Prudential Regulation Authority Rulebook

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) [Note: Provision left blank];
2. (b) where the group is exempted from reporting template IR.06.02.04 in relation to the last quarter of the group’s financial year in accordance with a direction given by the PRA under section 138A of FSMA, template IR.06.02.04 of Chapter 9, providing an item-by-item list of assets, following the instructions set out in section IR.06.02 of Chapter 10;
3. (c) where the group:
   1. (i) is exempted from reporting template IR.06.03.01 of Chapter 9 in relation to the last quarter of the group’s financial year in accordance with a direction given by the PRA under section 138A of FSMA; or
   2. (ii) has not reported it quarterly because the ratio of collective investments held by the group to total investments (as referred to in Article 23(1)(g) of this Chapter) is not  higher than 30%,
4. template IR.06.03.01 of Chapter 9, providing information on the look-through of all collective investments held by the group, following the instructions set out in section IR.06.03 of Chapter 10;
5. (d) [Note: Provision left blank];
6. (e) where the group is exempted from reporting template IR.08.01.04 in relation to the last quarter of the group’s financial year in accordance with a direction given by the PRA under section 138A of FSMA, template IR.08.01.04 of Chapter 9, providing an item-by-item list of open positions of derivatives, following the instructions set out in section IR.08.01 of Chapter 10;
7. (f) [Note: Provision left blank];
8. (g) template IR.09.01.04 of Chapter 9, specifying information on income, gains and losses in the reporting period by asset category, following the instructions set out in section IR.09.01 of Chapter 10;
9. (h) where the ratio of the value of underlying securities, on and off-balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, to the total investments is higher than 5%, template IR.10.01.04 of Chapter 9, providing an item-by-item list of securities lending and repurchase agreements on and off-balance sheet, following the instructions set out in section IR.10.01 of Chapter 10; and
10. (i) where the ratio of the value of assets held as collateral to total balance sheet as reported in items C0010/R0500 of template IR.02.01.01 exceeds 10%, template IR.11.01.04 of Chapter 9, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section IR.11.01 of Chapter 10.

2.

[Note: Provision left blank]

3.

For the purposes of point (h) of paragraph 1:

1. (a) where for the calculation of group solvency method 1 is used exclusively, the ratio must be determined by the sum of the underlying securities, on and off-balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, divided by the sum of items C0010/R0070 and C0010/R0220 of template IR.02.01.01 of Chapter 9; and
2. (b) where, for the calculation of group solvency, method 1 is used in combination with method 2, or method 2 is used exclusively, the ratio must be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template IR.06.02.04 of Chapter 9.