporting in crisis situations.
4.15 As outlined in Chapter 1, respondents have been broadly supportive of our

approach to the data items as well as reporting frequencies. Regarding FSA047,
FA048 and FSA049, which are modelled after the ad hoc Liquidity Risk Profile
(LRP) report, one respondent observed that ‘Larger firms already submit the LRP
and see great benefit in its internal use’. On frequency, another noted that ‘Subject to
your capacity to receive and analyse daily submission, a weekly cycle seems a good
compromise to prevent adverse signalling by switching to more frequent reporting
while maintaining sufficient timeliness for early detection of stress’. A second said
that ‘In principle we agree with the proposals for the frequency of reporting but
subject to the inclusion of liquidity reporting in the waivers process’.
Q13: What are your views on the proposed reporting

frequencies?
Data items to be replaced

4.16 The new reports will replace the following existing liquidity reports in their entirety:
FSA010, FSA012 and FSA013. FSA011 will be almost entirely deleted, with the
exception of several data elements that are required to capture building societies’
specific statutory requirements. Respondents to the pre-consultation generally
backed this approach.
4.17 In addition, industry representatives have suggested that we should discontinue

FSA044, due to its significant overlap with the proposed FSA047, FSA048 and
FSA049 data items. We will conduct further analysis to ensure that all relevant
information in FSA044 can be derived from the new liquidity data items.
Q14: Do you agree that the existing data items outlined in

this section are appropriately replaced by the new
reporting proposals?
Currency reporting
4.18 As outlined in Chapter 8 of CP08/22, internal and external stakeholders, the BoE in
particular, have expressed strong interest in greater granularity on currency reporting
through FSA047 and FSA048, to assess firms’ foreign exchange liquidity risks. The
following reasons have been given:
• data on an aggregate currency level may hide a deterioration of funding

conditions, in particular currency markets on which firms are reliant;

• a view of each significant mismatch by currency would allow an assessment of
firms’ currency liquidity risks and their potential vulnerabilities to a drying-up
of particular currency swap markets;
• as central bank and monopoly provider of GBP, the BoE has a particular interest
in a GBP report for its assessment of market conditions and possible mitigating
actions; and
• knowing about firms’ largest currency-based funding requirements will also

enable swift and effective coordinated action between the BoE and other central
banks to provide liquidity in the required currencies in times of crisis.
4.19 Our original proposals, outlined in December, would have required all firms with
foreign currency exposures to report on the basis of consolidated sterling, USD, GBP,
EUR, and All Other Currencies. All firms whose main currencies are not USD, GBP
or EUR would have had to report in those currencies which, in practice, reflect their
largest exposures, as well as All Other Currencies.
4.20 Respondents agreed with our thinking on currency data generally, but expressed
concerns about the amount of reporting this would involve. One said that ‘It is
important to understand cross currency exposures, particularly where firms develop
a dependency on one currency to fund other currencies. For UK institutions the
proposals and the rationale for the proposals are reasonable’. Another added ‘In
principle we agree with the proposal, however we are concerned about the level of
reporting and its complexity.’
4.21 We have therefore reconsidered this approach and now propose requirements that
we consider to be more risk-based and proportionate. For FSA047 and FSA048, we
propose that, on a default basis, ILAS firms will submit a consolidated sterling
report. As part of their ILAS assessments, we will analyse the relevant firms’ actual
cross-currency liquidity risk exposures and will agree with them bilaterally which
additional material currencies, as regards the assets and liabilities identified in these
data items, the firms should sensibly report. We would not expect a firm to be asked
to complete this data item in more than three material currencies, in addition to the
consolidated sterling report.
Q15: What are your views on this revised approach to

currency reporting? Do you agree that it is more risk-
based and proportionate?
Deadlines for submission

4.22 Our pre-consultation thinking was that we would require, under business as usual,
weekly submissions to be received by Sunday for the week ending the previous Friday,
and, for daily submissions in crisis times, end of the day for the data on each day.
4.23 The possibility of weekend submissions raised significant concerns. While it was
recognised that tight submission deadlines were necessary to meet our overall
objectives, with one respondent noting that ‘Submission deadlines must be fairly short
otherwise the whole point in doing this exercise will be lost’, many warned that it

was unduly onerous. One said ‘The timescales appear unreasonably tight and would
not allow for management verification and review of data prior to submission to the
FSA. The balance between the speed at which data is obtained and its accuracy
appears to be skewed too far to the speed’.
4.24 Firms also pointed out that, aside from issues surrounding data verification
processes, weekend reporting would also put considerable strain on IT systems
maintenance. One observed that ‘The IT environment across weekends is often
reserved for IT upgrades and maintenance. Furthermore a Sunday submission
deadline leaves insufficient time, and availability of front and back office staff, for
follow up and resolution of review queries’.
4.25 Finally, even though many firms agreed with our assumption that data would be
submitted through an automatic data feed between the firms’ and the FSA’s systems,
they stressed that a degree of human intervention was required to ensure that the
data to be submitted was accurate. One said ‘It is precisely because of this need to
manually review for reasonableness that the submission timeframe (Sunday
evenings) proposal is unworkable’.
4.26 Firms also expressed concern about the CP08/22 proposals for same-day submission
deadlines under daily crisis reporting. One firm said that ‘We have significant concerns
on the current proposals on submission deadlines. It is unrealistic to expect firms to
prepare and submit data on a same day basis. The internal review process is critical and
dependent on getting good information from a variety of areas within the firms. T+1 or
T+2 are more realistic submission deadlines’. Another noted that ‘Organisations with
multiple trading platforms and front office systems and legacy infrastructure
frameworks across multiple locations may require significant development resource to
enhance reporting capabilities to satisfy the new requirements’.
4.27 Our cost benefit analysis (CBA) work, as discussed in Chapter 7, has confirmed
these concerns. We contacted 34 firms representing the full spectrum of firms within
the ILAS regime to ask about the compliance costs associated with same-day and
next-day reporting in crisis times. Many respondents reported significantly higher
one-off and ongoing costs for same-day than for next-day reporting.
4.28 We have therefore reconsidered our proposals on submission deadlines in line with
our requirements and objectives. Our new proposals are discussed below.
Business as usual
4.29 As outlined in the table above, under business as usual, firms will be asked to submit
weekly data items by end-of-day Monday (23.59GMT) for the previous week. This
applies to FSA047, FSA048 and FSA052. Firms that are part of the simplified regime
will have to submit their monthly EMR three business days after the end of the
month in question. The same will apply to monthly and quarterly data items, such
as FSA050, FSA051, FSA053 and FSA054, for ILAS firms that are subject to the full
regime as well as those who are subject to the simplified regime.

Crisis times
4.30 In crisis times, when firms will be expected to report FSA047, FSA048 and FSA049
daily, we are proposing submission deadlines at the end of the business day
immediately following the business day to which the data relate (i.e. 23.59GMT on
2 March for 1 March data). However, supervisors will still expect to receive, on
specific request, key data relevant to the firm-specific or market crisis in question at
the end of the day for that same day during crisis times. These data requests may
vary depending on the nature of the crisis and the business activities of the firm or
firms in question.
Q16: What are your views on our approach to crisis times

versus business-as-usual submission deadlines?
Legal entity basis for reporting

4.31 In CP08/22 we indicated that our full quantitative reporting requirements would
apply to ILAS firms on a solo basis, thereby mirroring the scope of the ILAS regime.
On a default basis, we propose that each individual ILAS firm will report separately
in each of the following bases (where applicable):
• solo basis;
• UK consolidation group, if a UK firm is a member of such a group5; and
• Defined Liquidity Group (DLG), if a UK firm is a member of such a group.
Reporting requirements on a UK consolidation group and DLG basis apply to UK

firms only.
4.32 In deciding whether a firm that is a member of a DLG or UK consolidation group

reports on the basis of the rules for standard or simplified ILAS firms (as outlined in
Chapter 5), the rules for standard ILAS firms apply unless there are no standard
ILAS within the scope of the group. Likewise, in deciding whether the rules for ILAS
or non-ILAS firms apply to a DLG or UK consolidation group, the rules for ILAS
firms apply unless there are no ILAS firms within the scope of the group.
Defined Liquidity Group

4.33 A DLG can be defined in one of the following ways:
• Where a firm has an intra-group liquidity modification, a DLG includes each

entity on whose liquidity support we permit the firm to rely for the purpose of
meeting the overall liquidity adequacy rule.
• Where a firm does not have an intra-group liquidity modification, a DLG

includes each entity which is a member of the firm’s group and (i) provides or is
committed to provide material support to the firm against liquidity risk; (ii) the
firm provides or is committed to provide material support to that entity against
5 A definition of UK consolidation group can be found in http://fsahandbook.info/FSA/html/handbook/Glossary/U

liquidity risk; or (iii) that entity has reasonable grounds to believe that the firm
would supply such support, and vice versa. However, there is no requirement for
securitisation special purpose entities and undertakings whose main purpose is
to raise funds for the firm/group to be a member of the firm’s group.
4.34 As part of our continuous supervisory relationship with firms we may also ask firms
to submit to us solo returns from non UK regulated entities, if they are relevant from
a liquidity risk management perspective.
4.35 The composition of a firm’s DLG will be agreed between the firm and its
supervisors, in cooperation with our technical specialists, to reflect accurately how
liquidity is managed across the firm and wider group. This individualised approach
to the legal entity basis for reporting has received strong support from respondents
to the pre-consultation, as well as from workshop participants.
4.36 One respondent said ‘There is no standard approach to the management of liquidity
by firms. Some may favour a centralised Group approach, while others may rely on a
decentralised management model. Materiality plays a key role in these decisions and it
is therefore important that the FSA engages with the individual firms to clearly
understand how liquidity is managed and the issues of materiality with which the
regulator needs to be concerned. A case-by-case approach will be required.’ Another
noted that ‘It is necessary to consider on a case-by-case basis as each firm will have
unique issues’. Yet another maintained that ‘We believe that there is no single answer
to effective legal entity reporting. Cross-border financial groups differ widely in terms
of their business model, some taking a centralised liquidity risk management approach
while others operate on a silo entity-by-entity approach. Thus, we think it is important
to maintain flexibility and consider each financial firm on a case-by-case basis’.
Q17: Do you agree with our individualised approach to the

legal entity basis for reporting?
Q18: What are your views on our proposals on the legal
entity basis for reporting?
Branches
4.37 For a branch, the default position is that it report on a solo branch basis. Waivers
and modifications can have the following effects:
• Where a branch has a whole-firm liquidity modification, it will be required to

report on a whole-firm basis. Variations relating to reporting frequency and
granularity may be considered as part of the process of granting the
modification.
• Where a branch has a whole-firm liquidity waiver, all elements of the proposed
regime, including reporting, are switched off. However, in granting the waiver
we intend to request whole-firm liquidity data at a frequency and in a format
acceptable to us.
Q19: What are your views on our proposals on

branch reporting?

5 Reporting for simpler
firms
5.1 This Chapter describes the proposed liquidity reporting requirements for simpler
ILAS firms that are eligible for and opt for our proposed standardised buffer ratio
regime, as outlined in BIPRU 12.6, on which we have been consulting in CP08/22.
Background
5.2 In recognition of the significant challenges our proposed ILAS liquidity regime could
pose for retail-focused firms with simpler business models, CP08/22 described a
standardised buffer ratio. The challenges include:
• A relatively heavier burden on firms with smaller senior management teams; and
• a significant resource requirement to implement such a regime for simpler firms

relative to their risk profiles and the risk they pose to our statutory objectives.
5.3 CP08/22 therefore proposed that ILAS firms that meet certain criteria be eligible for
a standardised buffer ratio regime. The proposed criteria are:
• the firm has no foreign currency exposures in assets or liabilities;
• wholesale funding is no more than 30% of total funding; and
• the majority of assets are mortgages secured on residential property.
5.4 As defined at present, the criteria for the standardised ILAS buffer will be satisfied
primarily by simpler building societies and mortgage banks. Ongoing dialogue
internally and externally, as part of the consultation process on CP08/22, will
assess the appropriateness of these criteria and their possible extension to a wider
range of firms.
5.5 Further information on the standardised buffer ratio and its design can be found in
Chapter 5 of CP08/22.

Reporting requirements
5.6 We had signalled in CP08/22 that firms which fall within the scope of the
standardised buffer ratio would also be subject to a reduced reporting frequency for
business-as-usual purposes. However, they would still be required to have the ability
to report daily in crisis times.
5.7 We propose the following departures from our standard reporting requirements for
firms which fall within the scope of the standardised buffer ratio:
• Under business-as-usual conditions they will need to submit FSA049 monthly

(rather than weekly), but will still have to report it daily in crisis times.
• They will be asked to submit FSA052 monthly rather than weekly, meaning
that once a month they will submit four reports, with a three-day submission
deadline.
• They will not have to complete FSA047, which is captures daily flows out to
three months and is submitted alongside FSA048 by standard ILAS firms.
Q20: What are your views on our proposed reporting frequency

for simpler firms? Is a monthly reporting frequency,
which switches to daily under the circumstances
described above, preferable and less costly to firms than
daily reporting as a matter of routine?
Q21: If you disagree, what would you propose to capture
the heterogeneous and fast-moving nature of liquidity
risk?
Q22: Do you agree with our proposals of not requiring
simpler firms to submit the daily flow data item
(FSA047)?
5.8 A summary of the data items that such firms should submit is in the table below:

DATA ITEM DESCRIPTION FREQUENCY SUBMISSION DEADLINES
FSA049: Similar to the standard EMR; Monthly during business- BAU: Three business days after
EMR-Simplified aims to capture the ILAS risk as-usual (BAU) times; month end;
drivers. Captures contractual Daily in firm-specific Crisis: End of the following
flows across the full maturity and/or market liquidity business day (23.59GMT) for the
spectrum; can also be used to crises. previous business day.
collect behavioural information
from firms on a standardised
basis. Firms will not have to
provide daily flows.
FSA050: Provides more granular Monthly Three business days after month
Marketable analysis of firms’ marketable end.
Assets asset holdings.
FSA051: Captures firms’ borrowings from Monthly Three business days after month
Funding unsecured wholesale funders end.
Concentration (excluding primary issuance),
by counterparty class to
identify concentrations on a
firm- and market-wide basis.
FSA052: Collects daily transaction Weekly Three business days after month
Pricing Data prices and transacted volumes end.6
for wholesale unsecured
liabilities by product, tenor
(where appropriate) and
currency; gives insight into
system-wide financial stability.
FSA053: Captures firms’ retail and Quarterly Three business days after quarter
Retail and corporate funding profiles end.
Corporate and the stickiness of various
Funding retail deposits; shows
changing retail funding
profiles.
FSA054: Provides an analysis of the Monthly Three business days after month
Currency foreign currency exposures on end.
Analysis firms’ balance sheets.
5.9 Respondents to the pre-consultation on liquidity reporting were broadly supportive

of our overall approach to simpler firms. One said that ‘Reduced reporting
frequency, i.e. monthly, for firms adopting the standardised buffer ratio is considered
to be appropriate. We would encourage the FSA to ensure that firms adopting the
standardised buffer ratio report after month end on a timely basis’. Another noted
that ‘As a small institution with a simple operating model a reduced reporting
frequency under normal circumstances would enable the FSA to maintain a risk-
focused approach to its liquidity monitoring’.
6 Firms on the simplified regime have monthly submission deadlines of this weekly data item, which means once a
month they will submit four reports.

5.10 One respondent, while agreeing with monthly reporting under business as usual,
suggested that the jump from monthly to daily reporting in crisis times was too
steep and potentially less useful to the FSA. As an alternative, the respondent
proposed that in times of stress we should require simpler [firms] to report certain
key figures daily, rather than the whole of FSA049, adding that ‘This would mean
[firms] would not be forced to expend resources compiling data from different
systems. We question whether full daily submission is a proportionate response; it
may even be counterproductive if it distracts senior management of a smaller firm
from prudently managing its cashflows.’
Q23: Do you agree that the proposed data items adequately

cover the liquidity risks of firms that fall within the
scope of our standardised buffer ratio?
Q24: If you disagree, which other data items would improve
our understanding of simpler firms’ liquidity risks,
without being overly onerous for such firms to
produce?
Q25: What are your views on our proposed submission
deadlines?

6 Waivers and modifications
6.1 This Chapter describes the waivers and modifications relating to our proposed
liquidity reporting requirements. This relates to our proposed regime on cross-border
and intra-group management of liquidity, as discussed in Chapter 7 of CP08/22.
Background
6.2 In Chapter 7 of CP08/22 we proposed a new framework for waivers and modifications
of our liquidity requirements for UK firms and branches of EEA and non-EEA firms.
Waivers and modifications can also be applied to our quantitative reporting
requirements where we are satisfied that the FSMA section 148 statutory tests have
been met. There are three types of waivers/modifications packages available under the
proposed liquidity regime:
• whole-firm liquidity waivers replace the current Global Liquidity Concession

(GLC) framework for UK branches of overseas banks and waive all of BIPRU 12;
• whole-firm liquidity modifications are relevant to branches and permit the branch
to rely on the availability of liquidity resources from elsewhere in the firm for the
purpose of meeting the overall liquidity adequacy rule; and
• intra-group liquidity modifications are relevant to firms that are part of a UK or

international group and permit them to rely on liquidity support from elsewhere
in the group for the purpose of meeting the overall liquidity adequacy rule.
6.3 The proposed conditions for granting a waiver or modification are outlined in
BIPRU 12.8, on which we have been consulting in CP08/22. They include matters
on which we will need to reach agreement with the home state regulator, where
appropriate, as well as matters we will need to resolve directly with the firm.

