1
Application and Definitions
1.2
A firm that is neither a subsidiary of a parent undertaking incorporated in or formed under the law of any part of the UK nor a parent undertaking must comply with this Part on an individual basis.
- 01/01/2016
1.3
A firm that is not a member of a consolidation group must comply with this Part on an individual basis.
- 01/01/2016
1.4
The changes to this rule are effective from 23:00 on 31/12/2020.
A firm which is a UK parent institution must comply with this Part on a consolidated basis.
- 31/12/2020
1.5
The changes to this rule are effective from 23:00 on 31/12/2020.
A firm controlled by a UK parent financial holding company or a UK parent mixed financial holding company must comply with this Part on the basis of the consolidated situation of that holding company, if the PRA is responsible for supervision of the firm on a consolidated basis.
- 31/12/2020
1.6
In this Part the following definitions shall apply:
means the advanced measurement approach referred to in Article 312(2) of the CRR.
defined benefit pension scheme
means an occupational pension scheme with benefits defined independently of the firm’s contributions as employer and investment returns.
means a firm’s written record of the assessments required under Internal Capital Adequacy Assessment.
has the meaning given in article 143(1) of the CRR.
has the meaning given in article 3(1) of the Regulated Activities Order.
Standardised Approach to credit risk
means the approach to credit risk set out in Chapter 2 of Title II of CRR.
- 31/12/2020
2
Pillar 2 Reporting Requirements
- 01/01/2016
2.2
A firm must complete the data items FSA078 and FSA079 for concentration risk.
- 01/01/2016
2.3
A significant firm and any firm that is not significant but that has permission from the PRA to use the Advanced Measurement Approach must complete the data items FSA072, FSA073, FSA074 and FSA075 for operational risk, unless the data required in that data item has already been reported to the PRA by other means.
- 01/01/2016
2.4
- 01/01/2016
2.5
A firm with permission from the PRA to use the IRB Approach for retail claims or contingent retail claims must complete the data item FSA082 for credit risk that relates to the IRB Approach for retail exposures.
- 01/01/2016
2.6
A firm with a defined benefit pension scheme must complete the data item FSA081 for pension obligation risk, unless the data required in that data item has already been reported to the PRA by other means.
- 01/01/2016
2.7
A firm must complete the data item FSA076 for any wholesale portfolio of exposures for which capital requirements are calculated using the Standardised Approach to credit risk.
- 01/01/2018
2.8
A firm must complete the data item FSA077 for any retail portfolio of exposures for which capital requirements are calculated using the Standardised Approach to credit risk.
- 01/01/2018
2.9
A firm with total assets equal to or greater than £5 billion at the relevant level of consolidation used as the basis of its ICAAP must complete the data item PRA111.
- 01/10/2018
3
Submission
3.1
A firm must submit the data items it is required to complete by this Part to the PRA at the same time as the firm submits its ICAAP assessment to the PRA.
- 01/01/2016
3.2
A firm that does not submit an ICAAP assessment to the PRA on an annual basis must submit the data items it is required to complete by this Part to the PRA on a regular basis that is proportionate to the nature, scale and complexity of the firm’s activities.
- 01/10/2018
3.3
Data items must be submitted to the PRA by electronic means.
- 01/01/2016
4
Data Items
4.1
FSA071 can be found here.
- 01/01/2019
4.2
FSA072 can be found here.
- 05/02/2016
4.3
FSA073 can be found here.
- 05/02/2016
4.4
FSA074 can be found here.
- 05/02/2016
4.5
FSA075 can be found here.
- 05/02/2016
4.6
FSA078 can be found here.
- 01/01/2019
4.7
FSA079 can be found here.
- 29/12/2020
4.8
FSA080 can be found here.
- 05/02/2016
4.9
FSA081 can be found here.
- 01/01/2019
4.10
FSA082 can be found here.
- 01/01/2019
4.11
FSA076 can be found here.
- 01/01/2019
4.12
FSA077 can be found here.
- 01/01/2019
4.13
PRA111 can be found here.
- 01/10/2018