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Application provision

1.1 This Part applies to every firm that is a CRR firm.

1

Application and Definitions

1.1

01/01/2016

This Part applies to every firm that is a CRR firm.

1.2

01/01/2016

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.

1.3

01/01/2016

A firm that is not a member of a consolidation group must comply with this Part on an individual basis.

1.4

01/01/2016

A firm which is a parent institution in a Member State must comply with this Part on a consolidated basis.

1.5

01/01/2016

A firm controlled by a parent financial holding company in a Member State or a parent mixed financial holding company in a Member State 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 under Article 111 of the CRD.

1.6

01/01/2019

In this Part the following definitions shall apply:

Advanced Measurement Approach

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.  

ICAAP assessment

means a firm’s written record of the assessments required under Internal Capital Adequacy Assessment.

IRB Approach

has the meaning given in article 143(1) of the CRR

occupational pension scheme

has the meaning given in article 3(1) of the Regulated Activities Order.  

parent financial holding company in a Member State

means (in accordance with point (26) of Article 3(1) of the CRD) a financial holding company which is not itself a subsidiary of an institution authorised in the same EEA State, or of a financial holding company or mixed financial holding company set up in the same EEA State.  

parent institution in a Member State

means (in accordance with point (24) of Article 3(1) of the CRD) an institution authorised in an EEA State which has an institution or financial institution as subsidiary or which holds a participation in such an institution or financial institution and which is not itself a subsidiary of another institution authorised in the same EEA State or of a financial holding company or mixed financial holding company set up in the same EEA State.  

parent mixed financial holding company in a Member State

means (in accordance with point (28) of Article 3(1) of the CRD) a mixed financial holding company which is not itself a subsidiary of an institution authorised in the same EEA State, or of a financial holding company or mixed financial holding company set up in the same EEA State

Standardised Approach to credit risk

means the approach to credit risk set out in Chapter 2 of Title II of CRR.

2

Pillar 2 Reporting Requirements

2.1

01/01/2016

A firm must complete the data item FSA071 for the risk assessments required in the ICAA Part. 

2.2

01/01/2016

A firm must complete the data items FSA078 and FSA079 for concentration risk. 

2.3

01/01/2016

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. 

2.4

01/01/2016

A firm with significant illiquid risk in its trading book must complete the data item FSA080 for market risk, unless the data required in that data item has already been reported to the PRA by other means.

2.5

01/01/2016

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. 

2.6

01/01/2016

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.

2.7

01/01/2018

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.

2.8

01/01/2018

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.

2.9

01/10/2018

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.

3

Submission

3.1

01/01/2016

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.

3.2

01/10/2018

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.

3.3

01/01/2016

Data items must be submitted to the PRA by electronic means.

3.4

01/01/2016

When submitting the required data item, a firm must use the template for the data item set out in Chapter 4.

4

Data Items

4.1

01/01/2019

FSA071 can be found here.

4.2

05/02/2016

FSA072 can be found here.

4.3

05/02/2016

FSA073 can be found here.

4.4

05/02/2016

FSA074 can be found here.

4.5

05/02/2016

FSA075 can be found here.

4.6

01/01/2019

FSA078 can be found here.

4.7

01/01/2019

FSA079 can be found here.

4.8

05/02/2016

FSA080 can be found here.

4.9

01/01/2019

FSA081 can be found here.

4.10

01/01/2019

FSA082 can be found here.

4.11

01/01/2019

FSA076 can be found here.

4.12

01/01/2019

FSA077 can be found here.

4.13

01/10/2018

PRA111 can be found here.