Impact of waivers/modifications on reporting
6.4 As explained in Chapter 4, for a branch, the default position is that it report on a
solo branch basis. Waivers and modifications can then have the following effects:
• Where a branch has a whole-firm liquidity modification, it will be required to

report on a whole-firm basis. Variations relating to reporting frequency and
granularity may be considered as part of the process of granting the modification.
• Where a branch has a whole-firm liquidity waiver, all elements of the proposed
regime, including reporting, are switched off. However, in granting the waiver
we intend to request whole-firm liquidity data at a frequency and in a format
acceptable to us.
6.5 Where a firm has an intra-group liquidity modification, this will affect the definition of
its DLG in that the DLG will then include each entity on whose liquidity support we
permit the firm to rely for the purpose of meeting the overall liquidity adequacy rule.
6.6 Generally, we can waive or modify our liquidity reporting requirements in three areas.
These are:
• legal entity basis of reporting (e.g. by waiving or modifying the solo reporting
requirements for firms that form part of a DLG);
• reporting frequency (e.g. by reducing the reporting frequency of some of the

data items); and
• reporting granularity (e.g. by not requiring certain data items to be submitted).
6.7 Reporting requirements could be waived or modified in any combination of these

three areas. This will be subject to discussions between firms and the FSA and will
be decided on a case-by-case basis.
6.8 As discussed in paragraphs 4.18-4.21 in Chapter 4 of this CP, we will also adopt a
firm-specific approach to the currency basis for reporting FSA047 and FSA048.
However, this will not be part of a formalised waiver/modification process but will
be agreed with the firm as part of the ILAS assessment.

waivers/modifications of our reporting requirements?
Q27: What are your views on our proposals relating
specifically to branches of EEA and non-EEA firms?

7 Cost benefit analysis
7.1 This Chapter describes the findings of the cost benefit analysis (CBA) we have
conducted to assess the impact of our proposed reporting regime.
Background
7.2 When proposing new rules, we are obliged (under section 155 of FSMA) to publish
a CBA, unless we consider that the proposals will give rise to no costs or to an
increase in costs of minimal significance. As a matter of policy, we also provide a
CBA for significant proposed guidance relating to rules.
7.3 The CBA is an estimate of the costs and an analysis of the benefits that will
arise from the proposals. It is a statement of the differences between the baseline
(broadly speaking, the current position) and the position that will arise if we
implement the proposals.
7.4 This CBA is informed by responses to our pre-consultation on our preliminary liquidity
reporting proposals in CP08/22 and a cost survey sent by email to 34 firms. These
include building societies, UK banks, branches of foreign banks, full scope BIPRU
investment firms and limited licence and limited activity BIPRU investment firms.
Proposed liquidity reporting requirements

7.5 We propose to replace current liquidity reporting requirements by more granular
reporting requirements, as set out in Chapters 4 (for standard reporting
requirements) and 5 (for simplified reporting requirements) of this CP.
7.6 On a default basis, we propose that each individual ILAS firm will report separately
on each of the following bases (where applicable):
• solo basis;
• UK consolidation group, if a UK firm is a member of such a group; and
• Defined Liquidity Group (DLG), if a UK firm is a member of such a group.

These requirements can be waived and modified, as discussed in Chapter 6.
7.7 For a branch, the default position is that it report on a solo branch basis. However,
where a branch obtains a whole-firm liquidity modification, it will be required to
report on a whole-firm basis. Branches may also be granted a whole-firm liquidity
waiver, which switches off all elements of the proposed liquidity regime. However, in
granting the waiver we will likely request liquidity data from the whole-firm at a
frequency and in a format acceptable to us.
Benefits
7.8 The proposed new liquidity reporting requirements would provide the Authorities
with significantly more granular, comprehensive and relevant data for assessing
liquidity at individual institutions and on a sector- and market-wide basis than
available at present. At a high level, benefits include:
• Supervision: FSA supervisors would use the data we propose to monitor

liquidity on a firm-specific, sector- and market-wide basis. The proposed data
items would enable supervisors and FSA technical specialists to conduct survival
period, cumulative gap and time series analyses, as well as to run internal stress
testing and ‘what if’ scenarios. It would also allow for peer and sector-wide
comparisons, thereby identifying potential outliers. These analytical tools would
make it more likely that liquidity risks will be identified early in the supervisory
process and ahead of crystallisation, when regulatory intervention may be
cheaper and more effective. The additional data could also improve the dialogue
between supervisors and firms by mitigating information asymmetries between
firms and supervisors about firms’ liquidity positions.
• Crisis management: The set of data items we are proposing has been based on
ad hoc data collected during the recent and ongoing liquidity crisis. The
proposed reporting requirements would give the Authorities access to vital
liquidity data during a crisis speedily and in a standardised format. It should
also reduce crisis-time reporting costs for firms in difficulty as they will have
geared up for crisis-time reporting during business-as-usual times.
• Financial stability: The granular and standardised nature of the liquidity data
items should assist the BoE when monitoring financial stability at a macro-
economic level and evaluating options for intervention.
Q28: What are your views on our assessment of the benefits

of the proposed liquidity reporting regime?
Costs
7.9 In this section we provide an analysis of the incremental costs to firms and to the
FSA arising from the new liquidity reporting requirements. Incremental costs will be
estimates of additional costs caused by the proposals in relation to a baseline
scenario set out before the requirements have been put in place.

Costs to firms
7.10 Firms would incur compliance costs as a result of the move from current liquidity
reporting requirements set out in the Handbook to the proposed new liquidity
reporting requirements. Notably, they would need to change their systems, as well as
hire additional staff to ensure compliance with the new requirements.
7.11 In order to assess the costs for different categories of firms we sent a survey
questionnaire to 34 firms. The limitations of a survey conducted in a very short
timeframe and based mainly on data collected from such a small sample should be
noted, and the results should be interpreted with care. When interpreting the results,
we rely on aggregate figures that, we believe, tend to be more reliable than more
specific cost estimates under the above conditions.
7.12 The following table describes the firm populations that would be affected by our
proposals and the number of firms we contacted in each category:
Table 1: Firms affected by our proposals

Type of firm Number of firms Number of firms contacted
Building societies 58 6
UK banks 157 7
Full-scope investment firms 244 7
Branches of foreign banks 202 8

Limited licence / limited 6
2139
activity firms
7.13 Six building societies provided compliance cost data in response to this survey. Their
responses are summarised in the table below.
Table 2: Building societies

Average one-off costs £48,897
Average ongoing costs (per annum) – business as usual £18,792
Average ongoing costs (per annum)7 – crisis time reporting £130,517
7 For consistency, we report annualised data in the table. However, we would not expect crisis time reporting to last
for an entire year.

7.14 Some smaller banks may be eligible for the same simplified reporting requirements
as building societies, with similar cost implications.
7.15 Five banks responded to our compliance cost survey. Their responses are summarised
in the table below.
Table 3: UK banks
Average one-off costs £3,267,000
Average ongoing costs (per annum)8 – crisis time reporting £1,180,000
7.16 Five full-scope investment firms provided responses to our compliance cost survey in
a format we could summarise in the table below9.
Table 4: Full-scope investment firms
Average one-off costs £7,353,900
Average ongoing costs (per annum) – business as usual £1,382,230
Average ongoing costs (per annum)10 – crisis time reporting £2,250,552
7.17 Six branches of foreign banks provided estimates of the compliance costs of liquidity
reporting at solo branch level. These are summarised in the table below:
Table 5: Branches
Average one-off costs (solo branch reporting) £542,158
Average ongoing costs (per annum)11 – crisis time reporting £166,003
8 For consistency, we report annualised data in the table.

9 One firm provided us with detailed and helpful liquidity reporting cost estimates but was unable to specify which
proportion was due to our proposed new regulatory requirements. We have therefore not included these estimates in
the table above. One firm provided different cost estimates for reporting at DLG level with and without an intra-
group liquidity modification respectively; we used an average.

7.18 We received only one quantitative response from a branch on the costs of reporting
on a whole-firm basis (with a whole-firm liquidity modification), which may not be
representative. We would therefore welcome further feedback from branches on the
compliance costs that our liquidity proposals may cause for them.
7.19 The 2,139 limited licence/limited activity investment firms in the UK would not be
subject to our proposed quantitative reporting requirements but would be required
to complete an annual Systems and Controls Questionnaire to help monitor their
compliance with our qualitative rules and guidance. The five limited licence/limited
activity investment firms that we contacted confirmed that this would impose only
negligible costs on them.
Q29: Are the cost figures described above a reasonable

broad estimate of your firm’s likely incremental
reporting costs resulting directly from our proposed
reporting regime? If not, please provide us with your
own cost estimates.
Waivers
7.20 Our compliance cost survey also included a question on the cost of completing and
submitting a complex waiver application, as might be required under the waivers
and modifications regime outlined in Chapter 7 of CP08/22. These waiver
applications would not focus solely on liquidity reporting requirements but are likely
to contain a section on them. These costs are therefore not purely reporting-related
but encompass aspects of the wider liquidity regime proposed in CP08/22. The
average cost reported by two branches of foreign banks was £35,000.
7.21 Two large internationally active full-scope investment firms provided cost estimates
averaging £765,200. These estimates reflect the complexity of the waiver
preparation process for these firms, which may, for example, have to pay fees for
external advice on some issues and carry out detailed readiness studies. One small
full-scope investment firm submitted an estimate of £4,000, consisting essentially of
staff costs. This low estimate reflects the simpler nature of the waiver it would
require. We expect to receive roughly 500 waiver applications in total.
Q30: Do the cost estimates as described above represent

your firm’s likely costs of submitting a complex waiver
application? Of not, could you please provide us with
your own cost estimates?
7.22 As mentioned above, all of our compliance cost estimates are subject to uncertainty
and should be interpreted with care. Our compliance cost survey included questions
that were probably difficult for some firms to answer ahead of the present
consultation. In addition, firms’ structures and systems differ widely, meaning that
information may have been lost in aggregating cost data across firms.
7.23 While we have made the conservative assumptions that the compliance costs
reported by firms are truly incremental and solely incurred due to our liquidity
reporting proposals (unless otherwise stated by firms), it is possible that part of

these costs would in fact have been incurred even in the absence of our new liquidity
reporting proposals, for example, for internal liquidity risk management purposes or
to meet the regulatory requirements imposed by the wider regime outlined in
CP08/22. We would therefore welcome any further information from firms about
the expected compliance costs of our liquidity reporting proposals.
Q31: Please provide us with any further information on the

expected incremental compliance cost of our liquidity
reporting proposals.
Costs to the FSA

7.24 To make best use of the new liquidity data provided, the FSA will need to make
significant investments. As discussed in CP08/22, we plan to develop new reporting
systems, including new data analysis systems, enhanced BI tools and a system of
automatic alerts. Current data collection and validation systems will also have to be
enhanced. We estimate that we will incur a cost of £7-9m to implement these changes12.
7.25 In CP08/22, we estimated the costs of the FSA staff required for supervision of the
proposed new liquidity regime to be £2.7m for the next three years13. We also
estimated costs of £1.5m for training FSA staff about their new liquidity-risk
monitoring role. FSA staff cost implications of the new liquidity reporting
requirements are covered within these overall estimates.
7.26 In addition, we will need to process waiver applications. As mentioned above, we

expect to receive roughly 500 waiver applications. Initially, we would spend perhaps
100 hours (costing ca. £5,375) on each complex waiver application, though these
figures will come down very quickly as we get more experienced. However, only a
fraction of these hours would be spent on dealing with sections in these waiver
applications relating to liquidity reporting.
12 These estimates are based on an internal review and are subject to a degree of uncertainty surrounding system
implementation.
13 In estimating the costs of these staff we have assumed that they can be recruited internally

8 Compatibility statement
with our objectives and
the principles of good
regulation
8.1 This Chapter describes our views on how the proposed liquidity reporting requirements
are compatible with our statutory objectives and principles of good regulation.
Compatibility with our statutory objectives
Market confidence
8.2 The importance of our objective to maintain market confidence has been made
clear as a result of the current economic climate. Our proposed reporting
requirements seek to reduce the probability and impact of market disruptions
arising from financial failure in an authorised firm or group of firms.
8.3 Our reporting requirements aim to improve dialogue between regulators and firms
about the liquidity risks they face and the level of liquidity they should hold to help
mitigate those risks. Current liquidity reporting requirements proved insufficient in
delivering the information supervisors require in periods of market crisis to monitor
firms’ liquidity positions, or to spot liquidity difficulties early on.
8.4 A key objective of the proposals outlined in CP08/22 is to ensure that the principles,
rules and processes for maintaining effective liquidity risk management are fully
embedded into the financial system. The proposed regulatory reporting requirements
are necessary as part of the new arrangements. The data collected will be used to
inform dialogue between supervisors and firms and will facilitate meaningful
comparison of firms’ actual liquidity profiles against those we consider appropriate.
8.5 The data collected will also inform discussions on the proportionality of the
requirements for particular firms, considering the economic climate. The market-
wide view of liquidity derived from the collected data would support this analysis;
timely, standardised, granular information on firms’ liquidity risks would improve
our flexibility in updating requirements to mitigate the risks posed. This benefit is
particularly important during crisis times.

8.6 Ultimately, the proposed liquidity regime, of which reporting is a fundamental
component, will have substantial long-term benefits to overall market confidence
by increasing the strength and resilience to liquidity stresses of the UK financial
services sector.
Consumer protection
8.7 The proposed liquidity regime seeks to align the liquidity provisions made by firms
more closely with the risk attributable to the business model. The reporting
requirements will provide the mechanism for assessing firms’ compliance against these
requirements. We expect that the significant enhancements made to the prudential
framework for these firms and to their ability to monitor their liquidity risk drivers
will make it less likely that they will fail. This will have a positive outcome for
consumer protection.
Compatibility with the need to have regard to the principles

of good regulation
Efficiency and economy – the need to use our resources in the most
efficient and economic way
8.8 Even though the initial costs of compliance with our proposed reporting requirements
will be considerable for firms as well as the FSA, they are outweighed by the long-
term benefits on both sides of monitoring liquidity risk exposures on an individual
firm and market-wide basis. Our significant systems enhancements to collect the data
we are proposing will allow us to supervise firms more effectively and efficiently in
the future and apply our resources in the most economic way (see Chapter 7).
Proportionality – the restrictions we impose on the industry must be

proportionate to the benefits that are expected to result from those
restrictions
8.9 There is a clear need for considerably greater focus on the prudential supervision of
firms’ liquidity risk. Our proposals are informed by a CBA and related compliance
cost survey (see Chapter 7). We have seen how idiosyncratic liquidity stresses,
market-wide liquidity stresses, and a combination of the two can lead to widespread,
protracted financial crises. Our proposed reporting requirements will help ensure
that we have the data needed to capture effectively firms’ liquidity risks, monitor
compliance with our regime and decide on the most appropriate regulatory response
to ensure the resilience of institutions.

International character – the international character of financial
services and markets and the desirability of maintaining the competitive
position of the UK
8.10 Our overall liquidity proposals in CP08/22 are based on the Basel Committee’s
Principles for sound liquidity risk management, published in June 2008. The
principles are a global standard for liquidity risk management – we envisage that
other jurisdictions will incorporate the principles to improve the resilience of firms
they supervise, at least in part. However, as we are the first to incorporate the
principles to such an extent, our requirements could have an initial adverse impact
on the competitive position of the UK. Firms will be required to be more
conservative in taking on liquidity risk, and accrue liquid assets buffers of a size and
composition that would provide adequate protection against future stresses. Our
reporting requirements will allow us to monitor firms’ compliance with these
requirements and will improve their capability to report on the required basis for
business-as-usual and crisis times.
8.11 The benefits of our reporting requirements are outlined in Chapter 7. We believe
that the potential initial reduction in the competitive position of the UK will be
more than offset by these benefits. Not only will the regime improve the strength
and resilience of UK institutions, but our proposed reporting requirements will
enable us to ensure that firms are adhering to our high standards for liquidity risk
management. We believe that this will significantly improve confidence in the UK
financial system, which will lead to considerable long-term benefits for our firms
and their customers.
Q32: Do you agree that the proposed reporting requirements

are compatible with our statutory objectives and
principles of good regulation?

