Reporting Pillar 2

1.1

This Part applies to:

1. (1) every firm that is a CRR firm; and
2. (2) a CRR consolidation entity.

1.2

[Deleted]

1.3

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

1.4

[deleted.]

1.5

[deleted.]

1.5A

A CRR consolidation entity must comply with this Part on a consolidated basis. 

1.5B

An Article 109 undertaking to which this Part is applied in a sub-consolidation requirement must comply with this Part on a sub-consolidated basis, as set out in that requirement.

1.6

In this Part the following definitions shall apply:

defined benefit pension scheme

means an occupational pension scheme with benefits defined independently of the firm’s contributions as employer and investment returns.

occupational pension scheme

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

2.1

A firm must complete the data item FSA071 for the risk assessments required in the ICAA Part. If the firm is an SDDT or an SDDT consolidation entity it must complete data item PRA119 instead of FSA071.

2.2

A firm other than an SDDT or an SDDT consolidation entity must complete the data items FSA078 and FSA079 for concentration risk.

2.3

A significant firm 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

A firm other than an SDDT or an SDDT consolidation entity 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

[Deleted]

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.

2.7

A firm other than an SDDT or an SDDT consolidation entity must complete the data item FSA076 where they have any of the following exposures:

1. (1) exposures to central governments or central banks that are assigned a risk weight in accordance with Article 114(7) of CRR;
2. (2) exposures to regional governments or local authorities that are assigned a risk weight in accordance with Article 115(4) of CRR; or
3. (3) off-balance sheet items that are assigned to the exposure class in Credit Risk: Standardised Approach (CRR) Part Article 112(1)(h), that are not exposures to SMEs, and that are subject to a conversion factor of 10% in accordance with Table A1 in Credit Risk: Standardised Approach (CRR) Part Article 111.

2.7A

For the purposes of 2.7(1) and 2.7(2), exposures to central governments or central banks and exposures to regional governments or local authorities also include, as applicable:

1. (1) the part of any exposure covered by the unfunded credit protection that the firm has recognised by the Risk-Weight Substitution Method where the protection provider is a central government, central bank, regional authority or local authority; or
2. (2) the underlying exposure of a collective investment undertaking, where:
   1. (a) the firm has calculated the risk weight of an exposure to a collective investment undertaking using the look-through approach in:
      1. (i) Credit Risk: Standardised Approach (CRR) Part Article 132A(1); or
      2. (ii) paragraphs 2 and 4 of Credit Risk: Internal Ratings Based Approach (CRR) Part Article 152; and
   2. (b) the underlying exposure is to a central government, central bank, regional government or local authority.

2.8

[Deleted]

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.

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.

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.

3.3

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

3.4

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

4.1

FSA071 can be found here.

4.1A

4.2

FSA072 can be found here.

4.3

FSA073 can be found here.

4.4

FSA074 can be found here.

4.5

FSA075 can be found here.

4.6

FSA078 can be found here.

4.7

FSA079 can be found here.

4.8

FSA080 can be found here.

4.9

FSA081 can be found here.

4.10

[Deleted]

4.11

FSA076 can be found here.

4.12

[Deleted]

4.13

PRA111 can be found here.