Prudential Regulation Authority Rulebook

2.1

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

2.2

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

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.

2.4

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

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

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 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

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

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.