Annex 1
Draft legal instrument
Annex 1
SUPERVISION MANUAL (INTEGRATED REGULATORY REPORTING OF
LIQUIDITY FOR BANKS, BUILDING SOCIETIES AND
INVESTMENT FIRMS) INSTRUMENT 2009
Powers exercised
A. The Financial Services Authority makes this instrument in the exercise of the
following powers and related provisions in the Financial Services and Markets Act
2000 (“the Act”):
(1) section 138 (General rule-making power);

(2) section 156 (General supplementary powers); and
(3) section 157(1) (Guidance).
B. The rule-making powers listed above are specified for the purpose of section 153(2)
(Rule-making instruments) of the Act.
Commencement
C. This instrument comes into force on 1 February 2010.
Amendments to the Handbook
D. The Glossary of definitions is amended in accordance with Annex A to this

instrument.
E. The Supervision manual (SUP) is amended in accordance with Annex B to this

instrument.
Citation
F. This instrument may be cited as the Supervision Manual (Integrated Regulatory

Reporting of Liquidity for Banks, Building Societies and Investment Firms)
Instrument 2009.
By order of the Board

XXX 2009
Annex A
Amendments to the Glossary of definitions
Insert the following new definitions in the appropriate alphabetical position. The text is all
new and is not underlined.
credit rating (in SUP 16 (Reporting requirements)) each of Thresholds 1 to 4 set out as
downgrade follows:
threshold
Fitch Moody’s Standard &

Poor’s
Threshold 1 AA- Aa3 AA-
or or or
F1 P-1 A-1
Threshold 2 A- A3 A-
or or or
F2 P-2 A-2
Threshold 3 BBB- Baa3 BBB-
or or or
F3 P-3 A-3
Threshold 4 below BBB- below Baa3 below BBB-
or or or
below F3 below P-3 below A-3
defined (in relation to a UK firm that is an ILAS BIPRU firm and any reporting
liquidity period under SUP 16 (Reporting requirements)) the firm and each person
group identified in accordance with the following:
(1) (in a case in which the firm has an intra-group liquidity modification
during any part of that period) it is a person on whose liquidity
support the firm can rely, under that intra-group liquidity
modification, for any part of that period for the purpose of the
overall liquidity adequacy rule; or
(2) (in a case in which (1) does not apply and the firm is the only ILAS
BIPRU firm in its group) that person meets any of the following
conditions for any part of that period:
(a) that person provides material support to the firm against

liquidity risk; or
(b) that person is committed to provide such support or would be

committed to do so if that person were able to provide it; or
(c) the firm has reasonable grounds to believe that that person
would supply such support if asked or that that person would
do so if it were able to provide it; or
(d) the firm provides material support to that person against

liquidity risk; or
(e) the firm is committed to provide such support to that person

or would be committed to do so if the firm were able to
provide it; or
(f) the firm has reasonable grounds to believe that that person
would expect the firm to supply such support if asked or that
the firm would do so if it were able to provide it; or
(3) (in a case in which (1) does not apply and the firm is not the only
ILAS BIPRU firm in its group):
(a) each of those other ILAS BIPRU firms; and
(b) each person identified by applying the tests in (2) separately

to the firm and to each of those other ILAS BIPRU firms, so
that applying (3) to each of those ILAS BIPRU firms results
in their having the same defined liquidity group.
The following provisions also apply for the purpose of the definition of
defined liquidity group.
(4) A person does not fall within (2) unless it also satisfies one of the
following conditions:
(a) it is a member of the firm’s group; or
(b) it is a securitisation special purpose entity or a special

purpose vehicle; or
(b) it is an undertaking whose main purpose is to raise funds for
the firm or for a group to which that firm belongs.
(5) Group has the meaning in paragraph (1) of the definition in the
Glossary (the definition in section 421 of the Act).
(6) The conditions in (2) are satisfied even if the firm or person in
question provides or is committed or expected to provide support for
only part of the period.
(7) In deciding for the purpose of (2) or (3) whether the firm is the only
ILAS BIPRU firm in its group and identifying which are the other
ILAS BIPRU firms in its group, any group member in which the
group holds no more than a participation is ignored.
(8) A firm may have a defined liquidity group under (1) for part of the
period and one under (2) or (3) for some or all of the rest of the
period.
(9) A firm has a defined liquidity group for a period even if it only has
one during part of that period.
(10) Liquidity support may be supplied by or to the firm directly or

indirectly.
(11) Support is material if it is material either by reference to the person

giving it or by reference to the person receiving it.
firm-specific (in relation to a firm and any reporting obligations under SUP 16 (Reporting
liquidity crisis requirements)):
(1) (in the case of reporting obligations on a solo basis (including on the
basis of the firm’s UK branch) the firm failing to meet or breaching:
(a) the liquidity resources requirement calculated by that firm as

adequate in its current ILAA; or
(b) any current individual liquidity guidance that the firm has
accepted; or
(c) the overall liquidity adequacy rule; or
(d) BIPRU 12.2.8R (ILAS BIPRU firm adequate buffer of high

quality, unencumbered assets); or
(e) any requirement imposed by or under the regulatory system

under which the firm must hold a specified level of liquidity
resources;
(2) (in the case of reporting obligations with respect to the firm and a
group of other persons) has the same meaning as in (1) except that
references to any rule or other requirement, ILAA or individual
liquidity guidance are to any such thing so far as it applies to the firm
and that group considered together.
market (in relation to a firm and any reporting obligations under SUP 16 (Reporting
liquidity crisis requirements)):
(1) (in the case of reporting obligations on a solo basis) any market that
is of material significance to the firm being materially adversely
affected by crystallised liquidity risk or a substantial number of
participants in any such market being materially adversely affected
by crystallised liquidity risk, whether or not the firm itself is so
affected;
(2) (in the case of reporting obligations with respect to the firm and a
group of other persons) has the same meaning as in (1) except that
references to the firm are to the firm and that group considered
together;
(3) (in the case of reporting obligations with respect to a firm’s UK

branch) has the same meaning as in (1) except that references to the
firm are to that branch.
material (in SUP 16 (Reporting requirements) and in relation to a data item to be

currency completed by a firm in relation to a reporting period) a currency, other than
sterling, that is material in the context of the business and matters covered
by that data item for that period in relation to:
(1) the firm (when the data item is being completed with respect to the
firm); or
(2) the firm’s UK branch (when the data item is being completed with
respect to the firm’s UK branch); or
(3) the firm’s UK consolidation group (when the data item is being
completed with respect to the firm’s UK consolidation group); or
(4) the firm’s defined liquidity group (when the data item is being
completed with respect to the firm’s defined liquidity group).
simplified an ILAS BIPRU firm that, in accordance with the procedures in BIPRU 12
ILAS BIPRU (Liquidity), is using the simplified ILAS.
firm
standard ILAS an ILAS BIPRU firm that is not a simplified ILAS BIPRU firm.
BIPRU firm
Zone 1 (a) any EEA State; and

country
(b) the United States of America, Canada, Japan and Switzerland.
Annex B
Amendments to the Supervision Manual
In this Annex underlining indicates new text and striking through indicates deleted text.
SUP 16 Reporting requirements
SUP Application
16.1
16.1.3 R Application of different sections of SUP 16
(1) (2) Categories of firm to which section (3) Applicable

Section(s) applies rules and
guidance
SUP 16.1, All categories of firm except:

SUP 16.2
and SUP
16.3
(a) …
(b) an incoming EEA firm or incoming

Treaty firm, which is not:
(i) a firm of a type to which

SUP 16.6, or SUP 16.7 or
SUP 16.12 applies; or
(ii) …
SUP General provisions on reporting

16.3
16.3.26 G Examples of reports covering a group are:
…
(5) consolidated reporting statements required from securities and
futures firms under SUP 16.7.24 R.;
(6) reporting in relation to defined liquidity groups under SUP 16.12.
SUP Integrated Regulatory Reporting

16.12
16.12.3 G The following is designed to assist firms to understand how the reporting
A requirements set out in this chapter operate when the circumstances set out
in SUP 16.12.3 R (1)(a)(ii) apply.
(1) Example 1
A UK bank BIPRU 730K firm that undertakes activities in both RAG 1 3 and
RAG 7
Overlaying the requirements of RAG 1 3 (data items) with the requirements

of RAG 7 shows the following:
RAG 1 3 (SUP 16.12.611R) data RAG 7 (SUP 16.12.22AR) data

items items
UK integrated group large exposures …
Liquidity (other than stock)
Liquidity – stock
Forecast data
Solo consolidation data Solo consolidation data
Pillar 2 questionnaire Pillar 2 questionnaire
Interest rate gap report
Non-EEA sub-group Non-EEA sub-group
Professional indemnity insurance
Threshold Conditions
Training and Competence

COB data
Supplementary product sales data
Client money and client assets Client money and client assets
Fees and levies
CFTC
IRB portfolio risk IRB portfolio risk
Securitisation Securitisation
Daily Flows (if it is a standard ILAS

BIPRU firm)
Enhanced Mismatch Report –

Standard (if it is a standard ILAS
BIPRU firm)

Simplified (if it is a simplified ILAS
BIPRU firm)
Marketable Assets (if it is an ILAS

BIPRU firm)
Funding Concentration (if it is an

ILAS BIPRU firm)
Pricing data (if it is an ILAS BIPRU

firm)
Retail and corporate funding (if it is

an ILAS BIPRU firm)
Currency Analysis (if it is a ILAS

BIPRU firm)
Systems and Controls Questionnaire

(if it is a non-ILAS BIPRU firm)
From this, the additional reports that are required are:
(a) Pillar 2 questionnaire (FSA019), but the note that applies to the data
item for RAG 7 firms (note 8) makes clear this only applies to
BIPRU investment firms (so it should not be completed by a RAG 1
firm); [Deleted]
(b) Professional indemnity insurance, where RAG 7 firms complete
Section E of the RMAR, and therefore a RAG 1 3 firm should
complete that;
(c) …
(d) Training and competence data, where RAG 1 3 firms should also
complete Section G of RMAR;
(e) Conduct of business data, where RAG 1 3 firms should complete

Section H of RMAR;
(2) Example 2
A non-EEA UK bank in RAG 1 that also carries on activities in RAG 5
Again, overlaying the RAG 1 reporting requirements with the requirements

for a RAG 5 firm gives the following :
RAG 1 requirements (SUP RAG 5 requirements (SUP

16.12.5R) 16.12.18AR)
UK integrated group large exposures …
Liquidity (other than stock)
Liquidity – stock
Forecast data
Solo consolidation data
Interest rate gap report
ELMI questions
Non-EEA sub-group
Sectoral information, including

arrears and impairment
Maturity analysis of assets and
deposits
IRB portfolio risk
Securitisation
Daily Flows (if it is a standard ILAS

BIPRU firm)

Standard (if it is a standard ILAS
BIPRU firm)

Simplified (if it is a simplified ILAS
firm)
Marketable Assets (if it is an ILAS

BIPRU firm)
Funding Concentration (if it is an

ILAS BIPRU firm)
Pricing data (if it is an ILAS BIPRU

firm)
Retail and corporate funding (if it is

an ILAS BIPRU firm)
Currency Analysis (if it is an ILAS

BIPRU firm)
Lending - Business flow and rates
The fact that the non-EEA bank has no specific data item to complete in
respect of the balance sheet and capital adequacy in RAG 1 means that the
notional requirement to provide such reports is satisfied by a non-submission.
For example, in the case of the balance sheet for a non-EEA bank, this data is
not requested as it duplicates data provided to the Bank of England, which is
also available to the FSA.
Applicable data items Regulated Activity Group 1

16.12.5 R The applicable data items and forms or reports referred to in SUP 16.12.4 R
are set out according to firm type in the table below:
Description Prudential category of firm and applicable data items (Note 1)

of data item
UK bank Building Non- EEA EEA Electron Credit
society EEA bank bank ic union
bank that has that does money
permissi not have institutio
on to permissi ns
accept on to
deposits, accept
other deposits,
than one other
with than one
permissi with
on for permissi
cross on for
border cross
services border
only services
only
Liquidity FSA010 FSA011 FSA010 FSA010 FSA012 FSA025 CQ; CY

(other than (note 3)
stock)
Liquidity - FSA013
stock (note 3)
Securitisati …
on
Daily FSA047 FSA047 FSA047 FSA047 FSA047

Flows (Note (Note (Notes (Notes (Notes
15) 15) 15 and 15 and 15 and
18) 18) 18)
Enhanced FSA048 FSA048 FSA048 FSA048 FSA048

Mismatch (Note (Note (Notes (Notes (Notes
Report – 15) 15) 15 and 15 and 15 and
Standard 18) 18) 18)
Enhanced FSA049 FSA049 FSA049 FSA049 FSA049
Mismatch (Note (Note 7 (Notes 7 (Notes 7 (Notes
Report – 16) 16) 16 and 16 and 16 and
Simplified 18) 18) 18)
Marketable FSA050 FSA050 FSA050 FSA050 FSA050

Assets (Note (Note (Notes (Notes (Notes
17) 17) 17 and 17 and 17 and
18) 18) 18)
Funding FSA051 FSA051 FSA051 FSA051 FSA051

Concentrati (Note (Note (Notes (Notes (Notes
on 17) 17) 17 and 17 and 17 and
18) 18) 18)
Pricing data FSA052 FSA052 FSA052 FSA052 FSA052

(Note (Note (Notes (Notes (Notes
17) 17) 17 and 17 and 17 and
18) 18) 18)
Retail and FSA053 FSA053 FSA053 FSA053 FSA053

corporate (Note (Note (Notes (Notes (Notes
funding 17) 17) 17 and 17 and 17 and
18) 18) 18)
Currency FSA054 FSA054 FSA054 FSA054 FSA054

Analysis (Note (Note (Notes (Notes (Notes
17) 17) 17 and 17 and 17 and
18) 18) 18)
Note 3 A UK bank is not required to submit both FSA010 and FSA013. A UK bank
which monitors its liquidity according to the maturity mismatch approach as
set out in IPRU(BANK) LM must submit FSA010. A UK bank which
monitors its liquidity according to the sterling stock liquidity approach as set
out in IPRU(BANK) LS must submit FSA013. FSA013 will generally be
provided on a consolidated basis and members of the consolidated group
will not be required to report individually. [Deleted]
Note 14 …
Note 15 A firm must complete this item separately on each of the following bases (if
applicable).
(1) If it is a standard ILAS BIPRU firm, it must complete it on a solo
basis. Therefore even if it has a solo consolidation waiver it
must complete the item on an unconsolidated basis by reference
to the firm alone (or its UK branch if Note 18 applies and
requires this).
(2) If it is a UK firm that is a member of a UK consolidation group

that meets the conditions in this note, it must complete the item
on the basis of that group.
(3) If it is a UK firm that is a member of a defined liquidity group

A group meets the conditions in this note if the firm or any other member is
a standard ILAS BIPRU firm. A UK consolidation group does not meet the
conditions in this note if:
(4) the only standard ILAS BIPRU firm in it is one in which the
group holds no more than a participation; or
(5) the interest of the UK consolidation group in the firm to which

the reporting obligation applies is no more than a participation.
applicable).
(1) If it is a simplified ILAS BIPRU firm, it must complete it on a

solo basis. Therefore even if it has a solo consolidation waiver it
must complete the item on an unconsolidated basis by reference
to the firm alone (or its UK branch if Note 18 applies and
requires this).


A group meets the conditions in this note if:
(4) the firm or any other member is a simplified ILAS BIPRU firm;
and
(5) no member of that group is a standard ILAS BIPRU firm.
For the purpose of deciding whether a UK consolidation group meets the

conditions in this note:
(6) any group member in which the group holds no more than a
participation is ignored for the purpose of (4) and (5); and
(7) if the interest of the UK consolidation group in the firm to which

the reporting obligation applies is no more than a participation
that UK consolidation group does not meet those conditions.
applicable).
(1) If it is an ILAS BIPRU firm, it must complete it on a solo basis.

Therefore even if it has a solo consolidation waiver it must
complete the item on an unconsolidated basis by reference to the
firm alone (or its UK branch if Note 18 applies and requires this).


an ILAS BIPRU firm. A UK consolidation group does not meet the
(4) the only ILAS BIPRU firm in it is one in which the group holds
no more than a participation; or
(5) the interest of the UK consolidation group in the firm to which

the reporting obligation applies is no more than a participation.
Note 18 (1) If the firm has a whole-firm liquidity modification it must

complete this item on the basis of the whole firm and not just its
UK branch.
(2) If the firm has a whole-firm liquidity waiver it does not have to
complete this item.
(3) Otherwise the firm must complete this item by reference to the
activities of its branch operation in the United Kingdom in
accordance with SUP 16.12.3R(1)(a)(iv).
(4) However (1) and (2) only apply if the whole-firm liquidity
modification or whole-firm liquidity waiver is in full effect.
Therefore if it is subject to conditions and the firm does not meet
those conditions, (3) applies.
16.12.6 R The applicable reporting frequencies for submission of data items and
periods referred to in SUP 16.12.5R are set out in the table below according
to firm type. Reporting frequencies are calculated from a firm's accounting
reference date, unless indicated otherwise.
Unconsolidated Solo Report on a Other

UK banks and consolidated UK members of
building UK banks consolidation RAG 1
societies and building group or, as
societies applicable,
defined
liquidity
group basis
by UK banks
and building
societies
FSA010 Quarterly Quarterly
FSA012 Half yearly
FSA013 Quarterly Quarterly

(note 4)
FSA046 …
FSA047 Weekly (Notes Weekly Weekly Weekly

4 and 5) (Notes 4, 5 (Notes 4 and (Notes 4 and
and 6) 5) 5)
FSA048 Weekly (Notes Weekly Weekly Weekly

and 6) 5) 5)
FSA049 Monthly Monthly Monthly Monthly

(Notes 4 and 5) (Notes 4, 5 (Notes 4 and (Notes 4 and
and 6) 5) 5)
FSA050 Monthly (Note Monthly Monthly Monthly

4) (Notes 4 and (Note 4) (Note 4)
6)
6)
FSA052 Weekly or Weekly or Weekly or Weekly or

monthly (Notes monthly monthly monthly
and 7) 7) 7)
FSA053 Quarterly Quarterly Quarterly Quarterly

(Note 4) (Notes 4 and (Note 4) (Note 4)
6)

