Prudential Regulation Authority Rulebook

9.1

A lead regulated firm must submit a copy of its annual report and audited accounts within 80 business days from its accounting reference date.

9.2

The applicable data items referred to in the table in 6.1 for a UK designated investment firm are set out in the table below:

2. (1) When submitting the completed data item required, a firm must use the format of the data item set out in Chapter 18.
3. (2) Firms that are members of a consolidation group must also submit this report on a consolidation group basis.
4. (3) Only applicable to firms with a CRR permission to use internal models in accordance with Title IV, Chapter 5 of the CRR.
5. (4) Only applicable to UK designated investment firms that:
1. (a) are subject to consolidated supervision under the CRR, except those that are either included within the consolidated supervision of a group that includes a UK credit institution, or
2. (b) are not subject to consolidated supervision under the CRR.
6. A UK designated investment firm under (a) must complete the report on the basis of its consolidation group. A UK designated investment firm under (b) must complete the report on the basis of its individual position.
7. (5) Only applicable to a firm whose ultimate parent is a mixed-activity holding company.
8. (6) Only applicable to a firm that is a sole trader or a partnership, when the report must be submitted by each partner.
9. (7) Only applicable to a firm that has both a core UK group and a non-core large exposures group.
10. (8) Only applicable to a firm with an individual consolidation permission
11. (9) A firm must complete this item separately on each of the following bases (if applicable).
1. (a) It must complete it on an individual basis. Therefore even if it has an individual consolidation permission it must complete the item on an unconsolidated basis by reference to the firm alone.
2. (b) If it is a group liquidity reporting firm in a DLG by default and is a UK lead regulated firm, it must complete the item on the basis of that group.
3. (c) If it is a group liquidity reporting firm in a UK DLG by modification, it must complete the item on the basis of that group and (a) does not apply.
4. (d) If it is a group liquidity reporting firm in a non-UK DLG by modification, it must complete the item on the basis of that group.
12. (10) [deleted]
13. (11) (a) This item must be reported in the reporting currency.
1. (b) If any data element is in a currency or currencies other than the reporting currency, all currencies (including the reporting currency) must be combined into a figure in the reporting currency.
2. (c) In addition, all material currencies (which may include the reporting currency) must each be recorded separately (translated into the reporting currency).
3. However if:
1. (i) the reporting frequency is (whether under a rule or under a waiver) quarterly or less than quarterly; or
2. (ii) the only material currency is the reporting currency,
4. then (c) does not apply.
5. (d) If there are more than three material currencies for this data item, (c) only applies to the three largest in amount. A firm must identify the largest in amount in accordance with the following procedure.
1. (i) For each currency, take the largest of the asset or liability figure as referred to in the definition of material currency.
2. (ii) Take the three largest figures from the resulting list of amounts.
6. (e) The date as at which the calculations for the purposes of the definition of material currency are carried out is the last day of the reporting period in question.
7. (f) The reporting currency for this data item is whichever of the following currencies the firm chooses, namely USD (the United States Dollar), EUR (the euro), GBP (sterling), JPY (the Japanese Yen), CHF (the Swiss Franc), CAD (the Canadian Dollar) or SEK (the Swedish Krona).
14. (12) [deleted]
15. (13) Unless otherwise stated in the relevant modification, any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements for the data item in question if the firm receives that intra-group liquidity modification or variation part of the way through such a period. If the change is that the firm does not have to report a particular data item or does not have to report it at a particular reporting level, the firm must nevertheless report that item or at that reporting level for any reporting period that has already begun.
16. (14) [deleted]
17. (15) Only applicable to firms that have a CRR permission to use the IRB Approach.
18. (16) Lines 62 to 64 only are applicable. These lines apply to a firm that applies add-ons to their market risk capital calculation under the RNIV framework.
19. (17) This data item includes all annual reports and accounts that a firm is required to prepare under the Companies Act 2006 including group accounts, where required under that Act.

9.3

The applicable reporting frequencies for submission of data items and periods referred to in 9.2 are set out in the table below. Reporting frequencies are calculated from a firm's accounting reference date, unless indicated otherwise.

2. (1) Reporting frequencies and reporting periods for this data item are calculated on a calendar year basis and not from a firm's accounting reference date. In particular:
1. (a) A week means the period beginning on Saturday and ending on Friday.
2. (b) A month begins on the first day of the calendar month and ends on the last day of that month.
3. (c) Quarters end on 31 March, 30 June, 30 September and 31 December.
4. (d) Daily means each business day.
3. All periods are calculated by reference to London time.
4. Any changes to reporting requirements caused by a firm receiving an intra-group liquidity modification (or a variation to one) do not take effect until the first day of the next reporting period applicable under the changed reporting requirements if the firm receives that intra-group liquidity modification or variation part of the way through such a period, unless the intra-group liquidity modification says otherwise.
5. (2) If the report is on an individual basis the reporting frequency is as follows:
1. (a) if the firm does not have an intra-group liquidity modification the frequency is:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm;
2. (b) if the firm is a group liquidity reporting firm in a non-UK DLG by modification (firm level) the frequency is:
1. (i) weekly if the firm is a standard frequency liquidity reporting firm; and
2. (ii) monthly if the firm is a low frequency liquidity reporting firm;
3. (c) the frequency is quarterly if the firm is a group liquidity reporting firm in a UK DLG by modification.
6. (3) (a) If the reporting frequency is otherwise weekly, the item is to be reported on every business day if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.
1. (b) If the reporting frequency is otherwise monthly, the item is to be reported weekly if (and for as long as) there is a firm-specific liquidity stress or market liquidity stress in relation to the firm or group in question.
2. (c) A firm must ensure that it would be able at all times to meet the requirements for daily or weekly reporting under paragraph (a) or (b) even if there is no firm-specific liquidity stress or market liquidity stress and none is expected.
7. (4) [deleted]
8. (5) The reporting frequency in this row applies to all annual reports and accounts that a firm is required to submit under 7.1.

9.4

The applicable due dates for submission referred to in the table in 6.1 are set out in the table below. The due dates are the last day of the periods given in the table below following the relevant reporting frequency period set out in 9.3, unless indicated otherwise.

2. (1) For unconsolidated and individually-consolidated reports.
3. (2) For consolidation group reports.
4. (3) It is one month if the report relates to a non-UK DLG by modification.