6)
Note 1 …
Note 4 The firms covered by the consolidation for FSA013 may

differ from those companies in the UK consolidation group.
Reporting frequencies and reporting periods are calculated on
a calendar year basis and not from a firm's accounting
reference date. In particular:
(1) A week means the period beginning on Monday

and ending on Sunday.
(2) A month begins on the first day of the calendar

month and ends on the last day of that month.
(3) Quarters end on 31 March, 30 June, 30 September

and 31 December.
All periods are calculated by reference to Greenwich Mean

Time.
Note 5 This item is to be reported on every business day if there is a

firm-specific liquidity crisis or market liquidity crisis in
relation to the firm, branch or group in question. A firm must
ensure that it is able at all times to meet the requirements for
daily reporting of this item even if there is no firm-specific
liquidity crisis or market liquidity crisis and none is expected.
Note 6 As specified in SUP 16.12.5R, solo consolidation has no

application to liquidity reporting. Therefore it does not make
any difference to the reporting of this item whether or not the
firm is solo consolidated.
Note 7 If the report is on a solo basis (including by reference to the
firm’s UK branch) the reporting frequency is:
(1) weekly if the firm is a standard ILAS BIPRU firm;

and
(2) in accordance with (5) and (6) if it is a simplified ILAS

BIPRU firm.
If the report is by reference to the firm’s UK consolidation

group or defined liquidity group the reporting frequency is:
(3) weekly if the group meets the conditions in Note 15

of the table in SUP 16.12.5R (the firm or any other
member is a standard ILAS BIPRU firm etc); and
(4) in accordance with (5) and (6) if the group meets the
conditions in Note 16 of the table in SUP 16.12.5R
(the firm or any other member is a simplified ILAS
BIPRU firm and none are standard ILAS BIPRU firms
etc).
In the case of simplified ILAS BIPRU firm reporting

requirements:
(5) the period by reference to which the data item is

drawn up is each week; but
(6) the reporting frequency is approximately monthly, as

described more fully in note 5 to the table in SUP
16.12.7R.
16.12.7 R The applicable due dates for submission referred to in SUP 16.12.4R are set
out in the table below. The due dates are the last day of the periods given in
the table below following the relevant reporting frequency period set out in
SUP 16.12.6R, unless indicated otherwise.
Data Daily Weekly Monthly Quarterly Half Annual

item submissi submissi yearly submissi
on on submissi on
on
FSA010 15
business
days
…
FSA012 30
business
days
FSA013 15
business
days
FSA046 …
FSA047 23.59 23.59

hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA048 23.59 23.59

hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA049 23.59 3
hours business
(Greenwi days
ch Mean
Time) on
the
business
day
immediat
ely
followin
g the one
to which
the item
relates
FSA050 3
business
days
FSA051 3
business
days
FSA052 23.59 3
hours business
(Greenwi days
ch Mean (Note 5)
Time) on
the
business
day
immediat
ely
followin
g the end
of the
week in
question
FSA053 3
business
days
FSA054 3
business
days
Note 1 …
Note 5 The submission deadline begins from the end of each successive
four week period, the first of which begins on 1 February 2010.
The submission deadline for each such period covers each data item
of this kind relating to that period. Therefore, as each data item of
this kind covers a period of a week, a firm must, within the specified
period beginning from the end of the four week period, deliver four
reports, each relating to a week within that four week period.
Regulated Activity Group 3
16.12.10 R (1) SUP 16.12.11R to SUP 16.12.13R do not apply to:
(a) a lead regulated firm (except in relation to data items 47 to

55 (inclusive));
16.12.11 R The applicable data items referred to in SUP 16.12.4R are set out according
to firm type in the table below:
Descripti Firms prudential category and applicable data items (note 1)

on of data
item BIPRU firms (note 17) Firms other than BIPRU firms
730K 125K 50K IPRU(I IPRU(I IPRU(I IPRU(I UPRU

and NV) NV) NV) NV)
UCITS Chapte Chapte Chapte Chapte
investm r3 r5 r9 r 13
ent
firms
Securitisa …
tion
Daily FSA047 (Note 24)

Flows
Enhanced FSA048 (Note 24)

Mismatch
Report –
Standard
Mismatch
Report –
Simplifie
d
Marketabl FSA050 (Note 26)

e Assets
Funding FSA051 (Note 26)

Concentra
tion
Pricing FSA052 (Note 26)

data
Retail and FSA053 (Note 26)

corporate
funding
Currency FSA054 (Note 26)

Analysis
Systems FSA055 (Note 27)

and
Controls
Questionn
aire
Note 23 …
applicable).

basis. Therefore even if it has a solo consolidation waiver it must
firm alone.
(2) If it is a member of a UK consolidation group that meets the

conditions in this note, it must complete the item on the basis of
that group.
(3) If it is a member of a defined liquidity group that meets the

that group.
A group meets the conditions in this note if the firm or any other member is a
standard ILAS BIPRU firm. A UK consolidation group does not meet the
(4) the only standard ILAS BIPRU firm in it is one in which the group
holds no more than a participation; or
(5) the interest of the UK consolidation group in the firm to which the
reporting obligation applies is no more than a participation.
applicable).
(1) If it is a simplified ILAS BIPRU firm, it must complete it on a solo

firm alone.

that group.

that group.
(4) the firm or any other member is a simplified ILAS BIPRU firm; and


the reporting obligation applies is no more than a participation that
UK consolidation group does not meet those conditions.
applicable).

firm alone.
that group.

that group.
(4) the only ILAS BIPRU firm in it is one in which the group holds no
more than a participation; or
applicable).
(1) If it is a non-ILAS BIPRU firm, it must complete it on a solo basis.

firm alone.

that group.

that group.
(4) the firm or any other member is a non-ILAS BIPRU firm; and
(5) no member of that group is an ILAS BIPRU firm.


16.12.11 G The columns in the table in SUP 16.12.11R that deal with BIPRU 50K firms
A and BIPRU 125K firms cover some liquidity items that only have to be
reported by an ILAS BIPRU firm. In fact a BIPRU 50K firm and a BIPRU
125K firm cannot be an ILAS BIPRU firm. One reason for drafting the table
in this way is that the classification of firms into ILAS BIPRU firms and non-
ILAS BIPRU firms is not based on the classification into BIPRU 50K firms,
BIPRU 125K firms and BIPRU 730K firms and the drafting of the table
emphasises that. Also, the table covers consolidated reports and the
conditions about what sort of group has to supply what type of liquidity
report do not always depend on how the individual firm is classified.
16.12.12 R The applicable reporting frequencies for data items referred to in SUP
16.12.4R are set out in the table below according to firm type. Reporting
frequencies are calculated from a firm’s accounting reference date, unless
indicated otherwise.
Data item BIPRU BIPRU BIPRU Consolidated Firm other

730K firm 125K firm 50K firm BIPRU than
and UCITS investment BIPRU
investment firm (Note 7) firms
firm
FSA046 …
FSA047 Weekly (Notes 4 and 5) Weekly

(Notes 4 and
5)

(Notes 4 and
5)
FSA049 Monthly (Notes 4 and 5) Monthly

(Notes 4 and
5)
FSA050 Monthly (Note 4) Monthly

(Note 4)

(Note 4)
FSA052 Weekly or monthly (Notes 4 and 6) Weekly or
monthly
(Notes 4 and
6)
FSA053 Quarterly (Note 4) Quarterly

(Note 4)

(Note 4)
FSA055 Annually (Note 4) Annually

(Note 4)
Note 1 …
Note 4 Reporting frequencies and reporting periods are calculated on a

calendar year basis and not from a firm's accounting reference
date. In particular:
(1) A week means the period beginning on Monday and

ending on Sunday.
(2) A month begins on the first day of the calendar month

and ends on the last day of that month.
(3) Quarters end on 31 March, 30 June, 30 September and

31 December.
(4) A year begins on 1 January and ends on 31 December.
All periods are calculated by reference to Greenwich Mean Time.
Note 5 This item is to be reported on every business day if there is a firm-

specific liquidity crisis or market liquidity crisis in relation to the
firm or group in question. A firm must ensure that it is able at all
times to meet the requirements for daily reporting of this item even
if there is no firm-specific liquidity crisis or market liquidity crisis
and none is expected.
Note 6 If the report is on a solo basis the reporting frequency is:
(1) weekly if the firm is a standard ILAS BIPRU firm; and
(2) monthly if it is a simplified ILAS BIPRU firm.
If the report is by reference to the firm’s UK consolidation group

or defined liquidity group the reporting frequency is:
(3) weekly if the group meets the conditions in Note 24 of
the table in SUP 16.12.11R (the firm or any other
(4) monthly if the group meets the conditions in Note 25 of

member is a simplified ILAS BIPRU firm and none are
standard ILAS BIPRU firms etc).
In the case of simplified ILAS BIPRU firm reporting requirements:
(5) the period by reference to which the data item is drawn

up is each week; but

16.12.13R.
Note 7 This column includes reporting by reference to a defined liquidity

group where applicable.

on on submissi on
on
FSA046 …
FSA047 23.59 23.59
hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA048 23.59 23.59

hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA049 23.59 3
hours business
(Greenwi days
ch Mean
Time) on
the
business
day
immediat
ely
followin
g the one
to which
the item
relates
FSA050 3
business
days
FSA051 3
business
days
FSA052 23.59 3
hours business
(Greenwi days
ch Mean (Note 3)
Time) on
the
business
day
immediat
ely
followin
g the end
of the
week in
question
FSA053 3
business
days
FSA054 3
business
days
FSA055 5
business
days
Note 1 …
16.12.14 R (1) SUP 16.12.15R to SUP 16.12.17R do not apply to:

55 (inclusive));
to firm type in the table below:

on of data
item BIPRU firms Firms other than BIPRU firms

and NV) NV) NV) NV)
ent
firms
Securitisa …
tion

Flows

Mismatch
Report –
Standard

Mismatch
Report –
Simplifie
d

e Assets

Concentra
tion
data

corporate
funding

Analysis

and
Controls
Questionn
aire
Note 19 …
applicable).

firm alone.

that group.

that group.
applicable).
firm alone.

that group.

that group.


applicable).

firm alone

that group.

that group.
applicable).

firm alone.

that group.

that group.


16.12.15 G The columns in the table in SUP 16.12.15R that deal with BIPRU 50K firms
A and BIPRU 125K firms cover some liquidity items that only have to be
16.12.15R are set out in the table below according to firm type. Reporting
frequencies are calculated from a firm's accounting reference date, unless
indicated otherwise.
Data item Firm's prudential category
BIPRU BIPRU BIPRU Consolidated Firm other

and UCITS investment BIPRU
investment firm (Note 7) firms
firm
FSA046 …

(Notes 4 and
5)

(Notes 4 and
5)

(Notes 4 and
5)

(Note 4)

(Note 4)

monthly
(Notes 4 and
6)

(Note 4)

(Note 4)

(Note 4)
…
Note 1 …


ending on Sunday.


31 December.

firm or group in question. A firm must ensure that it is able at all
times to meet the requirements for daily reporting of this item even
if there is no firm-specific liquidity crisis or market liquidity crisis
and none is expected.




16.12.17R.

SUP 16.12.16 R, unless indicated otherwise.

on on submissi on
on
FSA046 …
FSA047 23.59 23.59

hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA048 23.59 23.59
hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA049 23.59 3
hours business
(Greenwi days
ch Mean
Time) on
the
business
day
immediat
ely
followin
g the one
to which
the item
relates
FSA050 3
business
days
FSA051 3
business
days
FSA052 23.59 3
hours business
(Greenwi days
ch Mean (Note 4)
Time) on
the
business
day
immediat
ely
followin
g the end
of the
week in
question
FSA053 3
business
days
FSA054 3
business
days
FSA055 5
business
days
Note 1 …
16.12.22 R (1) SUP 16.12.22AR to SUP 16.12.24R do not apply to:

55 (inclusive));
16.12.22 R The applicable data items referred to in SU 16.12.4R are set out according to
A type of firm in the table below:
Description Firm prudential category and applicable data item (note 1)

of Data item
BIPRU BIPRU BIPRU IPRU(INV) IPRU(INV)
730K 125K firm 50K firm Chapter 13 Chapter 13
firm and UCITS firms firms not
investment carrying carrying
firm out out
European- European-
wide wide
activities activities
under under
MiFID MiFID
Securitisation …
Daily Flows FSA047 (Note 15)

Mismatch
Report –
Standard

Mismatch
Report –
Simplified
Marketable FSA050 (Note 17)

Assets

Concentration
Pricing data FSA052 (Note 17)

corporate
funding
Analysis
Systems and FSA055 (Note 18)

Controls
Questionnaire
Note 14 …
Note 15 A firm must complete this item separately on each of the

following bases (if applicable).
(1) If it is a standard ILAS BIPRU firm, it must complete it

on a solo basis. Therefore even if it has a solo
consolidation waiver it must complete the item on an
unconsolidated basis by reference to the firm alone.
(2) If it is a member of a UK consolidation group that

meets the conditions in this note, it must complete the
item on the basis of that group.
(3) If it is a member of a defined liquidity group that meets

the conditions in this note, it must complete the item on
the basis of that group.
A group meets the conditions in this note if the firm or any

other member is a standard ILAS BIPRU firm. A UK
consolidation group does not meet the conditions in this note
if:
(4) the only standard ILAS BIPRU firm in it is one in

which the group holds no more than a participation; or
(5) the interest of the UK consolidation group in the firm to

which the reporting obligation applies is no more than a
participation.

(1) If it is a simplified ILAS BIPRU firm, it must complete

it on a solo basis. Therefore even if it has a solo
consolidation waiver it must complete the item on an
unconsolidated basis by reference to the firm alone.

(4) the firm or any other member is a simplified ILAS

BIPRU firm; and
(5) no member of that group is a standard ILAS BIPRU

firm.
For the purpose of deciding whether a UK consolidation group

meets the conditions in this note:
(6) any group member in which the group holds no more

than a participation is ignored for the purpose of (4)
and (5); and
(7) if the interest of the UK consolidation group in the firm

to which the reporting obligation applies is no more
than a participation that UK consolidation group does
not meet those conditions.

(1) If it is an ILAS BIPRU firm, it must complete it on a

solo basis. Therefore even if it has a solo consolidation
waiver it must complete the item on an unconsolidated
basis by reference to the firm alone.


A group meets the conditions in this note if the firm or any

other member is an ILAS BIPRU firm. A UK consolidation
group does not meet the conditions in this note if:
(4) the only ILAS BIPRU firm in it is one in which the

group holds no more than a participation; or
(5) the interest of the UK consolidation group in the firm to

which the reporting obligation applies is no more than a
participation.
(1) If it is a non-ILAS BIPRU firm, it must complete it on a

solo basis. Therefore even if it has a solo consolidation
waiver it must complete the item on an unconsolidated
basis by reference to the firm alone.


(4) the firm or any other member is a non-ILAS BIPRU

firm; and
For the purpose of deciding whether a UK consolidation group

meets the conditions in this note:
(6) any group member in which the group holds no more

than a participation is ignored for the purpose of (4)
and (5); and
(7) if the interest of the UK consolidation group in the firm

to which the reporting obligation applies is no more
than a participation that UK consolidation group does
not meet those conditions.
16.12.22 G The columns in the table in SUP 16.12.22AR that deal with BIPRU 50K
B firms and BIPRU 125K firms cover some liquidity items that only have to be
16.12.22AR are set out in the table below. Reporting frequencies are
calculated from a firm's accounting reference date, unless indicated
otherwise.
Data item Frequency
Unconsoli Solo Consolidat Annual Annual

dated consolidat ed BIPRU regulated regulated
BIPRU ed BIPRU investment business business
investment investment firm (Note revenue up revenue
firm firm 7) to and over £5
including million
£5 million
FSA046 …
FSA047 Weekly Weekly Weekly

(Notes 3 (Notes 3, 4 (Notes 3
and 4) and 6) and 4)
FSA048 Weekly Weekly Weekly

FSA049 Monthly Monthly Monthly


(Note 3) (Notes 3 (Note 3)
and 6)

and 6)
FSA052 Weekly or Weekly or Weekly or

monthly monthly monthly
FSA053 Quarterly Quarterly Quarterly

and 6)
and 6)
FSA055 Annually Annually Annually

and 6)
Note 1 …


ending on Sunday.


31 December.
All periods are calculated by reference to Greenwich Mean

Time.
Note 4 This item is to be reported on every business day if there is a

firm-specific liquidity crisis or market liquidity crisis in relation
to the firm or group in question. A firm must ensure that it is
able at all times to meet the requirements for daily reporting of
this item even if there is no firm-specific liquidity crisis or
market liquidity crisis and none is expected.
If the report is by reference to the firm’s UK consolidation

group or defined liquidity group the reporting frequency is:

In the case of simplified ILAS BIPRU firm reporting

requirements:


16.12.24R.
Note 6 As specified in SUP 16.12.22AR, solo consolidation has no

application to liquidity reporting. Therefore it does not make
any difference to the reporting of this item whether or not the
firm is solo consolidated.
Note 7 This column includes reporting by reference to a defined

liquidity group where applicable.

on on submissi on
on
FSA046 …
FSA047 23.59 23.59
hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA048 23.59 23.59

hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA049 23.59 3
hours business
(Greenwi days
ch Mean
Time) on
the
business
day
immediat
ely
followin
g the one
to which
the item
relates
FSA050 3
business
days
FSA051 3
business
days
FSA052 23.59 3
hours business
(Greenwi days
ch Mean (Note 3)
Time) on
the
business
day
immediat
ely
followin
g the end
of the
week in
question
FSA053 3
business
days
FSA054 3
business
days
FSA055 5
business
days
Note 1 …
16.12.25 R (1) SUP 16.12.25AR does not apply to:

55 (inclusive));
A to type of firm in the table below:

on of data
item BIPRU firms Firms other than BIPRU firms

and NV) NV) NV) NV)
ent
firms
Securitisa …
tion

Flows

Mismatch
Report –
Standard

Mismatch
Report –
Simplifie
d

e Assets

Concentra
tion
data

corporate
funding

Analysis

and
Controls
Questionn
aire
Note 19 …
applicable).

firm alone.

that group.

that group.
applicable).
firm alone.

that group.

that group.


applicable).

firm alone

that group.

that group.
applicable).

firm alone.

that group.

that group.


16.12.25 G The columns in the table in SUP 16.12.25AR that deal with BIPRU 50K
B firms and BIPRU 125K firms cover some liquidity items that only have to be
16.12.25AR are set out according to the type of firm in the table below.
Reporting frequencies are calculated from a firm's accounting reference
date, unless indicated otherwise.
Data item BIPRU BIPRU BIPRU Consolidated Firm other

investment BIPRU
firm (Note 7) firms
FSA046 …

(Notes 4 and
5)

(Notes 4 and
5)

(Notes 4 and
5)

(Note 4)

(Note 4)

monthly
(Notes 4 and
6)

(Note 4)

(Note 4)

(Note 4)
Note 1 …

ending on Sunday.


31 December.

firm, branch or group in question. A firm must ensure that it is
able at all times to meet the requirements for daily reporting of this
item even if there is no firm-specific liquidity crisis or market
liquidity crisis and none is expected.


the table in SUP 16.12.25AR (the firm or any other

the table in SUP 16.12. 25AR (the firm or any other


16.12.27R.

on on submissi on
on
FSA046 …
FSA047 23.59 23.59

hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA048 23.59 23.59
hours hours
(Greenwi (Greenwi
ch Mean ch Mean
Time) on Time) on
the the
business business
day day
immediat immediat
ely ely
followin followin
g the one g the end
to which of the
the item week in
relates question
FSA049 23.59 3
hours business
(Greenwi days
ch Mean
Time) on
the
business
day
immediat
ely
followin
g the one
to which
the item
relates
FSA050 3
business
days
FSA051 3
business
days
FSA052 23.59 3
hours business
(Greenwi days
ch Mean (Note 3)
Time) on
the
business
day
immediat
ely
followin
g the end
of the
week in
question
FSA053 3
business
days
FSA054 3
business
days
FSA055 5
business
days
Note 1 …
…
Data item FSA010 is deleted from SUP 16 Annex 24R (Data items for SUP 16.7 and SUP
16.12) in its entirety, except that the heading for that item is amended as follows.
FSA010 Mismatch liquidity
[Deleted]
Data item FSA011 in SUP 16 Annex 24R (Data items for SUP 16.7 and SUP 16.12) is
amended as follows.
FSA011
Building society liquidity
A B C D E
Amount of
Book Ineligible Market Discounte prudential
Liquid assets realisable in up to 8 days value amount value d value liquidity
1 Gilts with residual maturities of <1 year
2 Gilts with residual maturities 1-5 years
3 Gilts with residual maturities over 5 years
4 Total gilts
17 Qualifying Money Market Funds
5 Other
6 Liquid assets realisable from 8 days to 3 months
7 Liquid assets realisable in 3 months and over
8 Total liquid assets
Amount
9 SDL at reporting date
Amounts of prudential 8 day liquidity at any time during the month (end of day balance)
A B C
Amount As % of Date
SDL on
that day
10 Minimum total prudential liquidity during quarter
11 Maximum total prudential liquidity during quarter
12 Building society holdings - at reporting date
Specialist data
13 Business assets not FSRP as % of business assets
14 Deposits and loans as % of SDL
15 Amount of offshore deposits
16 Large shareholdings as % of SDL
Data items FSA012 and FSA013 are deleted from SUP 16 Annex 24R (Data items for SUP
16.7 and SUP 16.12) in their entirety, except that the headings for those items are amended as
follows.
FSA012
Non-
deposit-
taking
EEA
bank
liquidity
[Deleted]
FSA013
Stock
liquidity
[Deleted]
…
Insert the following data items into SUP 16 Annex 24R (Data items for SUP 16.7 and SUP
16.12) in the appropriate numerical order. The text is all new and is not underlined.
FSA047
Daily Flows
Part 1 - Own account, client free and margin

A B C … n
Date Date + 1 Date + 2 … Date + n
1 Precious metals …
2 Other commodities …
3 Zone 1 central bank eligible government debt securities …
4 Zone 1 central bank eligible public sector entity debt securities …
5 Zone 1 central bank eligible self-issued securities and whole loans where the firm has
established access to the central bank …
6 Other Zone 1 central bank eligible securities where the firm has established access to the
central bank …
7 Zone 1 'AAA' composite rated other debt securities …
8 Zone 1 'AA' composite rated other debt securities …
9 Zone 1 'A' composite rated other debt securities …
10 Zone 1 'BBB' composite rated other debt securities …
11 Zone 1 Non-Investment grade other debt securities …
12 All other debt securities outside Zone 1 …
13 Equities listed on an exchange in a Zone 1 country
14 Equities listed on an exchange not in a Zone 1 country …
15 Securities issued by group entities and connected counterparties …
Part 2 - Asset cash flow section

16 Cash balances …
17 Zone 1 central bank reserves
18 Term unsecured lending to all UK credit institutions, including the Bank of England (excluding
reserves) …
19 Term unsecured lending to all non-UK credit institutions, including central banks
20 Term unsecured lending to corporates other than credit institutions …
21 Term unsecured group and connected counterparty lending …
22 Term secured lending flows where marketable securities have been received …
23 Own account marketable asset cash flows …
24 Own account non-marketable asset cash flows …
25 Retail and SME overdrafts and credit card balances …
26 Contractual inflows related to conduits, SPVs and securitisations …
Part 3 - Wholesale liability cash flows

Secured / collateralised liabilities
27 Bank of England central bank operations …
28 All other central bank operations …
29 Group entities and connected counterparties …
30 Market counterparties (not falling into row 29) …
Unsecured liabilities
31 Primary issuances including all dated capital …
32 Covered bonds …
33 UK credit institutions, excluding the Bank of England …
34 Non-UK credit institutions, excluding central banks
35 Central banks …
36 Government …
37 Non-credit institution financial …
38 Non-financial corporate …
39 Group entities and connected counterparties …
40 Conditional liabilities pre-trigger contractual profile …
41 Contractual outflows related to conduits and SPVs …
Part 4 - Off balance sheet flows and balances

42 Non-margined derivatives net cash flows …
43 Net FX flow if any currency excluded on this report …
FSA048
Enhanced Mismatch Report (Standard)
A
1 Non-dated capital resources
2 Bank of England collateral upgrades
3 Other Zone 1 central bank collateral upgrades
4 Prior week's average daily collateral required for clearing and settlement
systems in the UK
systems outside the UK
6 Total withdrawable retail deposits not covered by deposit guarantees
A B C D E F G H I J
Part 1 - Own account, client free and margin Unencumbered Transactions with >1 week <=1 > 1 month <= 3 > 3 months <= > 6 months <= > 1 year <= 2 > 2 years <=
position open maturity <= 1 week month months 6 months 1 year years 5 years > 5 years
7 Precious metals
8 Other commodities
9 Zone 1 central bank eligible government debt securities
10 Zone 1 central bank eligible public sector entity debt securities
11 Zone 1 central bank eligible self-issued securities and whole loans where the
firm has established access to the central bank
12 Other Zone 1 central bank eligible securities where the firm has established
access to the central bank
13 Zone 1 'AAA' composite rated other debt securities
14 Zone 1 'AA' composite rated other debt securities
15 Zone 1 'A' composite rated other debt securities
16 Zone 1 'BBB' composite rated other debt securities
17 Zone 1 Non-Investment grade other debt securities
18 All other debt securities outside Zone 1
20 Equities listed on an exchange not in a Zone 1 country
21 Securities issued by group entities and connected counterparties
22 Cash balances
24 Unsecured lending to all UK credit institutions, including the Bank of England
(excluding reserves)
25 Unsecured lending to all non-UK credit institutions, including central banks
26 Unsecured lending to corporates other than credit institutions
27 Unsecured group and connected counterparty lending
28 All secured lending flows where marketable securities have been received
29 Own account marketable asset cash flows
30 Own account non-marketable asset cash flows
31 Retail and SME term lending
32 Retail and SME overdrafts and credit card balances
33 Contractual inflows related to conduits, SPVs and securitisations

34 Bank of England central bank operations
35 All other central bank operations
36 Group entities and connected counterparties
37 Market counterparties (not included in row 36)
38 Primary issuances including all dated capital
39 Covered bonds
40 UK credit institutions, excluding the Bank of England
42 Central banks
43 Government
44 Non-credit institution financial
45 Non-financial corporate
47 Conditional liabilities pre-trigger contractual profile
48 Contractual outflows related to conduits and SPVs
Retail banking liability cash flows

49 Fixed term and notice retail deposits
50 Withdrawable retail deposits with no early access charge
51 Withdrawable retail deposits with early access charge
52 Client / brokerage free cash

53 Non-margined derivatives net cash flows
54 Net FX flow if any currency excluded on this report
55 Undrawn secured committed facilities received including warehousing
facilities
56 Undrawn unsecured committed facilities received
57 Undrawn committed facilities provided to credit institutions
58 Undrawn committed facilities (including letters of credit) provided to
corporates other than credit institutions
59 Undrawn retail overdraft facilities, credit card facilities, committed mortgage
pipeline business and any other retail lending commitments
60 Undrawan commitments and explicit funding guarantees to sponsored and
third party structured vehicles
61 Total asset put back exposure related to assets currently funded/warehoused
in structured vehicles
Part 5 - Downgrade triggers

AA A BBB Below BBB
62 Asset put backs from sponsored and third party structured vehicles
63 GIC repayment triggers
64 Over the counter (OTC) margin triggers based on current OTC margin
positions
Part 6 - Derivatives margining Collateral market MTM exposure of

Cash Nominal value margined position
65 OTC derivative margin given
66 Exchange traded margin given
67 OTC derivative margin received
68 Exchange traded margin received
Part 7 - Marketable assets held under re-hypothecation rights

69 Precious metals
70 Other commodities
73 Zone 1 central bank eligible self-issued securities and wholes loans where the
81 Equities listed on a major exchange inside Zone 1
82 Equities listed on a major exchange outside Zone 1
Unencumbered own Unencumbered

Part 8 account rehypothecated Total
84 Debt securities issued by governments of Zone 1 countries
85 All other government debt securities eligible at central banks in Zone 1
countries
FSA049
Enhanced Mismatch Report (Simplified)
A
systems in the UK
A B C D E F G H I J
Part 1 - Own account, client free and margin Unencumbered Transactions with >1 week <=1 > 1 month <= 3 > 3 months > 6 months > 1 year <= > 2 years
position open maturity <= 1 week month months <= 6 months <= 1 year 2 years <= 5 years > 5 years
7 Precious metals
8 Other commodities
22 Cash balances

28 All secured lending flows where marketable assets have been received

37 Market counterparties (not included into row 36)
39 Covered bonds
42 Central banks
43 Government


55 Undrawn secured committed facilities received including warehousing
facilities
58 Undrawn committed facilities (including letters of credit) provided to
corporates other than credit institutions
60 Undrawan commitments and explicit funding guarantees to sponsored and
third party structured vehicles
61 Total asset put back exposure related to assets currently
funded/warehoused in structured vehicles
Part 5 - Downgrade triggers

AA A BBB Below BBB
64 Over the counter (OTC) margin triggers based on current OTC margin
positions
Part 6 - Derivatives margining Collateral MTM exposure of

Cash Nominal market value margined position
Part 7 - Marketable assets held under rehypothecation rights
69 Precious metals
70 Other commodities
81 Equities listed on a major exchange inside Zone 1
82 Equities listed on a major exchange outside Zone 1
Unencumbered Unencumbered
Part 8 own account rehypothecated Total
84 UK Treasury bills with a maturity of three months or less
85 All other government debt securities eligible at central banks in Zone 1
countries
86 Wholesale net cash outflow component
FSA050
Marketable Assets
A B C D E F G H I
Issuer Securities Nominal Market Country of Currency Maturity date Credit ratings Client / proprietary
identifier value value incorporation of
the issuer
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
41
42
43
44
45
46
47
48
49
50
FSA051
Funding Concentration
A B C D E
Counterparty Counterparty type Amount % wholesale Weighted average maturity
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
FSA052
Pricing Data
Raised Liabilities
A B C D E F G H I J K L M N
≤ 1 week > 1 week ≤ 1 month > 1 month ≤ 3 months > 3 months ≤ 1 year > 1 year ≤ 2 years > 2 years ≤ 5 years > 5 years
Price Volume Price Volume Price Volume Price Volume Price Volume Price Volume Price Volume
Monday
1 Wholesale bank term cash
2 Wholesale non-bank financial term cash
3 Wholesale non-financial term cash
4 Commercial paper
5 Eurocommercial paper
6 Certificates of deposit
7 Floating rate notes
8 Medium term notes
9 Fixed rate bonds
10 Covered bonds
11 Structured MTN & EMTN
Tuesday
15 Commercial paper
19 Medium term notes
20 Fixed rate bonds
21 Covered bonds
Wednesday
26 Commercial paper
31 Fixed rate bonds
32 Covered bonds
Thursday
37 Commercial paper
42 Fixed rate bonds
43 Covered bonds
Friday
48 Commercial paper
53 Fixed rate bonds
54 Covered bonds
FSA053
Retail and Corporate Funding
Part 1 - Retail Accounts

A B C D E F G H I J K L M
Week 1 Week 2 Week 3 Week 4 Week 5 Week 6 Week 7 Week 8 Week 9 Week 10 Week 11 Week 12 Week 13
1 Current and savings accounts in branch
2 Other on demand accounts
3 Term and notice
4 Term and notice accounts with early access charge
<1M
>1M <3M
>3 M
7 Number of accounts
Part 2 - Corporate Accounts

10 Term and notice
<1M
>1M <3M
>3 M
14 Number of accounts
Part 3 - FSCS and similar Zone 1 country schemes

15 Retail accounts with more than the FSCS
compensation limit
16 Retail accounts not covered by any other Zone 1
country's deposit insurance scheme
17 Corporate accounts with more than the FSCS
compensation limit
18 Corporate accounts not covered by any other Zone
1 country's deposit insurance scheme
FSA054
Currency analysis
A B
% Assets % Liabilities
1 GBP
2 USD
3 EUR
4 JPY
5 CHF
6 CAD
7 SEK
8 NOK
9 DKK
10 AUD
11 NZD
12 HKD
13 ZAR
14 RUB
15 Other
FSA055
Systems and controls questionnaire
Part 1 - Systems and controls A

1 Does your firm have a liquidity risk management framework in place?
(If you answer no above, leave the remaining data elements blank)
2 Are processes, strategies and systems for liquidity risk assessment incorporated
into the framework?
3 Is the framework documented?
4 Do you consider institution specific and market wide stresses and their impact
upon your assets?
5 Do you consider your ability to raise funds under stressed market
circumstances?
Part 2 - Stress testing

6 Does your firm undertake stress testing on your liquidity risk model?
7 Is your approach to stress testing documented?
8 How many times throughout the year do you conduct stress tests?
Part 3 - Contingency funding plans

9 Do you have an appropriate contingency funding plan in place?
10 How frequently is this plan updated?
11 How many times has this plan been updated in the past 12 months?
Part 4 - Senior management oversight

12 Is the governing body / senior management actively involved in reviewing and
updating the liquidity risk management approach?
13 How frequently does the governing body / senior management review the
liquidity risk management approach?
14 Is an appropriate process in place for capturing, managing and escalating
liquidity risk issues?
15 Does the governing body approve stress tests and contingency funding plans?
Part 5 - Provisions on measurement and management

In your liquidity risk management do you consider:
16 Pricing liquidity risk?
17 Intra-day liquidity risk management?
18 Management of collateral positions?
19 How liquidity is managed across legal entities, business lines and currencies?
20 Funding diversification and market access?
The guidance notes for data item FSA010 are deleted from SUP 16 Annex 25G (Guidance
notes for data items in SUP 16 Annex 24G) in their entirety, except that the heading for that
item is amended as follows.
FSA010 Mismatch liquidity
[Deleted]
The guidance notes for data item FSA011 in SUP 16 Annex 25G (Guidance notes for data
items in SUP 16 Annex 24G) are amended as follows.
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 The amount of prudential liquidity.
1-5 Liquid assets realisable in up to 8 days
4 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

6 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.

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 – Building society liquidity validations
Internal validations
Data elements are referenced by row then column.
Validation Data element

number
1 4A = 1A + 2A + 3A
2 4C = 1C + 2C + 3C
3 4D = 1D + 2D + 3D
4 4E = 4D
5 5E = 5A - 5B
6 6E = 6A - 6B
7 7E = 7A - 7B
8 [deleted – replaced by validation 14]
9 8B = 5B + 6B + 7B
10 [deleted – replaced by validation 15]
11 [deleted]
12 11A > 10A
13 17E = 17A
14 8A = 4A + 17A + 5A + 6A + 7A
15 8E = 4E + 17E + 5E + 6E + 7E

The guidance notes for data items FSA 012 and FSA013 are deleted from SUP 16 Annex
25G (Guidance notes for data items in SUP 16 Annex 24G) in their entirety, except that the
headings for those items are amended as follows.
FSA012 - Non-deposit taking EEA bank liquidity
[Deleted]
FSA013 - Stock liquidity
[Deleted]
…
Insert the following guidance notes into SUP 16 Annex 25G (Guidance notes for data items
in SUP 16 Annex 24G) in the appropriate numerical order. The text is all new and is not
underlined.
FSA047 Daily Flows
The rules in SUP 16 whose application is described in SUP 16.12.4R require a standard ILAS
BIPRU firm to complete data item FSA047 (Daily Flows). The purpose of this data item is to
record details of a standard ILAS BIPRU firm’s liquidity flows.
Valuation
The FSA’s rules and guidance on valuation are set out in GENPRU 1.3.
Currency
For the purpose of this data item, a firm should report in a consolidated sterling format. A
firm should also report in any material currency, as regards the assets and liabilities identified
in this data item that are denominated in the material currency in question. The FSA does not
anticipate that a firm will be asked to complete this data item in more than three material
currencies. Amounts should be reported in 000s.
For the purpose of reporting in a consolidated sterling format, currencies should be translated
into sterling at the relevant market price as at 16.30 hours Greenwich Mean Time on the
reporting date.
Data elements
These are referred to by row first and then by column. So, data element 2B will be the
element entered in row 2 and column B.
Completion and submission to the FSA
A firm should complete this data item and report cash flows in the relevant time bands based
on their residual contractual maturity. Asset cash flows should be entered according to their
latest maturity. Liability cash flows should be entered according to their earliest possible date
of outflow.
Part 1 Own account, client free and margin
In this part of the data item a firm should report the positions of the following types of
securities:
(1) securities held on the firm’s own account;

(2) securities held as clients’ assets in relation to which the firm has re-hypothecation
rights; and
(3) securities held by the firm as collateral pursuant to a margin agreement.
A firm should only report the positions of those securities to the extent that they are
considered to be marketable assets as those assets are described in BIPRU 12.5.58G. BIPRU
12.5.58G indicates that the FSA regards as marketable those of a firm’s assets that it is able to
sell outright or repo.
A firm should also report the contractual flows attributable to those securities and should do
so at their market value. A firm should report the current unencumbered stock of marketable
securities by asset class and their flows based on contractual maturities. Contractual security
flows will occur as a result of:
(1) the settlement or maturity of own account securities;

(2) the settlement or maturity of a repo, reverse repo or collateral swap; and
(3) collateralised lending and borrowing transactions.
Tri-party repo and tri-party reverse repo transactions should be treated in the same manner as
all other repo and reverse repo transactions. For the purpose of this data item, any such trade
where the cash provider can unilaterally change the collateral eligibility criteria should be
treated as having an overnight maturity, irrespective of the stated contractual maturity of the
transaction.
Inflow of securities or position balance should be positive while contractual outflow should
be negative.
In relation to rows 1 to 15, the description of what should be reported in each row is as
follows:
1 Precious Metals
A firm should report here the contractual flows arising from its physical holdings of gold,
silver and platinum.
2 Other commodities
A firm should report here the contractual flows arising from its physical holdings of all other
commodities except precious metals included in row 1.
A firm should report here the amount of government debt securities that it holds which are
eligible as collateral in the monetary operations of central banks in Zone 1 countries.
A firm should report here the amount of debt securities issued by public sector entities that it
holds which are eligible as collateral in monetary operations of central banks in Zone 1
countries.
5 Zone 1 central bank eligible self-issued securities and whole loans where the firm
has established access to the central bank
A firm should report here the amount of self-issued securities and whole loans that it holds
which are eligible as collateral in monetary operations of central banks in Zone 1 countries to
which the firm has established access arrangements. A firm will not be considered as having
established access to central bank facilities unless it has in place the appropriate legal and
administrative arrangements necessary to use those facilities.
A firm should report here the amount of all other marketable securities that it holds which are
not included in rows 3, 4 and 5, provided that they are eligible as collateral in monetary
operations of central banks in Zone 1 countries to which the firm has established access
arrangements. A firm will not be considered as having established access to central bank
facilities unless it has in place the appropriate legal and administrative arrangements
necessary to use those facilities.
7 – 11 Zone 1 rated other debt securities
These rows relate to all other securities portfolios (not covered in rows 1 to 6 above) where
the issuer or originator is incorporated in a Zone 1 country. The required reporting data in
these rows is further divided according to the credit rating of those securities ranging from
AAA (Row 7) to non-investment grade (Row 11).
A firm should report here all other debt securities that it holds where the issuer or originator
is not incorporated in a Zone 1 country.
A firm should report here balances and security flows attributable to equities which are listed
on an exchange in a Zone 1 country.
on an exchange that is not located in a Zone 1 country.
A firm should report here the security flows attributable to securities that the firm holds
where the issuer of those securities is a part of the firm’s group or is a connected
counterparty of the firm. For example, if a firm invests in bonds issued by its parent, the
security flows attributable to them should be included only in row 15.
Part 2 Asset cash flow section
A firm should report here cash flows associated with assets, but only to the extent that those
assets appear on the firm’s balance sheet. Contractual cash inflow or position balance should
be entered as a positive figure while contractual cash outflow should be entered as a negative
figure.
16 Cash balances
A firm should report here its net closing cash position, excluding central bank reserves (i.e.
nostro account balances).
A firm should report here the net closing reserve account balances maintained with central
banks in Zone 1 countries.
18 Term unsecured lending to all UK credit institutions, including the Bank of

England (excluding reserves)
A firm should report here term unsecured lending to all credit institutions incorporated in the
United Kingdom, as well as to the Bank of England. For the purpose of calculating the
amount of unsecured lending to the Bank of England which is to be reported here, a firm
should exclude any reserve account balances that it holds at the Bank of England. A firm
should report cash flows based on their latest contractual maturity date.
19 Term unsecured lending to all non-UK credit institutions, including central

banks
A firm should report here term unsecured lending to all credit institutions which are not
incorporated in the United Kingdom, as well as lending of the same kind to central banks. A
firm should report cash flows based on their latest contractual maturity date.
20 Term unsecured lending to corporates other than credit institutions
A firm should report here term unsecured lending to all corporates other than credit
institutions. A firm should report cash flows based on their latest contractual maturity date.
21 Term unsecured group and connected counterparty lending
A firm should report here term unsecured lending to entities in that firm’s group and to
connected counterparties. Group and connected counterparty unsecured lending cash flows
should be reported here rather than in any other rows in Part 2 of this data item.
22 Term secured lending flows where marketable securities have been received
A firm should report here term secured lending cash flows where marketable securities have
been received by the firm. A firm should only report here collateralised lending using
securities (such as reverse repo transactions). The flow of securities arising from secured
lending cash flows should be reported in Part 1 of this data item. All other types of secured
lending using assets other than securities (such as mortgage lending) should not be reported
here.
A firm should report here the cash flows at par resulting from the maturity, forward sale or
purchase of own account marketable securities. The corresponding flows of marketable
securities would be included in Part 1 of this data item at current market value.
A firm should report here the cash flows at par resulting from the maturity of own account
securities which are not marketable on the reporting date in question.
A firm should report here outstanding balances on retail and SME overdrafts and credit cards.
A firm should report here any contractual inflows of principal from conduits, SPVs and
securitisations. This would include inflows arising from the firm’s beneficial interest in the
seller’s share of a trust and forward value transacted sales to a securitisation vehicle or
conduit. Where a commercial paper or asset backed commercial paper conduit forms part of
a firm’s defined liquidity group, the maturity profile of the corresponding assets in the
conduit should be consolidated and reported in row 26. The examples given here are
illustrative and not exhaustive.
Part 3
Wholesale liability cash flows
This section of Part 3 relates to the cash flow aspect of secured or collateralised borrowing
transactions in which are encumbered the firm’s marketable assets or those of its clients in
relation to which the firm has re-hypothecation rights. This section is further sub-divided into
rows 27 to 30 according to the identity of the counterparty involved in those secured
transactions.
30 Market counterparties (not falling into row 29)
A firm should report here the contractual cash flows related to its primary issuance, including
certificates of deposit, commercial paper, Euro-Commercial Paper, Floating Rate Notes,
covered bonds, Medium Term Notes (MTNs), Euro MTNs and bonds. A firm should include
in this row any of its primary issuance that is government-guaranteed.
A firm should, however, exclude from this row any undated capital instruments that it issues.
Issuance of this type should be reported in row 1 of this data item.
Contractual cash flows related to any open-maturity or extendable issue should be analysed
based on the earliest possible repayment date. If a UK firm is a member of a defined liquidity
group that meets the conditions set out in the table in SUP 16.12.5R, that firm should not
report here asset backed commercial paper issued by a conduit which forms part of that
defined liquidity group. In addition, notes issued by securitisation vehicles should not be
included in this data item.
32 Covered bonds
A firm should report here all the cash flows related to covered bonds excluding self-issuance.
Rows 33 - 39
A firm should report here contractual cash flows related to term unsecured liabilities from the
following different types of entities in the relevant rows.
A firm should report here term unsecured borrowings from credit institutions which are
incorporated in the United Kingdom. A firm should not include in this row unsecured
borrowings from the Bank of England.
34 Non-UK credit institutions, excluding central banks.
A firm should report here term unsecured borrowings from credit institutions which are not
borrowings from central banks.
35 Central banks
A firm should report here term unsecured borrowings from central banks.
36 Government
A firm should report here term unsecured borrowings from governments.
A firm should report here term unsecured borrowings from financial entities which are not
credit institutions. This category would, for example, include unsecured borrowings from a
depositary or an investment manager.
A firm should report here term unsecured borrowings from non-financial corporates.

A firm should report here term unsecured borrowings from other entities in its group or from
connected counterparties of the firm.
A firm should report here the total balance of liabilities whose early repayment can be
triggered if certain embedded triggers in its funding arrangements (for example, covenants or
conditions precedent) are breached. Typical examples are Guaranteed Investment Contracts
(GICs) relating to large project finance bond issues or covenants in respect of conduits, SPVs,
SIVs (Structured Investment Vehicles). A firm should assess all of the contingent liabilities
that might occur should those embedded triggers be breached.
A firm should report here any contractual outflows of principal to conduits, SPVs and
securitisation trusts. By way of example, a firm should include the liability flows related to
consolidated conduits which issue commercial paper or asset backed commercial paper and
any contractual requirement to repurchase assets from such vehicles in the future. The
examples offered here are illustrative and not exhaustive.
A firm should report here non-margined derivatives net cash flows. Non-margined
derivatives are derivatives transactions where the amount of margin required does not vary
according to changes in the mark-to-market valuation of the derivative in question. A firm
should report contractual cash flows in relation to such derivatives transactions in the
appropriate columns in this data item, based on current revaluations.
A firm should report here the net consolidated contractual foreign currency flow represented
by those currencies other those in which the firm reports for the purpose of completing this
data item (i.e. sterling and any material currency).
FSA048 Enhanced Mismatch Report (Standard)
The rules in SUP 16 whose application is described in SUP 16.12.4R require a standard ILAS
BIPRU firm to complete data item FSA048 (Enhanced Mismatch Report (Standard)). The
purpose of this data item is to record details of a standard ILAS BIPRU firm’s liquidity
mismatch positions.
The rules in SUP 16 require a simplified ILAS BIPRU firm to complete FSA049 rather than
FSA048.
Valuation
Currency
For the purpose of this data item, a firm should report in a consolidated sterling format. A
firm should also report in any material currency, as regards the assets and liabilities identified
in this data item that are denominated in the material currency in question. The FSA does not
anticipate that a firm will be asked to complete this data item in more than three material
currencies. Amounts should be reported in 000s.
reporting date.
Data elements
of outflow.
General
The completion table at the end of this guidance note identifies the columns which should be
populated in respect of each row of data item FSA048.
A firm should report here the amount of its capital resources which do not have a specific
maturity date.

The Bank of England has designed various liquidity facilities to allow some banks and
building societies to raise cash equivalent by swapping various categories of assets. For
example, under the Special Liquidity Scheme (SLS) some firms have been able to use
specified types of assets as collateral which they have been able to swap for UK Treasury
bills. A firm should report here the nominal amount of assets (for example, UK Treasury
bills) that it receives through such facilities.
A firm should report here the nominal amount of assets that it receives through liquidity
facilities offered by central banks in Zone 1 countries similar in type to those described in (2)
above.
4 Prior week’s average daily collateral required for clearing and settlement
systems in the UK
A firm should report here the average amount of collateral that it is required to post on an
intra-day basis to meet the requirements of clearing and settlement systems in the United
Kingdom. A firm should note that the amount to be reported in this row is that which is
mandated by the requirements of the systems in question. It is not, therefore, the amount of
collateral that is in fact posted by the firm which could include significant over-
collateralisation.
A firm should include here the average amount of collateral that it is required to post on an
intra-day basis to meet the requirements of clearing and settlement systems outside of the
United Kingdom. A firm should note that the amount to be reported in this row is that which
is mandated by the requirements of the systems in question. It is not, therefore, the amount of
collateralisation.
A firm should report here the amount of its withdrawable retail deposits which are not
covered by a State-backed deposit guarantee scheme.
A firm should treat as withdrawable those of its retail deposits which may be withdrawn
before the end of their contractual term. As well as including deposits which can be
withdrawn without notice, a firm should also include deposits which may be withdrawn after
a fixed period following a depositor giving notice that he wishes to withdraw funds, in either
case whether or not an early access charge is payable.
For the purpose of calculating the amount of those deposits which are not covered by a
deposit guarantee scheme and which are to be reported in this row, a firm should:
(1) in relation to each retail depositor:

(a) deduct first from the maximum amount guaranteed by the deposit guarantee
scheme in question the amount of an individual’s retail deposits which cannot be
withdrawn before the end of their contractual term;
(b) deduct the residual amount (if any) of the guarantee which remains after the
deduction in (a) from the total amount of an individual’s withdrawable retail
deposits; and
(2) report in row 6 the cumulative amount of the firm’s withdrawable retail deposits which
remain after the deductions in (1) have been carried out in respect of each retail
depositor.
securities:

rights; and

transaction.
be negative.
follows:
7 Precious metals
8 Other commodities
countries.

figure.
22 Cash balances

A firm should report here unsecured lending on both a term and open-maturity basis to all
credit institutions incorporated in the United Kingdom, as well as to the Bank of England.
For the purpose of calculating the amount of unsecured lending to the Bank of England which
is to be reported here, a firm should exclude any reserve account balances that it holds at the
Bank of England. A firm should report cash flows based on their latest contractual maturity
date.

credit institutions which are not incorporated in the United Kingdom, as well as lending of the
same kind to central banks. A firm should report cash flows based on their latest contractual
maturity date.
A firm should report here all unsecured lending on both a term and open-maturity basis to all
corporates other than credit institutions. A firm should report cash flows based on their latest
contractual maturity date.
A firm should report here all unsecured lending on both a term and open-maturity basis to
entities in that firm’s group and to connected counterparties. Group and connected
counterparty unsecured lending cash flows should be reported here rather than in any other
rows in Part 2 of this data item.
A firm should report here all secured lending cash flows where marketable securities have
here.
A firm should report here the cash flows resulting from all retail and SME term lending. For
the purpose of this data item, retail term lending includes personal loans, mortgages secured
on residential property, while SME term lending includes mortgages to SMEs secured on
commercial property. A firm should only report contractual principal repayments (capital
amortisations) and treat all mortgages using their furthest maturity.
conduit should be consolidated and reported on row 33. The examples given here are
Part 3
transactions.
39 Covered bonds
A firm should report here all the cash flows related to covered bonds excluding self-issuance.
Rows 40 - 46
A firm should report here contractual cash flows related to unsecured liabilities, whether term
or open-maturity liabilities, from the following different types of entities in the relevant rows.
A firm should report here unsecured borrowings from credit institutions which are
A firm should report here unsecured borrowings from credit institutions which are not
42 Central banks
A firm should report here unsecured borrowings from central banks.
43 Government
A firm should report here unsecured borrowings from governments.
A firm should report here unsecured borrowings from financial entities which are not credit
institutions. This category would, for example, include unsecured borrowings from a
A firm should report here unsecured borrowings from non-financial corporates.
A firm should report here unsecured borrowings from other entities in its group or from
SIVs (Structured Investment Vehicles).
any contractual requirement to repurchase assets from such vehicles in the future. The
A firm should report here those retail fixed term and notice deposits in relation to which a
depositor has no contractual right to require early repayment.
A firm should report here all retail deposits, whether fixed term or notice, that can be
withdrawn without the depositor incurring an early access charge.
withdrawn by the depositor paying an early access charge.
A firm should report here all cash balances which it holds on behalf of its clients and which
are not segregated from the firm’s own assets. A firm should not include excess margin cash
in this row.
55 Undrawn secured committed facilities received including warehousing facilities

A firm should report the balance of undrawn secured committed funding facilities (such as
warehousing facilities) that it receives. Facilities of this type may be secured by different
types of collateral, such as loans or bonds.
A firm should report the balance of undrawn unsecured committed financing facilities
received. Facilities of this kind received by the firm should be reported as a positive balance.
A firm should report here the balance of undrawn committed financing facilities provided by
the firm to credit institutions. Facilities of this kind provided to credit institutions should be
reported as a negative balance.
58 Undrawn committed facilities (including letters of credit) provided to corporates

other than credit institutions
A firm should report here the balance of undrawn committed financing facilities (including
letters of credit) provided to corporates other than credit institutions. Facilities provided
should be reported as a negative balance. A firm should exclude from this row undrawn
facilities or explicit funding guarantees provided to structured vehicles.

A firm should report the total of undrawn retail overdrafts, credit cards facilities and
committed mortgage lending pipeline and any other lending commitments to retail customers.
Facilities provided should be reported as a negative balance.
60 Undrawn commitments and explicit funding guarantees to sponsored and third

party structured vehicles
If a firm is a member of a defined liquidity group that meets the conditions set out in the table
in SUP 16.12.5R, that firm should not report here any commitments or explicit funding
guarantees given to structured vehicles which form part of that defined liquidity group.
A firm should instead report in this row the total of all commitments and explicit funding
guarantees given to all other structured vehicles not within its defined liquidity group. This
category should include all structured vehicles, whether sponsored or third party. A firm
should not include asset “put-backs” in this category.
In relation to sponsored conduits the amount of the commitment to be reported should be the
current net commitment in relation to the conduit’s asset backed commercial paper currently
in issue and not the gross conduit capacity or gross commitment.
Undrawn commitments and explicit funding guarantees should be reported as a negative

balance.
61 Total asset put back exposure related to assets currently funded/warehoused in
structured vehicles
A firm should include here the maximum funding impact of assets currently funded through
sponsored or third party structured vehicles where defined contractual triggers would result in
these assets being put back (returned) onto the balance sheet of the firm as originator of those
assets. This will mainly relate to assets funded in sponsored and third party conduits where
the asset “put-back” will be triggered by a downgrade in the firm's credit rating(s). This will
exclude securitisations where the original transfer of assets is final and contractual.
Part 5 Downgrade triggers
For the purpose of rows 62 to 64, a firm should analyse and report in the way described in
each of those rows the effect of a downgrade of the firm’s current credit rating to each of the
credit rating downgrade thresholds. The credit rating downgrade threshold in question is
reached by a downgrade of either or both of a firm’s long-term or short-term credit ratings.
A firm should analyse and report here the cash funding impact resulting from asset “put-
backs” which would be triggered by a downgrade of its existing credit rating to each of the
credit rating downgrade thresholds.
Some possible reasons why asset “put-backs” can arise are as follows:
(1) as past originator of assets the downgrade now precludes the origination and
placing of all assets in the structured vehicle and this triggers the asset “put-back”;
(2) as a swap provider against the assets placed the downgrade now prevents swap
provision (CDS/TRS) to the structured vehicle and this triggers the asset “put-
back”; and
(3) the rating of the assets placed is linked to the rating of the reporting entity so
downgraded; these assets no longer qualify and this triggers the asset “put-back”.
A firm should analyse and report here the cash flow impact of GIC repayments which would
be triggered by a downgrade of its existing credit rating to each of the credit rating
downgrade thresholds.
64 Over the counter (OTC) margin triggers based on current OTC margin positions
A firm should analyse and report here the cash flow impact on its current OTC margin
positions which would be triggered by a downgrade of its existing credit rating to each of the
Part 6 Derivatives margining
Figures reported in rows 65 to 68 relate to margin given or received in respect of derivatives

transactions. A firm should report together figures for own account and client accounts. For
each item, a firm should report:
(1) the nominal amount of cash collateral given or received;
(2) the market value of collateral securities given or received; and
(3) the mark-to-market exposure of underlying derivatives positions that are subject to
margining.
Margin given should be reported with a positive sign while margin received should carry a
negative sign.
A firm should report here cash and collateral margin given on margined OTC derivatives.
A firm should report here cash and collateral margin given on exchange traded derivatives.
A firm should report here cash and collateral margin received on margined OTC derivatives.
A firm should report here cash and collateral margin received on exchange traded derivatives.
Part 7 Marketable assets held under re-hypothecation rights
Rows 69 to 83 relate to marketable assets held as clients’ assets in relation to which the firm
has re-hypothecation rights. A firm should report clients’ assets only as outstanding balances
(in column A). A firm should not report securities flows for these positions; those flows
should be included in Part 1 of this data item.
Part 8
84 Debt securities issued by governments of Zone 1 countries
A firm should report here its holdings of debt securities issued by the governments of Zone 1
countries. The holdings should be reported in the following three columns:
(1) unencumbered own account;

(2) unencumbered subject to re-hypothecation rights;
(3) total.
85 All other government debt securities eligible at central banks in Zone 1 countries
A firm should report here its holdings of government debt securities, other than those
reported in row 84, which are eligible as collateral in the monetary operations conducted by
central banks in Zone 1 countries. The holdings should be reported in the following three
columns:
(3) total.
Completion table
The following table summarises the fields to be entered for each row in FSA048 and
identifies the columns which should be populated in respect of each row of that data item.
Row number Column name where data is

required
1 to 6 A
7 to 21 A,B,F,G,H,I,J
22 A
23 A
24 to 27 A,F,G,H,I,J
28 B,F,G,H,I,J
29 F,G,H,I,J
30 F,G,H,I,J
31 C,D,E,F,G,H,I,J
32 A
33 B,F,G,H,I,J
34 F,G,H,I,J
35 F,G,H,I,J
36 B,F,G,H,I,J
37 B,F,G,H,I,J
38 to 39 F,G,H,I,J
40 to 46 A,F,G,H,I,J
47 F,G,H,I,J
48 B,F,G,H,I,J
49 C,D,E,F,G,H,I,J
50 A
51 A
52 A
53 F,G,H,I,J
54 F,G,H,I,J
55 to 61 A
62 to 64 B,C,D,E
65 to 68 B,C,E
69 to 83 A
84 B,C,D
85 B,C,D
Column Description or residual maturity

A Unencumbered position
B Transactions with open maturity
C Less than or equal to one week
D More than one week but less than or equal to one month
E More than one month but less than or equal to three months
F More than three months but less than or equal to six months
G More than six months but less than or equal to one year
H More than one year but less than or equal to two years
I More than two years but less than or equal to five years
J More than five years
FSA049 Enhanced Mismatch Report (Simplified)
The rules in SUP 16 whose application is described in SUP 16.12.4R require a simplified
ILAS BIPRU firm to complete data item FSA049 (Enhanced Mismatch Report (Simplified)).
The purpose of this data item is to record details of a simplified ILAS BIPRU firm’s liquidity
mismatch positions.
In contrast to a standard ILAS BIPRU firm, a simplified ILAS BIPRU firm is not required to
complete FSA047 (Daily flows).
Valuation
Currency
For the purpose of this data item, a firm should report in a consolidated sterling format.
Amounts should be reported in 000s.
reporting date.
Data elements
of outflow.
General
The completion table at the end of this guidance note identifies the columns which should be
populated in respect of each row of data item FSA049.
A firm should report here the amount of its capital resources which do not have a specific
maturity date.
The Bank of England has designed various liquidity facilities to allow some banks and
building societies to raise cash equivalent by swapping various categories of assets. For
example, under the Special Liquidity Scheme (SLS) some firms have been able to use
specified types of assets as collateral which they have been able to swap for UK Treasury
bills. A firm should report here the nominal amount of assets (for example, UK Treasury
bills) that it receives through such facilities.
A firm should report here the nominal amount of assets that it receives through liquidity
facilities offered by central banks in Zone 1 countries similar in type to those described in (2)
above.
systems in the UK
A firm should report here the average amount of collateral that it is required to post on an
intra-day basis to meet the requirements of clearing and settlement systems in the United
Kingdom. A firm should note that the amount to be reported in this row is that which is
mandated by the requirements of the systems in question. It is not, therefore, the amount of
collateralisation.
A firm should include here the average amount of collateral that it is required to post on an
intra-day basis to meet the requirements of clearing and settlement systems outside of the
United Kingdom. A firm should note that the amount to be reported in this row is that which
is mandated by the requirements of the systems in question. It is not, therefore, the amount of
collateralisation.
A firm should report here the amount of its withdrawable retail deposits which are not
covered by a State-backed deposit guarantee scheme.
A firm should treat as withdrawable those of its retail deposits which may be withdrawn
before the end of their contractual term. As well as including deposits which can be
withdrawn without notice, a firm should also include deposits which may be withdrawn after
a fixed period following a depositor giving notice that he wishes to withdraw funds, in either
case whether or not an early access charge is payable.
For the purpose of calculating the amount of those deposits which are not covered by a
deposit guarantee scheme and which are to be reported in this row, a firm should:
(1) in relation to each retail depositor:
(a) deduct first from the maximum amount guaranteed by the deposit guarantee
scheme in question the amount of an individual’s retail deposits which cannot be
withdrawn before the end of their contractual term;
(b) deduct the residual amount (if any) of the guarantee which remains after the
deduction in (a) from the total amount of an individual’s withdrawable retail
deposits; and
(2) report in row 6 the cumulative amount of the firm’s withdrawable retail deposits which
remain after the deductions in (1) have been carried out in respect of each retail
depositor.
securities:

rights; and

transaction.
be negative.
follows:
7 Precious metals
8 Other commodities
countries.
figure.
22 Cash balances

credit institutions incorporated in the United Kingdom, as well as to the Bank of England.
For the purpose of calculating the amount of unsecured lending to the Bank of England which
is to be reported here, a firm should exclude any reserve account balances that it holds at the
Bank of England. A firm should report cash flows based on their latest contractual maturity
date.
credit institutions which are not incorporated in the United Kingdom, as well as lending of the
same kind to central banks. A firm should report cash flows based on their latest contractual
maturity date.
A firm should report here all unsecured lending on both a term and open-maturity basis to all
corporates other than credit institutions. A firm should report cash flows based on their latest
contractual maturity date.
A firm should report here all unsecured lending on both a term and open-maturity basis to
entities in that firm’s group and to connected counterparties. Group and connected
counterparty unsecured lending cash flows should be reported here rather than in any other
rows in Part 2 of this data item.
A firm should report here all secured lending cash flows where marketable securities have
here.
A firm should report here the cash flows resulting from all retail and SME term lending. For
the purpose of this data item, retail term lending includes personal loans, mortgages secured
on residential property, while SME term lending includes mortgages to SMEs secured on
commercial property. A firm should only report contractual principal repayments (capital
amortisations) and treat all mortgages using their furthest maturity.
conduit should be consolidated and reported on row 33. The examples given here are
Part 3
transactions.
39 Covered bonds
A firm should report here all the cash flows related to covered bonds excluding self-issuance
Rows 40 - 46
A firm should report here contractual cash flows related to unsecured liabilities, whether term
or open-maturity liabilities, from the following different types of entities in the relevant rows.
A firm should report here unsecured borrowings from credit institutions which are
A firm should report here unsecured borrowings from credit institutions which are not
42 Central banks
A firm should report here unsecured borrowings from central banks.
43 Government
A firm should report here unsecured borrowings from governments.
A firm should report here unsecured borrowings from financial entities which are not credit
institutions. This category would, for example, include unsecured borrowings from a
A firm should report here unsecured borrowings from non-financial corporates.
A firm should report here unsecured borrowings from other entities in its group or from
SIVs (Structured Investment Vehicles).

any contractual future requirement to repurchase assets back from such vehicles. The
A firm should report here those retail fixed term and notice deposits in relation to which a
depositor has no contractual right to require early repayment.
withdrawn without the depositor incurring an early access charge.
withdrawn by the depositor paying an early access charge.
A firm should report here all cash balances which it holds on behalf of its clients and which
are not segregated from the firm’s own assets. A firm should not include excess margin cash
in this row.
55 Undrawn secured committed facilities received including warehousing facilities
A firm should report the balance of undrawn secured committed funding facilities (such as
warehousing facilities) that it receives. Facilities of this type may be secured by different
types of collateral, such as loans or bonds.
A firm should report the balance of undrawn unsecured committed financing facilities
received. Facilities of this kind received by the firm should be reported as a positive balance.
A firm should report here the balance of undrawn committed financing facilities provided by
the firm to credit institutions. Facilities of this kind provided to credit institutions should be
reported as a negative balance.
58 Undrawn committed facilities (including letters of credit) provided to corporates

other than credit institutions
A firm should report here the balance of undrawn committed financing facilities (including
letters of credit) provided to corporates other than credit institutions. Facilities provided
should be reported as a negative balance. A firm should exclude from this row undrawn
facilities or explicit funding guarantees provided to structured vehicles.

A firm should report the total of undrawn retail overdrafts, credit cards facilities and
committed mortgage lending pipeline and any other lending commitments to retail customers.
Facilities provided should be reported as a negative balance.
60 Undrawn commitments and explicit funding guarantees to sponsored and third

party structured vehicles
If a firm is a member of a defined liquidity group that meets the conditions set out in the table
in SUP 16.12.5R, that firm should not report here any commitments or explicit funding
guarantees given to structured vehicles which form part of that defined liquidity group.
A firm should instead report in this row the total of all commitments and explicit funding
guarantees given to all other structured vehicles not within its defined liquidity group. This
category should include all structured vehicles, whether sponsored or third party. A firm
should not include asset “put-backs” in this category.
In relation to sponsored conduits the amount of the commitment to be reported should be the
current net commitment in relation to the conduit’s asset backed commercial paper currently
in issue and not the gross conduit capacity or gross commitment.
Undrawn commitments and explicit funding guarantees should be reported as a negative

balance.
61 Total asset put back exposure related to assets currently funded/warehoused in

structured vehicles
A firm should include here the maximum funding impact of assets currently funded through
sponsored or third party structured vehicles where defined contractual triggers would result in
these assets being put back (returned) onto the balance sheet of the firm as originator of those
assets. This will mainly relate to assets funded in sponsored and third party conduits where
the asset “put-back” will be triggered by a downgrade in the firm's credit rating(s). This will
exclude securitisations where the original transfer of assets is final and contractual.
Part 5 Downgrade triggers
For the purpose of rows 62 to 64, a firm should analyse and report in the way described in
each of those rows the effect of a downgrade of the firm’s current credit rating to each of the
credit rating downgrade thresholds. The credit rating downgrade threshold in question is
reached by a downgrade of either or both of a firm’s long-term or short-term credit ratings.
A firm should analyse and report here the cash funding impact resulting from asset “put-
backs” which would be triggered by a downgrade of its existing credit rating to each of the
Some possible reasons why asset “put-backs” can arise are as follows:
(1) as past originator of assets the downgrade now precludes the origination and
placing of all assets in the structured vehicle and this triggers the asset “put-back”;
(2) as a swap provider against the assets placed the downgrade now prevents swap
provision (CDS/TRS) to the structured vehicle and this triggers the asset “put-back”;
and
(3) the rating of the assets placed is linked to the rating of the reporting entity so
downgraded; these assets no longer qualify and this triggers the asset “put-back”.
A firm should analyse and report here the cash flow impact of GIC repayments which would
be triggered by a downgrade of its existing credit rating to each of the credit rating
downgrade thresholds.
64 Over the counter (OTC) margin triggers based on current OTC margin positions
A firm should analyse and report here the cash flow impact on its current OTC margin
positions which would be triggered by a downgrade of its existing credit rating to each of the
Part 6 Derivatives margining
Figures reported in rows 65 to 68 relate to margin given or received in respect of derivatives

transactions. A firm should report together figures for own account and client accounts. For
each item, a firm should report:
(1) the nominal amount of cash collateral given or received;

(2) the market value of collateral securities given or received; and
(3) the mark-to-market exposure of underlying derivatives positions that are subject to
margining.
Margin given should be reported with a positive sign while margin received should carry a
negative sign.
A firm should report here cash and collateral margin given on margined OTC derivatives.
A firm should report here cash and collateral margin given on exchange traded derivatives.
A firm should report here cash and collateral margin received on margined OTC derivatives.
A firm should report here cash and collateral margin received on exchange traded derivatives.
Part 7 Marketable assets held under re-hypothecation rights
Rows 69 to 83 relate to marketable assets held as clients’ assets in relation to which the firm
has re-hypothecation rights. A firm should report the clients’ assets only as outstanding
balances (in column A). A firm should not report securities flows for these positions; those
flows should be included in Part 1 of this data item.
Part 8
84 UK Treasury bills with a maturity of three months or less
A firm should report here its holdings of UK Treasury bills which have residual maturities of
three month or less. The holdings should be reported in the following three columns:

(3) total.
85 All other government debt securities eligible at central banks in Zone 1 countries
A firm should report here its holdings of government debt securities, other than those
reported in row 84, which are eligible as collateral in the monetary operations conducted by
central banks in Zone 1 countries. The holdings should be reported in the following three
columns:

(3) total.
86 Wholesale net cash outflow component
A firm should report here the amount of its wholesale net cash outflow component that it
calculates in accordance with BIPRU 12.6.8R. A firm should note that BIPRU 12.6.10R(2)
requires it to exclude from that calculation wholesale cash flows attributable to UK Treasury
bills that it holds in its liquid assets buffer in accordance with BIPRU 12.6.15R.
Completion table
The following table summarises the fields to be entered for each row in FSA049 and
identifies the columns which should be populated in respect of each row of that data item.
Row number Column name where data is

required
1 to 6 A
7 to 21 A,B,C,D,E,F,G,H,I,J
22 A
23 A
24 to 26 A,C,D,E,F,G,H,I,J
27 C,D,E,F,G,H,I,J
28 B,C,D,E, F,G,H,I,J
29 to 31 CD,E,F,G,H,I,J
32 A
33 B,C, D,E,F,G,H,I,J
34 C,D,E,F,G,H,I,J
35 C,D,E,F,G,H,I,J
36 B,C,D,E,F,G,H,I,J
38 C,D,E,F,G,H,I,J
39 C,D,E,F,G,H,I,J
40 to 46 A,C,D,E,F,G,H,I,J
47 C,D,E,F,G,H,I,J
49 C,D,E,F,G,H,I,J
50 to 52 A
55 to 61 A
62 to 64 B,C,D,E
65 to 68 B,C,E
69 to 83 A
84 B,C,D
85 B,C,D
86 A
Column Description or residual maturity

A Unencumbered position
B Transactions with open maturity
C Less than or equal to one week
D More than one week but less than or equal to one month
E More than one month but less than or equal to three months
F More than three months but less than or equal to six months
G More than six months but less than or equal to one year
H More than one year but less than or equal to two years
I More than two years but less than or equal to five years
J More than five years
FSA050 Marketable Assets
The rules in SUP 16 whose application is described in SUP 16.12.4R require an ILAS BIPRU
firm to complete data item FSA050 (Marketable assets). The purpose of this data item is to
record details of an ILAS BIPRU firm’s marketable assets.
A firm should complete this data item for each of the categories of assets which are:
(a) identified in column A, rows 7-21 in Part 1 of the Enhanced Mismatch Report
(Standard)(FSA048) or (Simplified)(FSA049), as applicable; and
(b) marketable assets.
A firm should report the positions of those securities identified in column A, rows 7-21 in
Part 1 of FSA048 or FSA049 (as applicable) only to the extent that they are considered to be
marketable assets as those assets are described in BIPRU 12.5.58G. BIPRU 12.5.58G
indicates that the FSA regards as marketable those of a firm’s assets that it is able to sell
outright or repo.
Valuation
Currency
A firm should report in the currency in which the asset in question is denominated. For
example, if the marketable asset is denominated in US dollars, a firm should report in that
currency the amount of the asset that it holds. Figures should be reported in 000s.
General
Part 1 of both FSA048 and FSA049 identifies a number of categories of assets. A firm
reports holdings of those assets to the extent that they are considered to be marketable assets
as those assets are described in BIPRU 12.5.58G. In relation to each category of assets in
column A, rows 7-21 in Part 1 of FSA048 or FSA049 (as applicable) considered as
marketable assets, a firm should report in this data item details of its 50 largest positions by
market value which it holds in that category.
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.
A firm should complete this data item on a contractual basis irrespective of whether the
position in question is held in the banking book or trading book.
The following fields are required for each row on this data item.
Column A Issuer
A firm should report the identity of the issuer of the asset.
Column B Securities identifier
A firm should report here the securities identifier number (such as ISIN) or any other relevant
unique identifier.
Column C Nominal value
A firm should report here the face value or notional amount of the asset.
Column D Market value
A firm should report here the market value of the asset which is used for the purpose of
reporting in FSA048 or FSA049 (as applicable).
Column E Country of incorporation of the issuer
A firm should report here the identity of the country of incorporation of the issuer of the
assets in question. However, in the case of securities held by a firm which have been issued
by a securitisation vehicle, the firm should instead report the identity of the country where the
majority of the assets securitised in the securitisation in question are located.
Column F Currency
A firm should report here the currency in which the asset in question is denominated.
Column G Maturity date
A firm should report here the maturity date of the asset in question as used to report cash
flows in FSA048 or FSA049 (as applicable). In the case of an asset that has amortising
maturity cash flows, for the purpose of reporting the maturity date in column G, a firm should
calculate and report the weighted average life of the asset in question.
Column H Credit ratings
A firm should report here the Bloomberg composite credit rating of the asset in question.
Column I Client / proprietary
A firm should report here ‘client’ if the asset in question is a part of client assets and
‘proprietary’ if it is part of the firm’s own account assets.
FSA051 Funding Concentration
firm to complete data item FSA051 (Funding concentration). The purpose of this data item is
to record details of an ILAS BIPRU firm’s funding concentration.
Valuation
Currency
General
This data item provides information on funding concentration risk of the firm. For the
purpose of this data item, where a firm receives funding from a number of counterparties
which are all members of the same group, the firm should report the aggregate figure of all
funding provided by those counterparties.
Data elements
A firm should complete this data item on a contractual basis irrespective of whether the
position in question is held in the banking book or trading book.
The following fields are required for each row on this data item.
Column A Counterparty
A firm should report the identity of the ultimate parent of the entity which provides the firm
with funding. As an example, where a firm raises funding from various entities that are each
members of the same group, the firm should aggregate all such amounts and attribute them to
the ultimate parent. Where there is a lack of clarity about the ultimate parent to which
funding should be attributed, a firm should complete this column of this data item on a “best
efforts” basis.
Column B Counterparty type
A firm should report the counterparty type attributable to the funding concentration. The
available options are “intra-group”, “financial”, “non-financial corporate”, “government” and
“supranational”.
Column C Amount
A firm should report, in a consolidated sterling format, the total amount of funding received
from a counterparty and from any other counterparties in that counterparty’s group.
Column D Percentage wholesale
A firm should report the percentage of its total wholesale funding accounted for by the
funding received from each of the counterparties identified in column A of this data item.
Column E Weighted average maturity
In relation to each counterparty identified in column A, a firm should report the weighted
average maturity, expressed in months, of funding provided by that counterparty and by any
other counterparty in that counterparty’s group which is reported in column C. An example
of this would be the following: XYZ Bank receives funding from two ABC Bank group
entities. These are aggregated into one line. One ABC Bank entity provides 50% of funding
at 3 months maturity, while the other ABC Bank entity provides 50% of the funding at 6
months maturity, producing a weighted average maturity of 4.5 months.
FSA052 Pricing data
firm to complete data item FSA052 (Pricing data). The purpose of this data item is to record
details relating to the average daily transaction volume of, and prices which the firm pays for,
its wholesale unsecured liabilities.
Valuation
Currency
In relation to wholesale unsecured liabilities which are denominated in any of sterling, Euro,
Yen or US dollar, a firm should complete a separate version of this data item to record its
liabilities in each of those currencies. Figures should be reported in 000s.
Data elements
A firm should complete this data item on a contractual basis based on the trade date of the
liability in question.
General
There are five different levels for this report:
(1) day on which the liability in question is raised (Monday to Friday);

(2) type of instrument;
(3) price paid;
(4) volume raised; and
(5) maturity of the instrument from less than 1 week to 5 years or more.
A firm should report the required data for each day of the week. For the purpose of this data
item, a firm should report the following liability instruments for each day of the week:
(1) wholesale bank term cash;

(2) wholesale non-bank financial term cash;
(3) wholesale non-financial term cash;
(4) commercial paper;
(5) eurocommercial paper;
(6) certificates of deposit;
(7) floating rate notes;
(8) medium term notes;
(9) fixed rate bonds;
(10) covered bonds; and
(11) structured MTN and EMTN.
In relation to each instrument of a type identified in this data item and issued by the firm, it
should report:
(1) the price paid; and

(2) the volume issued.
For the purpose of reporting the price paid, a firm should report:
(1) for an instrument with a maximum maturity of one year, the rate payable by the firm
on that instrument; and
(2) for an instrument with a maturity in excess of one year, the spread over the relevant
swap curve (which is likely to be the swap curve which corresponds to the maturity of
the instrument in question and to the currency in which that instrument is
denominated).
A firm should report price and volume data in the following maturity bands, according to the
maturity of the instrument issued:
(1) ≤ 1 week;
(2) > 1 week ≤1 month;
(3) > 1 month ≤ 3 months;
(4) > 3 months ≤ 1 year;
(5) > 1 year ≤ 2 years;
(6) > 2 years ≤ 5 years; and
(7) > 5 years.
FSA053 Retail and corporate funding
firm to complete data item FSA053 (Retail and corporate funding). The purpose of this data
item is to record details relating to a firm’s retail accounts and corporate accounts.
Valuation
Currency
Figures should be reported in 000s.
Data elements
A firm should complete this data item on a contractual basis based on an analysis of the
firm’s balance sheet on the reporting date in question.
General
A firm should report in Columns A to M the weekly outstanding balances in each category of
deposit account identified in this data item for each of the 13 weeks immediately preceding
the reporting date.
Part 1 Retail accounts
A firm should report information related to retail accounts in rows 1 to 7 of Part 1 of this data
item.
A firm should report here the total of retail deposits held in instant access current and savings
accounts to which access is permitted only in branch.
A firm should report here the total of retail deposits held in instant access current and savings
accounts to which access is not permitted in branch. A firm should therefore include in this
row those of its retail deposits which can be withdrawn without notice and only by telephone
or through the internet.
3 Term and notice

A firm should report here the total of all retail deposits held in term and notice accounts.
Rows 4 to 6 below disaggregate some of the data reported in row 3 as respects term and
notice accounts which may be accessed by paying an early access charge.
4 Term and notice accounts with early access charge <1M
A firm should report here the total of all retail deposits held in term and notice accounts in
relation to which a depositor can:
• require the early repayment of a deposit by paying an early access charge; and
• require that the repayment be received within one month from the date on
which the depositor notifies the firm that he wishes to exercise his right to
require early repayment.
5 Term and notice accounts with early access charge >1M <3M
• require that the repayment be received within a period of one to three months
from the date on which the depositor notifies the firm that he wishes to
exercise his right to require early repayment.
6 Term and notice accounts with early access charge >3 M
• require that the repayment be received no earlier than three months from the
date on which the depositor notifies the firm that he wishes to exercise his
right to require early repayment.
7 Number of Accounts
A firm should report here the total number of retails deposit accounts.
Part 2 Corporate Accounts
A firm should report information related to corporate accounts in rows 8 to 14 of Part 2 of

this data item. The information to be reported in each of rows 8 to 14 is analogous to that
which is reported in rows 1 to 7, inasmuch as the deposits in question in rows 8 to 14 are
corporate deposits rather than retail ones, but the nature of the data that should be supplied is
otherwise the same. For the purpose of this data item, a corporate account is any account
which is not an account that holds retail deposits or one which holds inter-bank deposits.
Part 3 FSCS and similar Zone 1 country schemes

Part 3 of this data item relates to retail and corporate deposits held in excess of the
compensation limit of the FSCS or, where relevant, of any other deposit insurance scheme
maintained by a Zone 1 country. In relation to each depositor who would in principle be
eligible to claim compensation from the FSCS or another Zone 1 country’s deposit insurance
scheme in respect of his deposits with a firm, that firm should calculate the amount (if any) by
which those deposits exceed the compensation limit of the deposit protection scheme in
question. For each of rows 15 to 18 below, a firm should calculate the total of all such excess
amounts in the categories described in the relevant row.
15 Retail accounts with more than the FSCS compensation limit
A firm should report here the total of retail deposit account balances held by depositors who
would in principle be eligible to claim compensation from the FSCS to the extent that in the
case of each such deposit the amount held exceeds the FSCS compensation limit.
16 Retail accounts not covered by any other Zone 1 country’s deposit insurance
scheme
A firm should report here the total of retail deposit account balances held by depositors who
would in principle be eligible to claim compensation from the deposit insurance scheme of a
Zone 1 country (other than the United Kingdom) to the extent that in the case of each such
deposit the amount held exceeds the compensation limit of the scheme in question.
17 Corporate accounts with more than the FSCS compensation limit
A firm should report here the total of corporate deposit account balances held by corporate
depositors who are not retail depositors but who would nevertheless in principle be eligible to
claim compensation from the FSCS to the extent that in the case of each such deposit the
amount held exceeds the FSCS compensation limit.
18 Corporate accounts not covered by any other Zone 1 country’s deposit insurance
scheme
A firm should report here the total of corporate deposit account balances held by corporate
depositors who would in principle be eligible to claim compensation from the deposit
insurance scheme of a Zone 1 country (other than the United Kingdom) to the extent that in
the case of each such deposit the amount held exceeds the compensation limit of the scheme
in question.
FSA054 Currency Analysis
firm to complete data item FSA054 (Currency analysis). The purpose of this data item is to
record details of a firm’s currency mismatches.
Valuation
Currency
Not relevant.
Data elements
A firm should complete this data item on a contractual basis based on an analysis of the
firm’s balance sheet on the reporting date in question.
General
This report has two aspects. It asks a firm to report:
(1) the currencies in which that firm’s assets and liabilities are denominated; and
(2) the percentage of that firm’s total assets and liabilities which are denominated in those
currencies.
For each row from 1 to 15, a firm should report column A and B. For example, for row 1,
cell 1A should contain GBP (sterling) assets expressed as a percentage of the total assets of
the firm.
FSA055 Systems and Controls Questionnaire
The rules in SUP 16 whose application is described in SUP 16.12.4R require a non-ILAS
BIPRU firm to complete data item FSA055. The purpose of this data item is to enable the
FSA to monitor a non-ILAS BIPRU firm’s compliance with the requirements set out in BIPRU
12.3 (Liquidity risk management) and BIPRU 12.4 (Stress testing and contingency funding).
In relation to the questions in FSA055, a firm should, as appropriate, answer “yes” or “no”, or
choose a response from the drop-down menu.
Should a firm answer “no” to the first question in FSA055, it need not complete the rest of
the data item.
Annex 2
List of CP questions
Chapter 1 – Overview
Q1: Do you believe that our revised proposals will enhance
the effectiveness and proportionality of the new
regime?
Q2: Do you agree with our international objective of
promoting standardised quantitative reporting on
liquidity?
Q3: What role do you believe standardised metrics should
play in international supervision of liquidity?
Chapter 2 – Next steps for the wider regime

Q4: What are your views on the appropriate
implementation timetable?
Q5: What are your views on a gradual phasing-in of our
quantitative requirements?
Chapter 3 – Purpose and use of data collected

Q6: Do you agree with the broad objectives of our
reporting proposals? Are there any objectives we have
omitted, which should be included?
Q7: What are your views on our proposal to feed back, on
an anonymised basis, some of our analysis of the data
we collect? To what extent do you believe this could
have a potentially detrimental impact on certain peer
groups, sectors or the wider UK financial services
industry?
Annex 2
Q8: What do you believe the appropriate balance should
be between the qualitative and quantitative elements
of the new regime, particularly with regards to
reporting?
Q9: Do you agree that in order for us to form a market-
wide view on liquidity we need to collect largely the
same data from all firms within the full scope of the
regime?
Q10: Do you believe that the actions outlined above
sufficiently address industry concerns over our systems
and staff capabilities for analysing the large volume of
data we propose to collect?
Chapter 4 – The proposed reporting regime in detail

Q11: What are your views on the proposed data items? Are
there important drivers of liquidity risk that you
believe we fail to capture with the proposed reports?
Q12: Is the data we are proposing to collect sufficiently
comprehensive? Should FSA047, 048 and 049 also
include operational cashflows (such as tax
payments/receipts and dividend payments)? Should
FSA053 also include behavioural data?
Q13: What are your views on the proposed reporting
frequencies?
Q14: Do you agree that the existing data items outlined in
this section are appropriately replaced by the new
reporting proposals?
Q15: What are your views on this revised approach to
currency reporting? Do you agree that it is more risk-
based and proportionate?
Q16: What are your views on our approach to crisis times
versus business-as-usual submission deadlines?
Q17: Do you agree with our individualised approach to the
legal entity basis for reporting?
Q18: What are your views on our proposals on the legal
entity basis for reporting?
Q19: What are your views on our proposals on branch
reporting?
2 Annex 2
Chapter 5 – Reporting for simpler firms
Q20: What are your views on our proposed reporting frequency
for simpler firms? Is a monthly reporting frequency,
which switches to daily under the circumstances
described above, preferable and less costly to firms than
daily reporting as a matter of routine?
Q21: If you disagree, what would you propose to capture the
heterogeneous and fast-moving nature of liquidity risk?
Q22: Do you agree with our proposals of not requiring
simpler firms to submit the daily flow data item
(FSA047)?
Q23: Do you agree that the proposed data items adequately
cover the liquidity risks of firms that fall within the
scope of our standardised buffer ratio?
Q24: If you disagree, which other data items would improve
our understanding of simpler firms’ liquidity risks,
without being overly onerous for such firms to produce?
Q25: What are your views on our proposed submission
deadlines?
Chapter 6 – Reporting waivers and modifications

waivers/modifications of our reporting requirements?
Q27: What are your views on our proposals relating
specifically to branches of EEA and non-EEA firms?
Chapter 7 – Cost benefit analysis

Q28: What are your views on our assessment of the benefits
of the proposed liquidity reporting regime?
Q29: Are the cost figures described above a reasonable
broad estimate of your firm’s likely incremental
reporting costs resulting directly from our proposed
reporting regime? If not, please provide us with your
own cost estimates.
Q30: Do the cost estimates as described above represent
your firm’s likely costs of submitting a complex waiver
application? Of not, could you please provide us with
your own cost estimates?
Annex 2 3
Q31: Please provide us with any further information on the
expected incremental compliance cost of our liquidity
reporting proposals.
Chapter 8 – Compatibility statement with our objectives and

the principles of good regulation
Q32: Do you agree that the proposed reporting requirements
are compatible with our statutory objectives and
principles of good regulation?
4 Annex 2
Annex 3
List of acronyms
BAU Business as usual
BCBS Basel Committee on Banking Supervision
BI Business Intelligence
BIPRU Prudential Sourcebook for Banks, Building Societies and Investment Firms
BoE Bank of England
CBA Cost Benefit Analysis
CEBS Committee of European Banking Supervisors
CP Consultation Paper
DLG Defined liquidity group
DP Discussion Paper
EEA European Economic Area
EMR Enhanced Mismatch Report
FSA Financial Services Authority
FSMA Financial Services and Markets Act 2000
Fx Foreign exchange
GdC Groupe de Contact
GLC Global Liquidity Concessions
GMT Greenwich Mean Time
ILAS Individual Liquidity Adequacy Standards
ILG Individual Liquidity Guidance
LRP Liquidity Risk Profile
WGL Working Group on Liquidity
Annex 3
PUB REF: 0001683
The Financial Services Authority

25 The North Colonnade Canary Wharf London E14 5HS
Telephone: +44 (0)20 7066 1000 Fax: +44 (0)20 7066 1099
Website: http://www.fsa.gov.uk
Registered as a Limited Company in England and Wales No. 1920623. Registered Office as above.

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Consultation Paper

Financial Services Authority

Annex 1: Draft legal instrument

© The Financial Services Authority 2009

Telephone: 020 7066 1222

Copies of this Consultation Paper are available to download from our

Financial Services Authority 3

Feedback received in the pre-consultation

• There was widespread support for our proposals in principle, including

• Respondents were opposed to our suggestion of shortening the consultation

• Respondents stressed that quantitative reporting needed to be coupled with

4 CP09/13: Strengthening liquidity standards 2

• Respondents were strongly supportive of our promoting standardised

Substantial changes reflecting comments received

• a more pragmatic, proportionate and risk-based approach to currency reporting

• clarifying how our proposals on cross-border and intra-group management of

• revising submission deadlines, including weekly and crisis-time submission deadlines

• rethinking our approach to intra-day liquidity reporting, taking account of the

• reassessing the implementation timetable for the quantitative reporting requirements.

Q1: Do you believe that our revised proposals will enhance

Financial Services Authority 5

1.12 We believe that international work on common information exchange between

1.13 An internationally-agreed standard for quantitative liquidity reporting would help

Q2: Do you agree with our international objective of

6 CP09/13: Strengthening liquidity standards 2

Committee of European Banking Supervisors

Financial Services Authority 7

2.3 We have received 98 responses to CP08/22. We are currently analysing the

8 CP09/13: Strengthening liquidity standards 2

Financial Services Authority 9

10 CP09/13: Strengthening liquidity standards 2

Overall objectives of the new reporting regime

• collect objective (i.e. contractual), granular, frequent data on a standardised basis;

• form the basis of a common language on liquidity;

• avoid adverse signalling to the market;

• run firm-specific and market-wide stress tests within the FSA;

• if required, collect firm behavioural data in a standardised format;

• conduct peer comparison;

Financial Services Authority 11

Q6: Do you agree with the broad objectives of our

Q7: What are your views on our proposal to feed back, on an

12 CP09/13: Strengthening liquidity standards 2

Q9: Do you agree that in order for us to form a market-wide

Use of the data collected

Business Intelligence output

Financial Services Authority 13

FSA systems and capabilities

3.18 Finally, in line with the ‘Supervisory Enhancement Programme’ recommendations

Q10: Do you believe that the actions outlined above

14 CP09/13: Strengthening liquidity standards 2

Financial Services Authority 15

Proposed data items and frequency

16 CP09/13: Strengthening liquidity standards 2

Financial Services Authority 17

• it addresses signalling concerns in crisis times;

• it reflects firms’ management of core treasury operations on a daily basis;

18 CP09/13: Strengthening liquidity standards 2

• data would be sufficiently frequent to identify potential liquidity problems

4.15 As outlined in Chapter 1, respondents have been broadly supportive of our

Q13: What are your views on the proposed reporting

Data items to be replaced

4.17 In addition, industry representatives have suggested that we should discontinue

Q14: Do you agree that the existing data items outlined in